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

170 PART 2 Trading System Development

Both sides, 3:1 risk–reward relationship, slightly altered PercProf: 73.85

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 279.43 35.30 37,765.83 308.13 Market

St. Dev: 74.17 5.55 67,417.87 277.14 2,991.74 0.10

High: 353.60 40.86 105,183.70 585.27 3,299.87 Portfolio

Low: 205.27 29.75 (29,652.04) 31.00 (2,683.60) 1.11

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.15 0.09 37,529.46 28.07 23.08 3.46

St. Dev: 0.26 0.17 23,935.55 22.85 6.70 1.10

High: 1.40 0.26 61,465.01 50.92 29.78 4.56

Low: 0.89 (0.08) 13,593.91 5.22 16.38 2.36

TABLE 14.7

Increasing Number of Trades Generated (2)

FIGURE 14.1

Citigroup traded using revised Harris 3L-R pattern—Winter 2001–2002.