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

number of trades in each sequence. The more trades used for the calculations, the

more sure we can be that the calculated averages are close and accurate estimates

of the true averages, and the more trades used, the closer each trading sequence

will be to the averages for that amount of trades.

Figure 22.4 shows how the equity can vary over 20 randomly picked trades

for 200 different trading sequences. Basically, the end result can be all over the

place, and although the expected net profit over one sequence is $8,964, it can eas-

CHAPTER 22 Variables 277

20 trades, 200 sequences PercProf: 75.00

Trades NetProfit AvgProfit ProfitStD RiskRatio

Average: 20.00 8,964.21 448.21 Market

St. Dev: 12,829.55 641.48 2,734.62 0.14

High: 21,793.76 1,089.69 3,182.83 Portfolio

Low: (3,865.35) (193.27) (2,286.41) 0.70

PercWin ProfitFactor RiskFactor MaxDD FlatTime

Average: 50.38 2.30 0.50 7,284.10 10.31

St. Dev: 11.91 1.97 0.72 4,359.14 5.36

High: 62.29 4.26 1.22 11,643.24 15.66

Low: 38.46 0.33 (0.22) 2,924.96 4.95

TABLE 22.1

All 200 Trading Sequences Holding 20 Trades Each

200 trades, 20 sequences PercProf: 95.00

Trades NetProfit AvgProfit ProfitStD RiskRatio

Average: 200.00 89,642.05 448.21 Market

St. Dev: 44,490.38 222.45 2,906.93 0.15

High: 134,132.44 670.66 3,355.14 Portfolio

Low: 45,151.67 225.76 (2,458.72) 2.01

PercWin ProfitFactor RiskFactor MaxDD FlatTime

Average: 50.38 1.77 0.37 22,625.23 60.70

St. Dev: 4.54 0.45 0.20 8,068.98 29.93

High: 54.92 2.22 0.57 30,694.20 90.63

Low: 45.83 1.32 0.17 14,556.25 30.77

TABLE 22.2

All 20 Trading Sequences Holding 200 Trades Each