In the April 2000 issue of Active Tradermagazine, I illustrated the impor-
tance of only trading with the long-term trend on the stock market (“Short-term
Strategy,” “Long-term Perspective”). This time, I tested the thirty stocks in the
Dow Jones Index, over the period January 1990 to October 1999. The rules for
trading with and without the trend filter were the same as for the test on the futures
markets, except that those stocks I “only” tested 10 times each. Tables 21.1 and
21.2 show the results of these tests.256 PART 3 Stops, Filters, and Exits
Company PF St. dev. % win St. dev.
3M 1.05 0.15 52.52 2.66
Alcoa 0.99 0.07 52.69 2.27
American Express 1.05 0.14 51.28 2.76
AT&T 0.96 0.22 49.85 4.71
Boeing 1.08 0.11 51.88 1.42
Caterpillar 1.06 0.11 52.84 2.26
Citigroup 0.99 0.12 51.02 2.82
Coca-Cola 1.08 0.18 51.97 3.32
Disney 0.96 0.18 50.73 2.41
DuPont 1.05 0.21 50.56 2.67
Exxon 0.92 0.12 50.33 2.57
General Electric 0.95 0.11 50.10 1.86
General Motors 1.03 0.12 51.17 2.79
Home Depot 0.94 0.18 50.37 2.10
Honeywell 1.09 0.22 52.53 3.62
Hewlett-Packard 1.00 0.18 50.53 1.53
IBM 1.00 0.27 50.73 3.16
International Paper 1.01 0.18 51.89 3.14
Intel 1.01 0.11 50.15 2.38
Johnson & Johnson 1.02 0.19 51.16 1.61
JP Morgan 1.07 0.23 51.69 3.67
Kodak 0.99 0.18 51.43 2.61
McDonalds 0.89 0.12 49.85 3.15
Merck 1.08 0.20 51.58 2.19
Microsoft 0.92 0.13 50.96 2.85
Procter & Gamble 1.02 0.23 50.83 2.39
Philip Morris 1.12 0.20 53.42 2.09
SBC Communications 0.98 0.15 50.07 3.41
United Technologies 1.04 0.29 52.34 2.53
Wal-Mart 1.11 0.28 51.40 3.14TABLE 21.1
Testing without Trend Filter