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

general decrease of performance, compared to trading without the filter. In this case,

the profit factor comes out to 1.52, compared to 1.38 in Table 20.7, while, for exam-

ple, the risk–reward ratio is more than cut in half. The same goes for the trailing-stop

version of the same system, in Table 21.11. Although, in this case, given that a small

deterioration of performance because of the filter was expected, it’s almost fair to say

that the filter version of this system is doing better than its predecessor, in Table 20.8.

264 PART 3 Stops, Filters, and Exits

Volume-weighted average: 2.4 ATR trailing stop,

2 ATR profit target, 6 bars max. trade length PercProf: 69.57

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 37.52 56.17 14,106.93 639.20 Market

St. Dev: 19.00 9.81 24,036.62 1,009.94 5,309.69 0.09

High: 56.52 65.97 38,143.55 1,649.15 5,948.89 Portfolio

Low: 18.52 46.36 (9,929.70) (370.74) (4,670.48) 0.63

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.36 0.12 25,606.39 20.93 7.49 6.18

St. Dev: 0.55 0.20 12,433.08 11.55 2.89 0.34

High: 1.91 0.32 38,039.47 32.48 10.38 6.53

Low: 0.80 (0.08) 13,173.31 9.38 4.60 5.84

TABLE 21.9

Volume-weighted System Using Relative-strength Bands as Filter

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

3 ATR profit target, 8 bars max. trade length PercProf: 76.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 94.20 52.95 61,158.69 848.19 Market

St. Dev: 36.77 6.27 66,828.26 1,112.10 6,144.18 0.11

High: 130.97 59.22 127,986.95 1,960.29 6,992.38 Portfolio

Low: 57.43 46.67 (5,669.58) (263.90) (5,295.99) 0.76

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.39 0.16 39,925.46 29.14 24.06 8.23

St. Dev: 0.44 0.18 18,362.82 16.54 4.66 0.53

High: 1.83 0.35 58,288.28 45.68 28.71 8.76

Low: 0.95 (0.02) 21,562.64 12.59 19.40 7.70

TABLE 21.8

Meander System Using Relative-strength Bands as Filter