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

is the relatively little time they spend in the market, which makes plenty of room

for diversification with other systems and markets. Note also that both the mean-

der system and the expert exits systems still have risk–reward ratios well above

one, which means that at least 84 percent of all trading sequences will produce a

profit, statistically speaking.

CHAPTER 21 Systems as Filters 261

Meander system, V.1.0: 1.8 ATR stop loss,

3 ATR profit target, 8 bars max. trade length PercProf: 86.67

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 144.58 52.97 99,512.31 756.36 Market

St. Dev: 34.32 4.41 76,271.48 623.94 6,790.48 0.11

High: 178.90 57.38 175,783.79 1,380.30 7,546.84 Portfolio

Low: 110.26 48.56 23,240.82 132.41 (6,034.13) 1.21

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.32 0.14 64,199.52 32.83 28.47 8.34

St. Dev: 0.25 0.11 35,052.61 19.02 4.14 0.25

High: 1.57 0.25 99,252.12 51.85 32.61 8.58

Low: 1.08 0.04 29,146.91 13.80 24.33 8.09

TABLE 21.3

Meander System Using RS System No. 1 as Filter

Volume-weighted average: 2.4 ATR trailing stop,

2 ATR profit target, 6 bars max. trade length PercProf: 80.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 61.78 52.85 33,372.20 565.68 Market

St. Dev: 19.62 8.02 49,494.94 1,143.89 5,677.57 0.10

High: 81.41 60.87 82,867.14 1,709.57 6,243.25 Portfolio

Low: 42.16 44.83 (16,122.75) (578.21) (5,111.89) 0.49

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.39 0.15 39,605.78 29.51 8.90 6.13

St. Dev: 0.57 0.24 22,762.27 19.87 2.16 0.23

High: 1.96 0.39 62,368.06 49.38 11.06 6.36

Low: 0.83 (0.09) 16,843.51 9.65 6.74 5.90

TABLE 21.4

Volume-weighted System Using RS System No. 1 as Filter