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119 LNUdb C-UU6 -US ! H-4M.K 1-tM.U Source: Chart created with TradeStation® by Omega Research, Inc. Table 18.5 Trading performance summary using the pattern in Figure 18.5 Performance Summary: All Trades (Long) Total net profit | $ 14275 | | Open position P/L | $ 0.00 | Gross profit | $ 20675 | | Gross loss | $ -6400.00 | Total # of trades | | | Percent profitable | | Number winning trades | | | Number losing trades | | Largest winning trade | $ 2675 | | Largest losing trade | $ -2950.00 | Average winning trade | $ 2067 | | Average losing trade | $ -2133.33 | Ratio avg win/avg loss | | | Avg trade (win & loss) | $ 1098.08 | Max consec. winners | | | Max consec. losers | | Avg # bars in winners | | | Avg # bars in losers | | Max intraday drawdown | $ -7600 | | | | Profit factor | | | Max # contracts held | | Account size required | $ 7600 | | Return on account | 188% |
Figure 18.5 Long positions of the (inverted) head-and-shoulders pattern.
FIGURE 18.6 SHORT POSITIONS OF THE HEAD-AND-SHOULDERS PATTERN. SP.UJMaiy » - .2.38 - ) L43B.SO ~ Source: Chart created with TradeStation® by Omega Research, Inc. Table 18.6 Trading performance summary using the pattern in Figure 18.6 Performance Summary: All Trades (Short) Total net profit | $ 10000.00 | Open position P/L | $ 0.00 | Gross profit | $ 10000.00 | Gross loss | $ 0.00 | Total # of trades | | Percent profitable | 100% | Number winning trades | | Number losing trades | | Largest winning trade | $ 2000.00 | Largest losing trade | $ 0.00 | Average winning trade | $ 2000.00 | Average losing trade | $ 0.00 | Ratio avg win/avg loss | 100.00 | Avg trade (win & loss) | $ 2000.00 | Max consec. winners | | Max consec. losers | | Avg # bars in winners | | Avg # bars in losers | | Max intraday drawdown | $ -2250.00 | | | Profit factor | 100.00 | Max # contracts held | | Account size required | $ 2250.00 | Return on account | 444% |
Figure 18.7 Signals of a system using all six patterns. vxHMmi, mia 16 • » » » ia Source: Chart created with TradeStation® by Omega Research, Inc. ("O"), there were a lot of down signals, again, mostly of the pull-backs-in-trends type. There was a clear multiple bottom buy in the beginning of October. The integrated system produced good simulated trading results, as can be seen in Table 18.7. The drawdown ($ 15,000) is a little higher than what we would prefer, but the system made a 765 percent return on the account in three years ($117,050 net profit); 75 percent of the 164 trades were profitable. The average trade was $713.72, with some trades that were quite a bit more profitable than that (e.g., a trade on 3/1/96-3/4/96 took in $2,450; 3/6/96, exiting the same day, took $2,000). The maximum number of consecutive wins was 17, with an average of two days in the market. The maximum number of consecutive losers was 2, with an average time in the market of 4 days; it only had one loss between 3/1/96 and 5/2/96. It is also a fairly active trading system (e.g., it took five trades in April 1996). The integrated system performed well over both the longs and shorts: $77,350 profit on the longs, $39,700 profit on the shorts. The drawdown was roughly the same on both and both were highly profitable: 78 percent wins on the longs, 71 percent on the shorts.
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