exits(continued)
reasons for, 282
relative strength bands system and,
129–132, 132
rotation system and, 139, 140, 141
short vs. long in, 219
surface charts and, 283–284
taking a profit using, 203–204, 282
testing of, 284–285
types of, 282
variables to test in, 284
volume-weighted average system and, 156,
157 , 241–245
expert exits, 80, 173–183
evaluation of, 185–186
exit placement in, 220, 248–250
exit techniques in, 175–176
original rules for, 174
pros and cons of, 174–175
random number generator (RNG) and,
178, 179
relative strength bands filter use of in,
262–266, 262, 266, 269
revising and modifying, 175–182, 177
risk–reward ratio in, 176
short vs. long in, 174, 177–178, 177
signals generated by, 175–176, 176
starting equity for, 174
stop loss and, 178–180, 180
stop-loss version of, 249, 249 , 358–359,
358, 359, 362–363, 362 , 365–366, 365,
366
suggested markets for, 174
test period/test data for, 174
time in market and, 174–175
TradeStation code for, 182–183
trailing stop in, 180–182, 180, 181
trailing-stop version of, 249, 250 ,
365–366, 365, 366
export code, TradeStation, 86–91
spreadsheet and, money management,
337–342
export function, 275filters (See alsosystems as filters), 190,
255–269
combined money market strategies, 344
exits and, 284
systems as, 255–269
fixed fractional trading, 295–304
holding period return (HPR) in, 295–296,
380
optimal fin, 295–304
relative strength bands system and, 125fixed fractional trading(continued)
terminal wealth relative (TWR) in,
295–304, 298, 299, 295
formulas for calculating profitable trades, 38
Freeburg, Nelson, 80
Futures magazine, 58, 65, 80, 255
futures market, 84
calculate number of contracts, code for,
11–12
quality data and, 71–75
splicing contracts in, 71–75, 72, 73, 74
geometric average, fixed fractional trading,
optimal f, and TWR in, 303–304
geometric mean (GM), fixed fractional
trading, optimal f, and TWR in,
303–304
Gramza, Dan, 80
Harris 3L-R pattern variation, 81, 163–172
entry rules in, 167–168
evaluation of, 188
exit placement in, 220, 245–248
length of trade in, 165–166
original rules for, 164
profit targets in, 166–167
profit–loss ratio in, 164–165
pros and cons of, 164–165
relative strength bands filter use of in,
265–266, 265
revising and modifying, 165–171, 166,
170
risk–reward ratio in, 167–171, 167, 168,
169
rotation system filter use of in, 268–269,
268
RS system No. 1 filter use of in, 262
short vs. long in, 163, 165, 166
starting equity for, 164
stop loss in, 166–167
stop-loss version of, 246–247, 246, 247,
362–363, 362 , 365–366, 365, 366
suggested markets for, 164
test period/test data for, 164
TradeStation code for, 171–172
trailing-stop version of, 247–248, 248 ,
356–358, 356, 357, 362–363, 362
trend filters in, 165
Harris, Michael, 79, 163, 188
Hedgefund, 247, 329
Hedgefund.net, 329
highest average volume (HAV), volume-
weighted average system and, 153
holding period return (HPR), 295–296, 380Index 387Stridsman Index 5/27/03 4:37 PM Page 387