Long Term Secrets To Short-Term Trading

Figure 2.2 What might have happened. 

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Figure 2.3 Testing another time period 
Figure 2.4 Applying best case results 
The next time period, 1987 through 1997, the same system made money all right, $45,287 as Figure 
2.5 shows, but suffered a $29,100 losing spell! Not such a hot bet. The best crossover to use on this current 
set of 10year data was a 20/40, which cleaned up making $121,700, the problem is it only made $26,025 on 
the first time period and got tagged with a $30,000 drawdown. Sorry, the problem was not beans or the 
pound, the problem is that time based studies simply do not hold up. Using time exclusively as a 
consideration in speculation is one of the surer ways I know of getting a free pass to the poorhouse. 
Data BRITISH 
POUND 67/99 
Calc Dates 
01/01/87 - 
01/01/98 
Num. Conv. P. Value Comm Slippage 
Margin
FormatDrive:\Path\FileName 
-------------------------- --------------------------------------------------- 
26 4 $ 6.250 $ 50 $ 0 $ 
3,000
CSI C:\GD\BACK67\FO03.DTA 
ALL TRADES - Test 1 
Total net profit$45,287.50 
Gross profit$134,175.00 
Gross loss
$-88,887.50 
Total # of trades104 
Percent profitable 
31% 
Number winning trades 33 
Number losing trades 71 
Largest winning trade $17,262.50 
Largest losing trade
$-4,575.00 
Average winning trade $4,065.91 
Average losing trade
$-1,251.94 
Ratio avg win/avg loss 3.24 
Avg trade (win & loss)$435.46 
Max consecutive winners 
3Max 
consecutive losers12 
Avg # bars in winners 54 
Avg # bare in losers 13 
Max closed-out drawdown 
$-29,100.00Max 
intra-day drawdown 
$-29,450.00 
Profit factor 
1.50 
Max # of contracts held 
1 
Account size required $32,450.00 
Return on account139% 

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