tables also count the weekends and holidays. You can get a better estimate for the
effective average trade length by using the following formula:
EAL TAL * (250 / 365) 1
Where:
EAL Estimated average trade length
TAL Table average trade length
This gives an effective estimated average trade length of 4.70 days (8.32 *
250 / 365 1) for the version of the meander system featured in Table 20.3. You
can apply the same formula on all systems to come.
Comparing Table 20.3 with Table 10.5, the first thing to notice is that we
actually managed to increase the average profits per trade, from $788 in Table 10.5
to $839 in Table 20.3. Not only did the average profit per trade increase, we also
managed to do so while increasing the risk–reward ratio from an already very high
1.21 to 1.35. Additional good news is that the standard deviations for both the
profit and risk factors decreased as well.Trailing-stop Version
Table 20.4 shows the results from another version of this system, made up of a
trailing stop of 2.7 ATR, a profit target of 3.5 ATR, and a maximum trade length
of nine days. Because the surface charts showed little of interest, I left them out of
the analysis for this version of the system.240 PART 3 Stops, Filters, and Exits
Long only: 2.7 ATR trailing stop,
3.5 ATR profit target, 9 bars max. trade length PercProf: 93.85
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 188.14 52.67 156,028.96 916.86 Market
St. Dev: 45.16 4.16 98,506.56 674.05 6,968.87 0.13
High: 233.30 56.83 254,535.52 1,590.91 7,885.73 Portfolio
Low: 142.98 48.51 57,522.40 242.81 (6,052.01) 1.36
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.40 0.18 65,561.77 31.53 43.65 9.62
St. Dev: 0.28 0.12 37,024.95 17.47 6.53 0.45
High: 1.68 0.30 102,586.72 49.00 50.18 10.07
Low: 1.12 0.07 28,536.82 14.07 37.12 9.17TABLE 20.4
Results of Trailing Stop for Meander System