Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

the system is trading less (approximately 17 trades per market tested), the higher

average profit at $449 produces a higher expected net profit than for the system

with the stops (17 * 449 7633, compared to 21 * 324 6804). (Never mind that

the average net profit is negative in both tables.) Another positive is that this ver-

sion of the system produces a higher percentage of profitable trades.

If it was up to me, I would go with the system with the highest risk–reward

ratio and lowest standard deviations and trade it on as many markets as possible,

132 PART 2 Trading System Development

Short only: 21-day lookback period, three st. devs. PercProf: 44.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 21.32 38.67 (2,714.99) 323.92 Market

St. Dev: 13.48 13.19 18,602.76 1,618.80 4,876.6 1(0.04)

High: 34.80 51.86 15,887.78 1,942.72 5,200.54 Portfolio

Low: 7.84 25.48 (21,317.75) (1,294.87) (4,552.69) 0.20

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.52 0.16 17,915.29 17.03 3.47 5.21

St. Dev: 1.92 0.74 13,635.08 13.32 1.65 1.91

High: 3.44 0.89 31,550.37 30.35 5.12 7.12

Low: (0.40) (0.58) 4,280.21 3.70 1.82 3.30

TABLE 11.7

Altering Standard Deviation (2)

Short only: 21-day lookback period,

three st. devs, no stops PercProf: 44.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 17.24 41.83 (4,177.05) 449.59 Market

St. Dev: 10.25 12.82 22,461.44 2,723.90 6,248.83 (0.06)

High: 27.49 54.65 18,284.40 3,173.48 6,698.41 Portfolio

Low: 6.99 29.00 (26,638.49) (2,274.31) (5,799.24) 0.17

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.30 0.08 20,753.24 20.12 4.58 8.37

St. Dev: 1.31 0.66 14,816.11 14.65 2.28 4.27

High: 2.61 0.75 35,569.34 34.77 6.86 12.65

Low: (0.00) (0.58) 5,937.13 5.48 2.30 4.10

TABLE 11.8

Removing Stops