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

Keeping the original rules and calculations, let’s look at another strange fea-

ture of this system: Namely, the condition for staying in a trade, which doesn’t

have to be fulfilled at the entry. Because the close needs to be above (below for a

short trade) the volume-weighted average to stay in the trade, it also would make

sense to ask the price to cross the volume-weighted average instead of the highest

high of the last two days (lowest low for a short trade) to trigger a trade. As it turns

out, however, this actually lowers the results somewhat—probably because the sys-

CHAPTER 13 Volume-weighted Average 157

Long only: No trend filter, no stop loss PercProf: 84.13

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 98.24 43.57 49,535.85 560.13 Market

St. Dev: 28.02 6.76 55,195.62 651.52 4,984.54 0.10

High: 126.26 50.34 104,731.47 1,211.65 5,544.67 Portfolio

Low: 70.21 36.81 (5,659.77) (91.39) (4,424.41) 0.86

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.45 0.23 37,398.52 25.83 12.58 5.31

St. Dev: 0.51 0.25 21,925.40 15.65 2.55 0.57

High: 1.97 0.47 59,323.92 41.48 15.13 5.88

Low: 0.94 (0.02) 15,473.12 10.18 10.02 4.73

TABLE 13.3

Removing Stop Loss and Trend Filter, Long-side Trades

Short only: No trend filter, no stop loss PercProf: 34.92

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 96.75 33.24 (19,619.26) (119.43) Market

St. Dev: 31.42 6.51 48,768.85 687.87 4,098.89 (0.06)

High: 128.17 39.75 29,149.59 568.44 3,979.45 Portfolio

Low: 65.33 26.73 (68,388.10) (807.31) (4,218.32) (0.17)

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 0.92 (0.07) 53,285.06 47.99 9.16 3.97

St. Dev: 0.41 0.24 28,905.17 28.57 2.12 0.57

High: 1.33 0.17 82,190.23 76.56 11.29 4.53

Low: 0.52 (0.32) 24,379.89 19.42 7.04 3.40

TABLE 13.4

Short-side Trades without Stop Loss and Trend Filter