The original setting for the lookback period for the short-term true range was
three days. If it turns out that the system is getting better, or at least not signifi-
cantly worse, if we shorten it to one or two days, we should be able to get rid of
this variable as well. As it turned out, however, the best result came from setting
this variable to five days, as Table 12.4 reveals.
With no other variables to change and with the percentage profitable trades
and the average trade length even longer than when we started, it’s finally time to
examine the lookback periods for the relative strength calculations. Altering the
lookback period for the moving average to between 40 and 120 days, and theCHAPTER 12 Rotation 141
Long only, no trailing stop PercProf: 68.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 42.84 35.34 55,604.80 1,351.85 Market
St. Dev: 21.99 11.54 82,839.09 3,119.58 11,379.08 0.10
High: 64.83 46.88 138,443.90 4,471.43 12,730.94 Portfolio
Low: 20.85 23.81 (27,234.29) (1,767.72) (10,027.23) 0.43
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.43 0.20 46,035.35 32.08 45.39 33.62
St. Dev: 0.71 0.36 20,680.92 18.18 10.91 14.61
High: 2.14 0.56 66,716.27 50.25 56.30 48.23
Low: 0.73 (0.16) 25,354.43 13.90 34.47 19.01TABLE 12.2
Removing Trailing StopLong only, no trailing stop, 10-day long true range PercProf: 76.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 52.56 36.15 72,058.83 1,577.59 Market
St. Dev: 35.83 11.03 88,306.76 3,220.31 11,580.11 0.11
High: 88.39 47.18 160,365.60 4,797.91 13,157.70 Portfolio
Low: 16.73 25.12 (16,247.93) (1,642.72) (10,002.52) 0.49
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.46 0.23 48,207.20 30.16 53.07 34.84
St. Dev: 0.63 0.36 26,902.27 17.89 15.53 18.90
High: 2.09 0.59 75,109.47 48.05 68.60 53.74
Low: 0.82 (0.13) 21,304.93 12.27 37.55 15.94TABLE 12.3
Increasing Sensitivity to Volatility