sion of this system lost as much as one-third of its average profit per trade and
two-thirds of its risk–reward ratio. The number of profitable markets also
decreased from over 90 percent to a more modest 72 percent.
However, reversing the rules for many of the filters before applying them to
this system improved the performance for many of the new system–filter versions
considerably. This is not shown, but you can try it yourself on a system that actu-
ally does best when trading the weakest stock in a group of stocks (according to
our second reason why an intermediate-term relative-strength filter might not
always function as anticipated).
The stop-loss version of the meander system continued to do fairly well with
the relative-strength bands as filters. If you compare this version of the system, in
Table 21.8, with the ones in Tables 20.3 and 21.3, you will find that this version
of the system actually had both the highest average profit per trade and the least
time spent in the market of all three versions. A much lower risk–reward ratio of
0.76 is, however, an indication that we cannot be as sure about this version’s future
performance as we can of the others. The time spent in the market is also a little
too high for optimal diversification possibilities.
The trailing-stop version of the volume-weighted average system also holds
up well together with the relative-strength bands as a filter. Comparing Table 21.9
with Tables 20.6 and 21.4, we can see that this version doesn’t fall too far behind
the original version in Table 20.6, having an average profit per trade only some 5
percent lower and a much higher risk–reward ratio than the version in Table 21.4.
The stop-loss version of the Harris 3L-R pattern variation, in Table 21.10, is a
good example of a system–filter combination that boosts the profit factor despite aCHAPTER 21 Systems as Filters 263
Hybrid system No. 1: 1 ATR stop loss,
1.5 ATR profit target, 6 bars max. trade length PercProf: 72.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 97.00 48.31 28,607.08 295.41 Market
St. Dev: 35.80 7.09 53,259.36 707.02 4,275.30 0.07
High: 132.80 55.39 81,866.44 1,002.42 4,570.71 Portfolio
Low: 61.20 41.22 (24,652.28) (411.61) (3,979.90) 0.42
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.24 0.10 34,905.87 26.43 15.02 4.87
St. Dev: 0.39 0.18 25,342.23 16.00 3.91 0.33
High: 1.62 0.28 60,248.10 42.42 18.93 5.20
Low: 0.85 (0.08) 9,563.64 10.43 11.12 4.54TABLE 21.7
Hybrid System Using Relative-strength Bands as Filter