Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

Relative-strength Bands as the Filter

The hybrid system No. 1 probably least liked the filters, no matter which filter it

was teamed up with (Table 21.7). In fact, the only good news is that the percent-

age of time spent in the market also decreased by approximately 50 percent, to a

tolerable 15 percent (compare with Table 20.1). Other than that, the stop-loss ver-

262 PART 3 Stops, Filters, and Exits

Harris 3L-R pattern variation: 2.7% trailing stop,

4.5% profit target, 5 bars max. trade length PercProf: 75.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 108.78 42.60 29,297.27 277.68 Market

St. Dev: 28.71 5.16 38,649.73 472.58 3,530.43 0.07

High: 137.50 47.77 67,947.01 750.27 3,808.11 Portfolio

Low: 80.07 37.44 (9,352.46) (194.90) (3,252.75) 0.59

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.25 0.13 30,240.42 23.10 9.03 3.49

St. Dev: 0.32 0.19 14,074.59 13.47 2.36 0.57

High: 1.57 0.32 44,315.01 36.57 11.39 4.06

Low: 0.93 (0.06) 16,165.83 9.64 6.68 2.93

TABLE 21.5

Harris 3L-R Path Variant Using RS System No. 1 as Filter

Expert exits: 0.6 % stop loss,

3.5% profit target, 3 bars max. trade length PercProf: 96.67

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 127.75 43.99 49,501.30 442.65 Market

St. Dev: 39.57 4.83 32,839.33 362.72 2,950.79 0.15

High: 167.32 48.82 82,340.64 805.37 3,393.44 Portfolio

Low: 88.18 39.16 16,661.97 79.93 (2,508.14) 1.22

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.52 0.28 22,920.70 15.94 7.34 2.44

St. Dev: 0.40 0.19 13,920.08 9.66 1.83 0.08

High: 1.92 0.47 36,840.78 25.60 9.17 2.52

Low: 1.11 0.08 9,000.62 6.28 5.51 2.36

TABLE 21.6

Expert Exits System Using RS System No. 1 as Filter