profits(continued)
quality data and, 76–78
relative strength bands system and,
127–128, 131–132
risk and risk adjusted return vs., 24–25
risk vs., 48–51
skew and, 23–25, 28
standard deviation and, 22–25
standard error and tests for, 28–30
successful trading system, chart of, 32
time in market vs., 31–33
trades vs. signals and, 43–46, 44
trimmean function in, 30–31
winners and losers in a row and, 38–43,
41, 42
quality data, 67–78
futures market example and, 71–75
profitability and, 76–78
ratio adjusted data (RAD) in, 75
random number generator (RNG)
expert exits and, 178, 179
probability and percent of profitable
trades, 46, 46
ratio adjusted data (RAD), 75
ratio adjusted method for splicing contracts,
71–75, 72, 73, 74
relative moving average (RMA), relative
strength bands system and, 123
relative strength bands, 81, 123–136, 220
Bollinger bands and, 123–124
evaluation of, 186–187
filter use of, 262–266, 359–362, 360, 361,
366–374, 367–372
fixed fractional money management in,
125
lookback period in, 127, 127 , 129, 130 , 131
money market strategy using, 359–362,
360, 361
original rules for, 124
product of all RSV lines (PRSV) in, 123
profit factors in, 127–128, 131–132
pros and cons of, 125
relative moving average (RMA) in, 123
relative strength line (RSL) in, 123
revising and modifying, 125–133, 128
risk–reward ratio in, 126–127, 126 ,
132–133
short vs. long term in, 130
standard deviation in, 128 , 129, 131, 132
starting equity for, 124
stops and exits for, 129–132, 132
suggested markets for, 124relative strength bands(continued)
test period/test data for, 124
TradeStation code for, 133–136, 133
relative strength line (RSL), relative strength
bands system and, 123
relative value (RV), volume-weighted average
system and, 153
risk, 47–55
calculation of, 48–51
calculation of, in spreadsheet, 328–329
DRMM and, 309–323
fixed fractional trading, optimal f, and
TWR in, 295–304
Kelly formula, money management,
289–294, 292, 293
optimal fin, 295–304
percentages vs. dollar amounts in, 51–55
profits and profit factors vs., 24–25,
48–51
risk–reward ratios and, 50–51, 95
RS system No. 1 and, 106
sample strategy analysis for, percent vs.
dollar amount, 51–55
TradeStation code and, 94
Risk & Portfolio Management, 329
risk adjusted return, 25
risk–reward ratio, 13, 50–51, 95, 167–171,
167, 168, 169
expert exits and, 176
filters and, 260
fixed fractional trading, optimal f, and
TWR in, 302–304
Harris 3L-R pattern variation system and,
164–165
hybrid system No. 1 and, 98–99
meander system and, 115–116, 116
relative strength bands system and,
126–127, 126 , 132–133
rotation system and, 140, 144–145, 144
RS system No. 1 and, 108–109
Sharpe ratio in, 326, 327, 343, 382
Sortino ratio in, 325, 326 , 325
volume-weighted average system and,
158–159, 158, 159
robustness of system, 272
rolling time window analysis, 328 , 328
rotation, 81, 137–152, 140 , 220
analysis of, 138–139
evaluation of, 187
filter/filter use of, 266–269, 363–374,
363–372
lookback periods in, 140–142, 142 ,
145–146
moving average slope (MAS) in, 137390 IndexStridsman Index 5/27/03 4:37 PM Page 390