lookback for the slope of the average between 10 and 60 days, only resulted in
one change, and that was to shorten the lookback period for the slope to 10 days.
Table 12.5 shows that with this change incorporated into the system, the average
profit came out to $1,407, and the profit and risk factors to 1.44 and 0.25, respec-
tively (although we didn’t manage to shorten the trade length).
Although we will take this version of the system with us to the upcoming
parts of the book, it still has several shortcomings that need to be pointed out142 PART 2 Trading System Development
Long only, no trailing stop, ten-day long true range,
five-day true range PercProf: 76.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 46.40 34.72 68,107.46 1,397.73 Market
St. Dev: 30.87 9.50 83,157.63 2,696.36 12,298.44 0.12
High: 77.27 44.22 151,265.10 4,094.10 13,696.17 Portfolio
Low: 15.53 25.22 (15,050.17) (1,298.63) (10,900.70) 0.52
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.45 0.24 47,787.58 29.29 53.65 38.82
St. Dev: 0.61 0.32 28,645.41 16.95 15.37 21.53
High: 2.06 0.57 76,433.00 46.24 69.02 60.35
Low: 0.85 (0.08) 19,142.17 12.33 38.28 17.29TABLE 12.4
Altering Lookback Period (1)Long only, no trailing stop, ten-day long true range,
five-day short true range, ten-day slope PercProf: 76.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 48.12 34.64 70,693.68 1,407.35 Market
St. Dev: 30.98 8.33 84,219.20 2,194.06 12,502.29 0.13
High: 79.10 42.97 154,912.88 3,601.42 13,909.64 Portfolio
Low: 17.14 26.31 (13,525.52) (786.71) (11,094.94) 0.64
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.44 0.25 50,858.30 28.59 54.74 38.03
St. Dev: 0.55 0.29 37,473.66 16.23 14.64 18.25
High: 1.99 0.54 88,331.96 44.82 69.38 56.28
Low: 0.89 (0.04) 13,384.65 12.36 40.10 19.78TABLE 12.5
Altering Lookback Period (2)