combined money market strategies (continued)
trailing-stop version of meander system in,
363–365, 363, 364
trailing-stop version of volume-weighted
average system in, 363–365, 363, 364
volume-weighted average system in,
366–369, 367, 368, 369, 369–374, 370,
371, 372
commissions and fees, 12–13, 82
complicated systems, 188–189
consistency of system, 272–273, 379–384
costs of trading, 12–13, 82
counterpunch stock system
combined money market strategies,
374–375, 374, 375
money management in, 376
rules for, 376
starting equity for, 377
suggested markets for, 376
system analysis for, 377
test period/test data for, 377
cumulative monthly returns from spreadsheet,
336
curve fitting, 81–82
DeMark, Tom, 79
developing trading systems, 79–82
distribution of drawdowns from spreadsheet,
335
distribution of trades, 193–199, 192
leptokurtic, 26–28, 27
mean, median, and mode in, 25–28
platykurtic, 26–28, 27
profit calculation and, 25–28, 26, 27
profits and, 195–199, 195, 196, 197
stop loss and, 193–199, 193
Dow Jones Industrial Average stocks used in
analysis, 84–85
Dow Jones stocks used in analysis, 84–85
drawdown and losses, 57–65, 77–78,
278–279, 279
closed trade (CTD), 63–65
end trade (ETD), 63–65
equity compared to, 58–59, 59
market vs., 59–60
maximum adverse excursion (MAE) in, 65
maximum favorable excursion (MFE) in,
65
maximum of, 60–63
mean–median comparisons and, 60–63
percentage of profitable trades and, 62–63,
62
start trade (STD), 63–65
total equity (TED), 63–65, 64drawdown and losses(continued)
types of, 63–65
underwater equity charts and, 59, 59
drawdown curve from spreadsheet, 334
dynamic ratio money management (DRMM),
85, 305–323, 307 , 382
calculations in, for spreadsheet, 315–316
equity curve chart and, 318–319, 318, 322
formulas for, in spreadsheet, 316, 317–318
money management point (MMP) in,
306–323
optimal fand, 305–323, 307
sample spreadsheet using, 310–323,
311–314, 320, 321, 322
stop loss and, 306
underwater equity chart and, 319, 319, 323EasyLanguage code (See alsoTradeStation
coding), 83–84
end of event exit, 204–205, 282, 283
end trade drawdown (ETD), 63–65
entry rules
Harris 3L-R pattern variation system and,
167–168
probability and percent of profitable
trades, 45–46
volume-weighted average system and, 156
equity, optimal fvs., 298–299, 299
equity curve chart and DRMM, 318–319,
318, 322
equity variation over trades, 277–278, 278
equity vs. drawdown, 58–59, 59
Etzkorn, Mark, 79
evaluating a system, 1–5
evaluating stops and exits, 281–285
evaluating system performance, 185–189
Excel spreadsheet of compiled trade results
(See alsospreadsheet development),
273–274, 274
Excel, 10–11
exits, 189, 190, 201–206
adding, 219–254
end of event, 204–205, 282, 283
evaluation of, 281–285
expert exits and, 175–176, 178–182, 180,
181 , 248–250
filters and, 284
Harris 3L-R pattern variation system and,
245–248
limiting a loss using, 201–203, 282
meander system, 237–241
money better used elsewhere, 205–206,
283
profit targets as, 283386 IndexStridsman Index 5/27/03 4:37 PM Page 386