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Maximum loss ($)
Figure 4.10 Analysis of 777 winning trades: maximum loss in trades that were closed out at a profit. This is also known as the maximum adverse excursion plot.
About 500 (64 percent) of the trades were immediately profitable, with a loss during the trade of less than -$250. Another 100 trades showed drawdowns of less than -$500.
Thus, almost 77 percent of the trades showed a loss of -$500 or less during their evolution. There were very few trades that showed losses greater than -$1,750 and then closed out at a profit. This suggests that we could set an initial stop at $1,000 and capture almost 88 percent of the winning trades. This is a realistic way to pick the point at which a mechanical initial money management stop could be placed.
The same information can be viewed as a cumulative frequency chart to see how many trades achieved a certain profit target (see Figure 4.11). This type of chart shows what proportion of trades had a maximum favorable excursion of, say, $500. It shows, for example, that 50 percent of trades had reached a $1,000 profit target, and so on.
In summary, the 65sma-3cc system test over 20 years of data and 23 markets showed it is a robust and profitable system that makes money in trending periods. Since we tested the system without any initial
88 Developing New Trading Systems
Дата публикования: 2014-11-04; Прочитано: 457 | Нарушение авторского права страницы | Мы поможем в написании вашей работы!