Result with optimised input values

With the fast moving average set to 1 bar (=closing price itself) and the slow m
oving
average set to 44 bars you get a steadily growing equity curve (Figure 3.7A). Th
is result
is confirmed with the underwater-equity curve which always quickly recovers afte
r every
drawdown (Figure 3.7B). The biggest drawdown happened in November 2003. It was,
with 8%, only half as big as the drawdown of more than 15% which we got with the
nonoptimised input parameters (10/30).
56How to develop a trading system step-by-step
using the example of the British po
und/US dollar pair
Figure 3.7: Trading system LUXOR, tested on British pound/US dollar (FOREX), 30
minute bars,
21/10/2002-4/7/2008. Optimised input parameters in terms of net profit: SLOW=44,
FAST=1.
System without exits, always in the market, long or short. Back-test includes $3
0 slippage
and commission. Chart from TradeStation 8. A: Detailed equity curve; B: Weekly u
nderwater
equity curve.
A
B
57Trading Systems
Table 3.2: Main system figures of the trading system LUXOR. British pound/US dol
lar (FOREX),
30 minute bars, 21/10/2002-4/7/2008. Input parameters: SLOW=44, FAST=1. System w
ithout
exits, always in the market. Back-test includes $30 slippage and commission per
round turn.
All Trades Long Trades Short Trades
Total Net Profit $100,125 $73,888 $26,237
Gross Profit $666,862 $347,323 $319,540
($566,738) ($273,435) ($293,303)
Profit Factor 1.18 1.27 1.09
Total Number of Trades 2980 1490 1490
26.41% 28.26% 24.56%
787 421 366
2193 1069 1124
$33.60 $49.59 $17.61
$847 $825 $873
($258) ($256) ($261)
3.28 3.23 3.35
$5,428 $5,428 $4,418
($2,062) ($2,062) ($1,452)
7 7 7
Max. Consecutive Losing
Trades 24 18 21
Avg. Bars in Total Trades 24.69 25.61 23.77
Avg. Bars in Winning Trades 60.75 60.82 60.66
Avg. Bars in Losing Trades 11.75 11.75 11.76
Max. Drawdown (Intra-day
Peak to Valley) ($13,440) ($7,594) ($19,284)
Date of Max. Drawdown 26-Nov-03
Gross Loss
Percent Profitable
Winning Trades
Losing Trades
Avg. Trade Net Profit

Avg. Winning Trade

Avg. Losing Trade
Ratio Avg. Win:Avg. Loss
Largest Winning Trade
Largest Losing Trade
Max. Consecutive Winning
Trades
Although the overall return/drawdown ratio of the LUXOR system is acceptable a c
loser
look at the system figures reveals that the system we have developed to this poi
nt cannot