itable markets now increased to 64 percent. The number of profitable trades is,
however, still relatively low at 36.75 percent.
Satisfied with these results, I finally decided to test how the system would
fare without the stops applied directly on the market traded. My thinking was that
this would increase the number of profitable trades somewhat, making the system
less nerve-racking to trade. This turned out to be exactly right, but not only that:
As indicated by Table 11.4, all other evaluation parameters soared as well. The128 PART 2 Trading System Development
Long only: 100-day lookback period, zero st. devs. PercProf: 64.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 171.04 36.75 22,036.35 110.85 Market
St. Dev: 72.35 4.50 61,617.06 397.01 4,633.09 0.02
High: 243.39 41.24 83,653.41 507.85 4,743.94 Portfolio
Low: 98.69 32.25 (39,580.71) (286.16) (4,522.24) 0.28
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.11 0.06 51,937.08 40.43 36.46 6.16
St. Dev: 0.29 0.18 21,924.01 24.04 6.57 0.74
High: 1.39 0.24 73,861.08 64.46 43.03 6.90
Low: 0.82 (0.12) 30,013.07 16.39 29.88 5.42TABLE 11.3
Setting the Standard Deviations to ZeroLong only: 100-day lookback period,
zero st. devs, no stops PercProf: 76.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 49.60 42.16 115,503.24 3,577.65 Market
St. Dev: 26.91 12.35 188,866.63 6,094.46 20,217.42 0.15
High: 76.51 54.50 304,369.87 9,672.11 23,795.07 Portfolio
Low: 22.69 29.81 (73,363.40) (2,516.82) (16,639.78) 0.59
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 2.23 0.72 44,369.24 28.10 54.36 35.21
St. Dev: 1.41 0.89 26,314.45 21.07 9.32 8.71
High: 3.64 1.60 70,683.70 49.16 63.68 43.92
Low: 0.81 (0.17) 18,054.79 7.03 45.04 26.50TABLE 11.4
Revised Relative Strength Bands