Ultimate Algorithmic Trading System

TABLE 9.1
Portfolio Trades without Stops
No Portfolio Stops
Date Mkt Entry/Exit Price Quant $P/L Entry/Exit Name
3/24/06 @AD Short Entry 0.4594 3 Turtle55 Sell
4/6/06 @AD Short Exit 0.4794 3 ($6,100.00) Turtle55SmmLiq
4/26/06 @AD Long Entry 0.4959 3 Turtle55 Buy
6/1/06 @AD Long Exit 0.4933 3 ($880.00) Turtle55LLiq
8/10/06 @AD Long Entry 0.5162 3 Turtle55 Buy
8/25/06 @AD Long Exit 0.5042 3 ($3,700.00) Turtle55LLiq
9/5/06 @AD Long Entry 0.5196 4 Turtle55 Buy
9/8/06 @AD Long Exit 0.503 4 ($6,740.00) Turtle55LLiq
TABLE 9.2
Portfolio Trades with Stops in Place
With Portfolio Stops
Date Mkt Entry/Exit Price Quant $P/L Entry/Exit Name First New Signal
3/24/06 @AD Short Entry 0.4594 3 Turtle55 Sell
3/31/06 @AD Short Exit 0.4611 3 ($610.00) Portfolio Stop Short
Stopped Trading 3/31/2006; Resume 4/01/2006
289
No Signal Before the Next Stoppage
Stopped Trading 4/20/2006; Resume 5/01/2006
5/3/06 @AD Long Entry 0.5105 3 Turtle55 Buy First New Signal in May
5/11/06 @AD Long Exit 0.5211 3 $3,080.00 Portfolio Stop Long
Stopped Trading 5/11/2005; Resume 6/01/2006
PORTFOLIO ANALYSIS
8/10/06 @AD Long Entry 0.5162 4 Turtle55 Buy First New Signal in Aug.
8/17/06 @AD Long Exit 0.5167 4 $100.00 Portfolio Stop Long
Stopped Trading 8/17/2006; Resume 9/01/2006
9/5/06 @AD Long Entry 0.5196 5 Turtle55 Buy First New Signal in Sept.
9/8/06 @AD Long Exit 0.503 5 ($8,400.00) Turtle55LLiq
Which test would you trade? Needless to say, the test with the portfolio stops
was much better. In Test 2, Total Return dropped precipitously, but so did
Maximum DD. It is interesting to see that Number of Trades increased in
Test 2, which at first seems counterintuitive. If trading is turned off, then you would
expect to have fewer trades. However, the more you think about it, a higher trade
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