Product Description About the Author CONTENTS
ACKNOWLEDGMENTS xxi PART ONEHOW TO EVALUATE A SYSTEM 1 Performance Measures 4 Chapter 1Percentages and Normalized Moves 7 About the Costs of Trading 12 Chapter 2Calculating Profit 15 Average Profit per Trade 16 Average Winners and Losers 20 Standard Deviation 22 Distribution of Trades 25 Standard Errors and Tests 28 Other Statistical Measures 30 Time in Market 31 Chapter 3Probability and Percent of Profitable Trades 35 Calculating Profitable Trades 35 The Difference Between Trades and Signals 43 Chapter 4Risk 47 Calculating Risk 48 A Sample Strategy Analysis 51 Chapter 5Drawdown and Losses 57 Drawdown Compared to Equity 58 Drawdown Compared to the Market 59 Mean–Median Comparisons 60 Types of Drawdown 63 Chapter 6Quality Data 67 A Scary Futures-Market Example 71 Understanding Profitability 76 PART TWOTRADING SYSTEM DEVELOPMENT 79 Chapter 7TradeStation Coding 83 Export Code 86 Comments on the Code 89 The Exported Data 91 Initial Description of the Systems 95 Chapter 8Hybrid System No.1 97 Suggested Markets 97 Original Rules 97 Test Period 98 Test Data 98 Starting Equity 98 System Pros and Cons 98 Revising the Research and Modifying the System 99 TradeStation Code 102 Chapter 9RS System No.1 105 Suggested Markets 105 Original Rules 105 Test Period 106 Test Data 106 Starting Equity 106 System Pros and Cons 106 Revising the Research and Modifying the System 107 TradeStation Code 110 Chapter 10Meander System V.1.0 113 Suggested Markets 113 Original Rules 114 Test Period 114 Test Data 114 Starting Equity 114 System Pros and Cons 114 Revising the Research and Modifying the System 115 TradeStation Code 120 Chapter 11Relative Strength Bands 123 Suggested Markets 124 Original Rules 124 Test Period 124 Test Data 124 Starting Equity 124 System Pros and Cons 125 Revising the Research and Modifying the System 125 TradeStation Code 133 Chapter 12Rotation 137 Suggested Markets 137 Original Rules 138 Test Period 138 Test Data 138 Starting Equity 138 System Analysis 138 Revising the Research and Modifying the System 139 TradeStation Code 146 Chapter 13Volume-weighted Average 153 Suggested Markets 154 Original Rules 154 Test Period 154 Test Data 154 Starting Equity 154 System Pros and Cons 154 Revising the Research and Modifying the System 155 TradeStation Code 159 Chapter 14Harris 3L-R Pattern Variation 163 Suggested Markets 164 Original Rules (Long Trades Only) 164 Test Period 164 Test Data 164 Starting Equity 164 System Pros and Cons 164 Revising the Research and Modifying the System 165 TradeStation Code 171 Chapter 15Expert Exits 173 Suggested Markets 174 Original Rules (Reverse the Logic for Short Trades) 174 Test Period 174 Test Data 174 Starting Equity 174 System Pros and Cons 174 Revising the Research and Modifying the System 175 TradeStation Code182 Chapter 16Evaluating System Performance 185 PART THREESTOPS, FILTERS, AND EXITS 191 Chapter 17Distribution of Trades 193 Chapter 18Exits 201 Limiting a Loss 201 Taking a Profit 203 End of Event 204 Money Better Used Elsewhere 205 Chapter 19Placing Stops 207 Percent Stops 209 Volatility 210 Surface Charts 212 Chapter 20Adding Exits 219 Surface Chart Code 220 Comments on the Code 224 Hybrid System No. 1 226 Stop-loss Version 226 Trailing-stop Version 233 Meander System, V.1.0 237 Stop-loss Version 237 Trailing-stop Version 240 Volume-weighted Average 241 Stop-loss Version 241 Trailing-stop Version 242 Harris 3L-R Pattern Variation 245 Stop-loss Version 246 Trailing-stop Version 247 Expert Exits 248 Stop-loss Version 249 Trailing-stop Version 249 Uncommented Bonus Stops 250 Chapter 21Systems as Filters 255 RS System No. 1 as the Filter 260 Relative-strength Bands as the Filter 262 Rotation as the Filter 266 Chapter 22Variables 271 Chapter 23 Evaluating Stops and Exits 281 PART FOURMONEY MANAGEMENT 287 Chapter 24The Kelly Formula 289 Chapter 25Fixed Fractional Trading 295 Chapter 26Dynamic Ratio Money Management 305 Building a Sample Spreadsheet 310 Chapter 27Spreadsheet Development 325 Money Management Export Code 337 Comments on the Code 341 Chapter 28Combined Money Market Strategies 343 Strategy 1 345 Strategy 2 349 Strategy 3 352 Strategy 4 354 Strategy 5 356 Strategy 6 358 Strategy 7 359 Strategy 8 362 Strategy 9 363 Strategy 10 365 Strategy 11 366 Strategy 12 369 The Counterpunch Stock System 374 Suggested Markets 376 Rules 376 Money Management 376 Test Period 376 Test Data 377 Starting Equity 377 System Analysis 377 Chapter 29Consistent Strategies 379 Conclusion 382 INDEX 385
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