stop loss(continued)
expert exits and, 178–180, 180 , 249, 249 ,
358–359, 358, 359, 362–366, 362, 365,
366
Harris 3L-R pattern variation and,
246–247, 246, 247, 362–363, 362 ,
365–366, 365, 366
hybrid system No. 1 and, 226–233,
227–233, 359–362, 360, 361
meander system and, 115, 237–240,
237–239, 345–351, 346, 347, 349, 350,
359–362, 360, 361
RS system No. 1 and, 107, 108
volume-weighted average system and, 156,
157 , 241–242
stops (See alsotrailing stops), 189, 190
average true range method in, 211–212
bonus stops (uncommented), 250–254
evaluation of, 281–285
expert exits and, 175–176, 178–182, 180,
181
max-length, 252–254
min-move, 252, 253
percent type, 209–210, 250–251
placing, 207–217
price to determine placement of,
207–208
profit protector, 251, 253
profit target, 251, 253
relative strength bands system and,
129–132, 132
risk amount to determine placement of,
208
rotation system and, 139, 140, 141
slow trade, 251, 253
stop loss, 251, 252
surface charts and, 212–217, 213, 214,
215, 216
trailing stop (Seetrailing stops)
true-range, 252
volatility-based, 210–212
volume-weighted average system and, 156,
157
strategy vs. system, 344
summary of data, TradeStation code, 91–92,
92
surface charts, 212–217, 213–216
exit placement and, 283–284
TradeStation code for, 220–226
Sweeney, John, 65
systems as filters, 255–269
on balance volume (OBV) and, 258
profit factors and, 257–258
pros and cons of use of, 258–260systems as filters(continued)
relative strength bands as, 262–266,
359–362, 360, 361, 366–369, 367, 368,
369 , 369–374, 370, 371, 372
risk–reward ratio and, 260
rotation system as, 266–269, 363–369,
363–369, 369–374, 370, 371, 372
RS system No. 1, 260–262, 261 , 344,
345–359, 346–359
trend filters and, 255–258, 256, 257
taking a profit using an exit, 203–204, 282
terminal wealth relative (TWR), 295–304,
295
time in market, 82
expert exits and, 174–175
meander system and, 116–117, 117
profit calculation vs., 31–33
TradeStation code and, 94
total equity curve from spreadsheet, 334
total equity drawdown (TED), 63–65, 64
TradeStation code, 10–11, 11 , 82, 83–95
compiling trade results in one spreadsheet,
273–274, 274
dynamic ratio money management
(DRMM) in, 85
EasyLanguage code in, 83–84
expert exits and, 182–183
export code in, 86–91
exported data in, 91–94, 91
futures contracts, calculate number of,
11–12
Harris 3L-R pattern variation system and,
171–172
hybrid system No. 1 and, 102–103
Kelly formula in, 293
markets used in, 84
meander system and, 120–121
relative strength bands system and,
133–136
risk in, 94
rotation system and, 146–152
RS system No. 1 and, 110–112
sorting data in, 91, 91
standard deviation in, 93–94
stocks used in, 84–85
summary of data in, 91–92, 92
surface chart code in, 220–226
time spent in market in, 94
volume-weighted average system and,
159–161
trading system development, 79–82
Trading Systems Lab (See Active Trader
magazine)392 IndexStridsman Index 5/27/03 4:37 PM Page 392