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

The stop-loss version of the expert exits system using the relative-strength

bands as a filter, in Table 21.12, also is a good example of a system–filter combi-

nation that increases performance enough on a few markets to increase the

combined profit factor, but not enough to increase the average profit per trade to

compensate for a decreased performance in many of the other markets. If we com-

pare this version of the system to those in Table 20.9 and 21.6, we can see that

CHAPTER 21 Systems as Filters 265

Harris 3L-R pattern variation: 0.4% stop loss,

3% profit target, 4 bars max. trade length PercProf: 68.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 65.32 37.32 17,490.02 250.19 Market

St. Dev: 28.55 10.77 31,467.95 563.44 2,603.15 0.09

High: 93.87 48.09 48,957.97 813.63 2,853.34 Portfolio

Low: 36.77 26.54 (13,977.94) (313.25) (2,352.96) 0.44

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.52 0.25 17,136.27 14.77 5.86 2.78

St. Dev: 0.85 0.47 11,128.15 10.49 1.35 0.30

High: 2.37 0.72 28,264.42 25.27 7.20 3.09

Low: 0.67 (0.21) 6,008.13 4.28 4.51 2.48

TABLE 21.10

Harris 3L-R Pattern Variation Using Relative-strength Bands as Filter

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

4.5% profit target, 5 bars max. trade length PercProf: 64.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 63.40 46.02 19,020.12 307.22 Market

St. Dev: 26.95 8.53 34,674.05 570.95 3,096.72 0.10

High: 90.35 54.55 53,694.17 878.17 3,403.94 Portfolio

Low: 36.45 37.48 (15,653.93) (263.73) (2,789.50) 0.54

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.39 0.17 18,830.92 16.03 7.51 3.68

St. Dev: 0.63 0.29 10,629.65 10.14 2.14 0.83

High: 2.03 0.46 29,460.57 26.16 9.65 4.51

Low: 0.76 (0.11) 8,201.27 5.89 5.37 2.85

TABLE 21.11

Harris 3L-R Pattern with Trailing Stop Using Relative-strength Bands as Filter