hybrid system No. 1, 81, 97–103, 187–188
combined money market strategies,
366–374, 367–372,
exit placement in, 220, 226–237
length in trade in, 100–102, 100, 101
on balance volume (OBV) in, 98
original rules for, 97–98
pros and cons of, 98–99
relative strength bands filter use of in,
263–266, 263
revising and modifying, 99–102, 99
risk–reward ratio and, 98–99
rotation system filter use of in, 267–269,
268
short vs. long term, 98–99, 101–102
slow trade stop in, 99–102, 101, 102
starting equity for, 98
stop-loss version of, 226–233, 227, 233 ,
359–362, 360, 361
suggested markets for, 97
test period/test data for, 98
TradeStation code for, 102–103
trailing-stop version of, 233–236,
234–236, 363–365, 363, 364
individual market summary, spreadsheet and,
336–337, 337
Institutional Advisory Services Group
(IASG), 325, 329, 330–333
International Traders Research, 329Kelly formula, money management, 289–294,
292, 293
Kelly value (K), 379–380
kurtosis, 327–328
profit and, 23–25
Lane, David M., 22(f), 22
large export function, 276
length in trade
Harris 3L-R pattern variation system and,
165–166
hybrid system No. 1 and, 100–102, 100, 101
RS system No. 1 and, 107–110
leptokurtic distributions, 26–28, 27
limiting a loss using an exit, 201–203, 282
lookback period, 108–109, 108 , 186
meander system and, 117–118, 118
relative strength bands system and, 127,
127 , 129, 130 , 131
rotation system and, 140, 141–142, 142 ,
145–146
volume-weighted average system and, 155,
158–159, 158, 159losers
average winners and losers in, 20–22
distribution of trades and, 193–199, 192
winners and losers in a row, 38–43, 41, 42
losses (Seedrawdown and losses)
lowest average volume (LAV), volume-
weighted average system and, 153
market vs. drawdown, 59–60
markets used in analysis, 84
max-length stop, 252, 253–254
maximum adverse excursion (MAE), 65
Maximum Adverse Excursion, 65
maximum favorable excursion (MFE), 65
mean, 25–28
drawdown and losses in, 60–63
mean square error, profit calculation and,
29–30
meander system, 80, 113–121
combined money market strategies,
366–369, 367, 368, 369, 369–374, 370,
371, 372
evaluation of, 185
exit placement in, 220, 237–241
lookback period in, 117–118, 118
original rules for, 114
profit factors in, 114–115
pros and cons of, 114–115
relative strength bands filter use of in,
264–266, 264
revising and modifying, 115–120, 115
risk–reward ratio in, 115–116, 116
rotation system filter use of in, 267–269,
268
RS system No. 1 filter use of in, 260, 261
short vs. long term in, 118, 119 , 120
slack period and time in market, 116–117,
117
starting equity for, 114
stop loss in, 115
stop-loss version of, 237–240, 237–239,
345–351, 346–350, 359–362, 360, 361
suggested markets for, 113
test period/test data for, 114
TradeStation code for, 120–121
trailing-stop version of, 240–241, 240 ,
349–351, 349, 350, 363–365, 363, 364
median, 25–28
drawdown and losses in, 60–63
Merck, volume-weighted average system and,
160
Meyers, Dennis, 55
Microsoft
expert exits and, 175–176, 176388 IndexStridsman Index 5/27/03 4:37 PM Page 388