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TABLE
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13-4
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Market-by-Market Results for the Standard Exit with Random Entries at the Open
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symbol. The remaining columns contain information about various aspects of performance, both in-sample and out-of-sample. NETL and NETS are the net profits for long and short positions (respectively), in thousands of dollars. ROA% = the annualized return-on-account. AVTR = the average dollars profit or loss per trade. WIN% = the percentage of winning trades. TRDS = the number of trades taken. The last two rows (AVG and STDEV) show the averages and standard deviations
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(respectively) across all markets for the various performance figures. In-sample, the British Pound, the Japanese Yen, Feeder Cattle, Live Hogs, and Lumber were the only markets that bad positive returns. Only the Deutschemark had a strong return on account at 25.9% annualized. Out-of-sam ple, the NYFE, the Japanese Yen, Light Crude, COMEX Gold, Palladium, Live Hogs, Soybeans, Soybean Meal, Coffee, and Orange Juice had positive returns. Only the Japanese Yen and Live Hogs were profitable in both samples. The random entry system was among the least consistent systems of those examined in the study of entries. The average trade, across all markets, lost $1,731 in-sample and $1,734 outof-sample. Long trades lost less than shorts, a finding observed many times. Insample, all the currencies, except the Canadian Dollar and Eurodollars, were profitable on the long side. These are trendy markets, and therefore, such profitability is likely due to the behavior of the standard exit, not to chance factors involved in the random entries. The analysis of the standard exit with random entries taken using various entry orders should serve well as a baseline of comparison for both the real, nonrandom entries (studied in earlier chapters) and the more sophisticated exits (to be studied in subsequent chapters).
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TESTS OF THE MODIFIED SES
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The next test involves changing the SES a bit, thus producing the modifkd standard exit strategy (MSES). The SES is made more realistic by allowing the money management stop and profit target limit to function inside the bar, not merely at the close. To avoid ambiguities in the simulation when using end-of-day data, all entries are now restricted to the open. This allows complete freedom to explore a wide range of exit strategies. Other than lifting the restriction to the close, the MSES is identical to the original SES used when testing entries. The rules for the MSES are as follows: Upon entry, set up an exit stop below (long positions) or above (short positions) the entry price and an exit limit above (long) or below (short) the entry price. Place the exit stop some multiple (the money management stop parameter) of the average true range away from the entry price. Place the exit limit some other multiple (the profit target parameter) of the average true range away from the entry price. Exit on the close after 10 days have elapsed if neither the money management stop nor the profit target limit has yet closed out the trade. A 50.bar average true range is used in these rules. The code below implements random entries at the open together with the modified standard exit strategy.
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The Standard Exit strategy
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The code used to run the current test is identical to the code used for the earlier test, except for changes required by the modified exit strategy. A trade is entered on a random signal that is generated as discussed earlier. However, buying and selling occur only on the open. In addition, information is recorded about entry activity, i.e., whether an entry (long, short, or none) was posted on the current bar (entryposted), the price (entryprice) at which the entry took place (if one was posted), and the bar on which it took place (entrybar). This data is required in computing the exits. The exits are then generated. If an entry is posted for the next bar (i.e., if the market is entered long or short at the open of the next bar), a profit target and a stop loss are also posted for that bar. For the longs, the stop loss, or money management stop, is set at the entry price minus a parameter that is multiphed by the average true range. The limit price for the profit target is set as the entry price plus another parameter that is multiplied by the average true range. If, on the current bar, a short entry is posted for the next open, then orders are also posted to exit the resulting short position on a limit or a stop. The limit and stop are calculated in a manner similar to that for the longs, except the directions are flipped around. If a given bar is not an entry bar, a check is made to determine whether there is an existing position after the close of the bar. If there is, two orders (possibly three) are posted: the money management stop and profit target limit orders, using the stop and limit prices calculated on the bar the entry was initially posted; and if the trade has been held for more than maxhold bars, an order to exit on the close is also posted. TEST RESULTS Test 4: MSES with Random Entries at Open. Table 13-5, which has the same format as Tables 13-l through 13-3, provides data on the portfolio performance of
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the modified standard exit strategy with trades entered randomly at the open, Insample, the average trade. lost $1,702, with a standard deviation of $365. The percentage of wins was 31.73%, with a standard deviation of 1.10%. The average trade lost less than it did in the tests of the original, unmodified SES. The reduction in the loss on the average trade was undoubtedly caused by the ability of the MSES to more quickly escape from bad trades, cutting losses short. The more rapid and frequent escapes also explain the decline in the percentage of winning trades. There were fewer wins, but the average loss per trade was smaller, an interesting combination. Overall, the MSES should be regarded as an improvement on the unmodified standard exit. Out-of-sample, the average trade lost $836. Statistically, this was significantly better than the in-sample performance. It seems that, in more recent years, this exit provided a greater improvement than it did in earlier years. The markets may be more demanding than they were in the past of the ability to close out bad trades quickly. Other figures in Table 13-5 indicate a similar pattern of changes. Market-by-Market Results for MSES with Random Entries at Open. Table 136 contains the market-by-market results for the MSES with the best set of random entries taken at the open. The best set was chosen from the randomizations shown in Table 13-5. The Swiss Franc, Light Crude, Heating Oil, COMEX Gold, and Live Cattle had positive returns both in- and out-of-sample. For some markets, the MSES was able to pull consistent profits out of randomly entered trades! Many more markets were profitable in both samples than when the unmodified SES was
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