Figure 21.1 shows that without the trend filter, 18 markets had an average
profit factor above one. However, we cannot say that the true profit factor is
above one for any of them, because the one standard deviation will bring the one-
standard-deviation boundary below one, when deducted from the profit factor.
Also, 28 markets had more than 50-percent profitable trades, but only three of
them were sufficiently above the 50-percent mark, for us to say that we can be 68
percent sure that the true percentage profitable trades also should be above 50
percent. For all stocks combined, the true profit factor will, with 68 percentCHAPTER 21 Systems as Filters 257
Company PF St. dev. % win St. dev.
3M 0.85 0.12 48.14 2.48
Alcoa 1.00 0.13 48.10 2.12
American Express 1.14 0.16 53.59 2.66
AT&T 1.11 0.26 51.70 2.69
Boeing 0.91 0.12 52.19 2.54
Caterpillar 0.94 0.22 50.62 2.56
Citigroup 1.29 0.22 57.01 3.85
Coca-Cola 1.01 0.19 52.96 2.68
Disney 0.97 0.20 52.22 3.62
DuPont 0.93 0.15 48.39 3.07
Exxon 0.91 0.15 50.73 1.22
General Electric 1.37 0.25 55.10 2.48
General Motors 0.96 0.11 49.61 2.25
Home Depot 1.29 0.16 54.86 3.05
Honeywell 1.11 0.10 54.90 1.73
Hewlett-Packard 1.07 0.14 50.96 1.43
IBM 1.22 0.22 58.36 1.75
International Paper 0.78 0.14 48.42 2.86
Intel 1.26 0.20 52.39 2.50
Johnson & Johnson 1.17 0.17 54.03 2.84
JP Morgan 1.06 0.14 51.68 2.57
Kodak 0.96 0.16 50.70 3.38
McDonalds 1.01 0.19 51.98 1.91
Merck 1.07 0.16 57.32 3.08
Microsoft 1.49 0.41 56.52 2.61
Procter & Gamble 1.06 0.18 49.58 2.45
Philip Morris 1.26 0.17 55.33 2.05
SBC Communications 1.01 0.20 51.24 2.44
United Technologies 1.26 0.19 55.51 2.87
Wal-Mart 1.42 0.24 58.61 3.58TABLE 21.2
Testing with Trend Filter (200-day Moving Average)