Shane Baker
26th January 2004, 11:00 AM
Hi David
I have encountered a confusing set of results. I ran a system test using a c-2*atr trailing stop and a money management volatility stop. Using the same entry and exit criteria for all tests, I varied the money management stop criteria, using a c-1atr, c-1.5 atr, c-2atr,c-3atr,c-4atr and c-5atr money management stop. All other criteria in the explorations are the same. What occurred is that I have a smaller number of trades for the c-1atr stop and the number of trades increase as the money management stop gets wider as above. I find this perplexing as I would have thought that a tight money management stop may have exited earlier thus increasing the trade frequency.
If anyone can help with this I’d appreciate it. Numbers are below.
Cheers
Shane
2*ATR TRAILING STOP
Position sizing based on C-atr multiple 1.0*ATR 1.5*ATR 2.0*ATR 3.0*ATR 4.0*ATR 5.0*ATR
Simulation March 2000 to Jan 2004
Monte Carlo Statistics
Maximum number of trades executed 173 178 199 255 285 285
Average number of trades executed 138 147 174 229 258 262
Minimum number of trades executed 105 117 178 192 232 235
Maximum percentage winning trades 61.48 65.69 65.82 67.14 65.71 64.84
Average percentage winning trades 46.66 53.17 53.91 57.1 59.19 57.44
Minimum percentage winning trades 34.06 40.25 42.86 49.18 51.87 51.11
Maximum percentage losing trades 65.94 59.75 57.14 50.82 48.13 48.89
Average percentage losing trades 53.34 46.83 46.09 42.9 40.81 42.56
Minimum percentages losing trades 38.52 34.31 34.18 32.86 34.29 35.16
Maximum Peak to Valley drawdown % 11.9 13.32 11.33 8.46 7.17 7.06
Average Peak to Valley drawdown %% 4.17 4.43 4.11 3.83 3.14 3.53
Minimum Peak to Valley drawdown % 1.75 1.48 1.48 1.37 1.2 1.46
Maximum profit % 543 584 486 414 277 172
Average profit % 224 268 265 258 189 123
Minimum profit % 89 105 135 159 124 85
Single simulation
Profit factor 4.88 5.23 4.2 5.52 5.36 4.18
Average Win/Average Loss 5.9 4.77 4.01 4.25 3.53 3.43
Maximum consecutive winning trades 5 6 8 8 13 11
Maximum consecutive losing trades 5 6 7 7 7 8
Expectation per dollar risked 1.4 1.9 0.93 0.6 0.41 0.29
% profit 309 381 363 328 263 204
Maximum drawdown 3.13 4.4 2.43 2.52 2.72 3.27
% winning trades 45 52 51 56 60 55
% losing trades 55 48 49 44 40 45
% trailing stop exit trades 47 68 81 89 92 92
% initial stop exit trades 47 27 14 7 7 7
% open trades 6 5 5 4 1 1
Number of trades in simulation 137 151 174 223 257 267
Days in winning trades 106 105 107 105 102 105
Days in losing trades 21 36 42 43 41 42
:( [/list]
I have encountered a confusing set of results. I ran a system test using a c-2*atr trailing stop and a money management volatility stop. Using the same entry and exit criteria for all tests, I varied the money management stop criteria, using a c-1atr, c-1.5 atr, c-2atr,c-3atr,c-4atr and c-5atr money management stop. All other criteria in the explorations are the same. What occurred is that I have a smaller number of trades for the c-1atr stop and the number of trades increase as the money management stop gets wider as above. I find this perplexing as I would have thought that a tight money management stop may have exited earlier thus increasing the trade frequency.
If anyone can help with this I’d appreciate it. Numbers are below.
Cheers
Shane
2*ATR TRAILING STOP
Position sizing based on C-atr multiple 1.0*ATR 1.5*ATR 2.0*ATR 3.0*ATR 4.0*ATR 5.0*ATR
Simulation March 2000 to Jan 2004
Monte Carlo Statistics
Maximum number of trades executed 173 178 199 255 285 285
Average number of trades executed 138 147 174 229 258 262
Minimum number of trades executed 105 117 178 192 232 235
Maximum percentage winning trades 61.48 65.69 65.82 67.14 65.71 64.84
Average percentage winning trades 46.66 53.17 53.91 57.1 59.19 57.44
Minimum percentage winning trades 34.06 40.25 42.86 49.18 51.87 51.11
Maximum percentage losing trades 65.94 59.75 57.14 50.82 48.13 48.89
Average percentage losing trades 53.34 46.83 46.09 42.9 40.81 42.56
Minimum percentages losing trades 38.52 34.31 34.18 32.86 34.29 35.16
Maximum Peak to Valley drawdown % 11.9 13.32 11.33 8.46 7.17 7.06
Average Peak to Valley drawdown %% 4.17 4.43 4.11 3.83 3.14 3.53
Minimum Peak to Valley drawdown % 1.75 1.48 1.48 1.37 1.2 1.46
Maximum profit % 543 584 486 414 277 172
Average profit % 224 268 265 258 189 123
Minimum profit % 89 105 135 159 124 85
Single simulation
Profit factor 4.88 5.23 4.2 5.52 5.36 4.18
Average Win/Average Loss 5.9 4.77 4.01 4.25 3.53 3.43
Maximum consecutive winning trades 5 6 8 8 13 11
Maximum consecutive losing trades 5 6 7 7 7 8
Expectation per dollar risked 1.4 1.9 0.93 0.6 0.41 0.29
% profit 309 381 363 328 263 204
Maximum drawdown 3.13 4.4 2.43 2.52 2.72 3.27
% winning trades 45 52 51 56 60 55
% losing trades 55 48 49 44 40 45
% trailing stop exit trades 47 68 81 89 92 92
% initial stop exit trades 47 27 14 7 7 7
% open trades 6 5 5 4 1 1
Number of trades in simulation 137 151 174 223 257 267
Days in winning trades 106 105 107 105 102 105
Days in losing trades 21 36 42 43 41 42
:( [/list]