Microsoft(continued)
performance signals, 44, 45, 46
quality of data examples for, 67–78
trading data, 68, 69, 71
min-move stop, 252, 253
mode, standard deviation and, 25–28
money better used elsewhere exits, 205–206,
283
money management, 287–288
counterpunch stock system in, 376
dynamic ratio, 305–323, 307 , 382
fixed fractional trading in, 295–304
Kelly formula for, 289–294, 292, 293
spreadsheet and, export code for, 337–342
money management point (MMP), 306–323,
337, 341, 381–382
money market strategies (Seecombined
money market strategies)
monthly distributions from spreadsheet, 335
moving average crossover system, 3
moving average slope (MAS), rotation system
and, 137
NASDAQ 100 stocks used in analysis, 84–85
NASDAQ stocks used in analysis, 84–85
net profit, 16
nonadjustment method for splicing contracts,
71–75, 72, 73, 74
normal distribution (Seestandard deviation)
number of shares traded, 8on balance volume (OBV), 98, 258
optimal f, 295–304, 380–382
combined money market strategies, 343
dynamic ratios and, 305–323, 307
spreadsheet and, 325
optimizing systems, 82
percentage of profitable trades, drawdown
and losses in, 62–63, 62
percentage vs. dollar amount changes, 4–5
percentage-based stops, 209–210, 250–251
percentages vs. dollar amounts, risk
calculation and, 51–55
percentages vs. normalized moves, 7–13
costs of trading and, 12–13
number of shares traded in, 8
profits in, 7–8, 10
short vs. long term trading systems and,
12–13
performance measures, 4–5
perpetual adjustment method for splicing
contracts, 71–75, 72, 73, 74
placing stops, 207–217platykurtic distributions, 26–28, 27
point-based adjustment for splicing contracts,
71–75, 72, 73, 74
Portfolio Management Formulas, 295
previous bar VMA (PVMA), volume-
weighted average system and, 153–154
probability and percent of profitable trades,
35–46
calculating profitable trades in, 35–43, 39,
40
entry rules and, 45–46
formulas for calculating profitable trades
in, 38
random number generator (RNG) and, 46,
46
trades vs. signals and, 43–46, 44
winners and losers in a row and, 38–43,
41, 42
product of all RSV lines (PRSV), 81
relative strength bands system and, 123
profit factors, filters and, 257–258
profit filters, 284
profit protector stop, 251, 253
profit target stop, 251, 253
profit targets, 283
profit–loss ratio, 95
Harris 3L-R pattern variation system and,
164–165
profits, 7–8, 10, 15–33
average profit per trade in, 16–20, 17 18,
19
average winners and losers in, 20–22
calculating profitable trades in, 35–43, 39,
40
central limit theorem and, 25–28
Chebychef ’s theorem and, 31
distribution of trades and, 25–28, 26, 27,
195–199, 195, 196, 197
fixed fractional trading, optimal f, and
TWR in, 295–304
formulas for calculating profitable trades
in, 38
Harris 3L-R pattern variation system and,
166–167
Kelly formula, money management,
289–294, 292, 293
kurtosis and, 23–25
mean square error in, 29–30
mean, median, and mode in, 25–28
meander system and, 114–115
net profit in, 16
optimal fin, 295–304
probability and, 35–46
profit–loss ratio, 95Index 389Stridsman Index 5/27/03 4:37 PM Page 389