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118 Figure 18.3 the long positions of the multiple-bottoms pattern. ip.iHMM, . - i-mu Source: Chart created with TradeStation® by Omega Research, Inc. TABLE 18.3 TRADING PERFORMANCE SUMMARY USING THE PATTERN IN FIGURE 18.3 Performance Summary: All Trades (Long) Total net profit | $ 29500.00 | Open position P/L | $ 0.00 | Gross profit | $ 36000.00 | Gross loss | $ -6500.00 | Total # of trades | | Percent profitable | | Number winning trades | | Number losing trades | | Largest winning trade | $ 2000.00 | Largest losing trade | $ -6500.00 | Average winning trade | $ 2000.00 | Average losing trade | $ -6500.00 | Ratio avg win/avg loss | 0.31 | Avg trade (win & loss) | $ 1552.63 | Max consec. winners | | Max consec. losers | | Avg # bars in winners | | Avg # bars in losers | | Max intraday drawdown | $-12025.00 | | | Profit factor | 5.54 | Max # contracts held | | Account size required | $ 12025.00 | Return on account | 245% |
« ( -5» - - so Source: Chart created with TradeStation® by Omega Research, Inc. Table 18.4 Trading performance summary using the pattern in Figure 18.4 Performance Summary: All Trades (Short) Total net profit | $ 26050.00 | Open position P/L | $ 0.00 | Gross profit | $ 60275.00 | Gross loss | $-34225.00 | Total # of trades | | Percent profitable | | Number winning trades | | Number losing trades | | Largest winning trade | $ 4650.00 | Largest losing trade | $ -6500.00 | Average winning trade | $ 2152.68 | Average losing trade | $ -4889.29 | Ratio avg win/avg loss | 0.44 | Avg trade (win & loss) | $ 744.29 | Max consec. winners | | Max consec. losers | | Avg # bars in winners | | Avg # bars in losers | | Max intraday drawdown | $-15300.00 | | | Profit factor | 1.76 | Max # contracts held | | Account size required | $ 15300.00 | Return on account | 170% |
Figure 18.4 The short positions of the multiple-tops pattern.
Tops (Short) Positions Figure 18.4 illustrates the multiple-tops pattern (short positions). A good example of the kind of multiple tops we would have marked by hand can be seen as the first signal in October. The performance summary for this pattern can be found in Table 18.4. The system took 80 percent wins, not quite as good as the longs, with a larger drawdown of $15,300 and a smaller net profit of $26,050. Results for the Head-and-Shoulders Pattern Long Positions Figure 18.5 is the chart for the long signals of the (inverted) head-and-shoulders pattern. The only entry signal on this chart presents an illustration of a little head-and-shoulders pattern: The system bought in at the pull-back after the neckline of the pattern was broken. The performance summary in Table 18.5 shows that only 13 instances of this pattern were identified by the neural network during the three year period. However, it was 77 percent profitable. The drawdown was $7,600. The system took $14,275 net profit, with the average winning trade being $2067.50. Short Positions The chart for the short side of the head-and-shoulders pattern is presented in Figure 18.6. Again, the signal appeared after the neckline of the pattern was broken, which is close to where we would have marked it by hand. However, on the trade illustrated, the system chose an exit which drew some profit, but it could have been better. Table 18.6 contains the performance summary for this pattern, which drew the least profit ($10,000), because of the very small number of trades (5); however, it had 100 percent winning trades. The drawdown was also the lowest of all the systems: only $2,250. While this is certainly impressive, it is not a system that one would trust due to the small number of trades, an insufficient number to give us any statistical sense of how the system might perform in the future. Results of the Integrated System Figure 18.7 illustrates the performance of the integrated system (i.e., it contains all the signals from all six patterns). The preponderance of signals derive from the pull-back-in-trends patterns, which were the most frequent to occur, especially during the upward move prior to September ("S," on the chart). From September until October
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