rotation(continued)
original rules for, 138
revising and modifying, 139–146, 146
risk–reward ratio in, 140, 144–145, 144
short vs. long in, 139–140, 143–146, 143,
144
starting equity for, 138
stops and exits in, 139, 140, 141
suggested markets for, 137
test period/test data in, 138
TradeStation code for, 146–152
trend filters in, 139
RS system No. 1, 81, 105–112, 220
evaluation of, 186
filter/filter use of, 344
filter/filter use of, 260–262, 261 , 345–354,
346–355, 356–359, 356–359
length in trade and, 107–110
lookback in, 108–109, 108
money market strategy using, 344–359,
346–359
original rules for, 105–106
pros and cons of, 106
revising and modifying, 107–110, 107,
110
risk and, 106
risk–reward ratio in, 108–109
short vs. long term, 106
starting equity for, 106
stop loss in, 107, 108
suggested markets for, 105
test period/test data for, 106
TradeStation code for, 110–112
rules for systems, number of, 188–189
Russell 2000 stocks used in analysis, 84
S&P 400 Midcap stocks used in analysis, 84
S&P 500 stocks used in analysis, 84
Sharpe ratio, 326, 327, 382
combined money market strategies, 343
short vs. long trades, 12–13
exits and, 219
expert exits and, 174, 177–178, 177
Harris 3L-R pattern variation system and,
163, 165, 166
hybrid system No. 1 and, 98–99, 101–102
meander system and, 118, 119 , 120
relative strength bands system and, 130
rotation system and, 139–140, 143–146,
143, 144
RS system No. 1 and, 106
volume-weighted average system and,
154–159, 156
signals vs. trades, 43–46, 44skew, 327–328
profit and, 23–25, 28
slow trade stop, 251, 253
hybrid system No. 1 and, 99–102, 101,
102
sorting data, TradeStation code, 91, 91
Sortino ratio, 325, 326 , 325
splicing contracts, 71–75, 72, 73, 74
splits, 8
spreadsheet development, 325–342
cumulative monthly returns from, 336
distribution of drawdowns from, 335
drawdown curve from, 334
individual market summary in, 336–337,
337
initial parameter settings for, 325
money management export code for,
337–342
money management point (MMP) in, 337,
341
monthly distributions from, 335
optimal fin, 325
raw data used in, 337, 338
risk calculation in, 328–329
rolling time window analysis in, 328
Sharpe ratio in, 326, 327
skew and kurtosis in, 327–328
Sortino ratio in, 325, 326 , 325
strategy summary for, 326, 327
total equity curve from, 334
spreadsheet of compiled trade results,
273–274, 274
spreadsheet using DRMM, 310–323,
311–314, 320, 321, 322
stability of system, 271–272
standard deviation, 22–25
Chebychef ’s theorem and, 31
leptokurtic distributions and, 26–28, 27
mean, median, and mode in, 25–28
platykurtic distributions and, 26–28, 27
relative strength bands system and, 128 ,
129
relative strength bands system and, 131,
132
standard error and tests for, 28–30
TradeStation code and, 93–94
trimmean function in, 30–31
standard error, profit calculation and, 28–30
start trade drawdown (STD) –65
statistics, 22–25
stocks used in analysis, 84–85
stop loss, 166–167, 251, 252, 284, 381
distribution of trades and, 193–199, 193
DRMM and, 306Index 391Stridsman Index 5/27/03 4:37 PM Page 391