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

market, for a total of 60 symacs, which is the maximum our spreadsheet can

handle.

In this test, we apply the relative-strength bands as the filter, the stop-loss

versions of the hybrid system No. 1 and the Meander system v.1.0, and the trail-

ing-stop version of the volume-weighted average system to 10 stocks each from

the Dow and NASDAQ groups, risking 2.5 percent per trade in all trades. The

results can be seen in Tables 28.11 and 28.12, and Figures 28.10 and 28.11.

With an average annual return of 10.8 percent, a maximum drawdown of 25

percent, and a Sharpe ratio of 0.73, we have a strategy that is doing much better

than a buy-and-hold strategy on any of the indexes (see Table 28.1). Another pos-

itive is the high percentage of both winning months and winning trades.

Unfortunately however, Figures 28.10 and 28.11 show that this strategy too

is in the midst of its worst historical drawdown, with no signs of forming a bot-

360 PART 4 Money Management

Profitability Trade statistics

End. Equity ($): 2,673,676 No. trades: 3,703

Total return (%): 167 Avg. trade ($): 452

Avg. annual ret. (%): 10.81 Avg. DIT: 4.7

Profit factor: 1.15 Avg. win/loss ($): 6,625 (6,398)

Avg. tied cap (%): 62 Lrg. win/loss ($): 59,944 (54,385)

Win. Months (%): 64 Win. trades (%): 52.6

Drawdown TIM (%): 99 11.7

Max DD (%): 25.3 Tr./Mark./Year: 6.4

Longest flat (M): 13.0 Tr./Month: 32.2

TABLE 28.11

Strategy 7 Results

Profitability Trade statistics

End. Equity ($): 2,084,306 No. trades: 4,535

Total return (%): 108 Avg. trade ($): 239

Avg. annual ret. (%): 7.96 Avg. DIT: 3.4

Profit factor: 1.12 Avg. win/loss ($): 4,388 (3,836)

Avg. tied cap (%): 59 Lrg. win/loss ($): 56,176 (42,637)

Win. Months (%): 59 Win. trades (%): 46.5

Drawdown TIM (%): 100 10.3

Max DD (%): 20.9 Tr./Mark./Year: 7.9

Longest flat (M): 19.2 Tr./Month: 39.4

TABLE 28.12

Strategy 7 Time-window Analysis