despite the fact that this version has the highest profit factor, it still has the lowest
average profit per trade and risk–reward ratio. A lower percentage of profitable
markets traded also is an indication of the same problem: Namely, that it works
very well on a few markets, but not so well in others, thus causing an overall dete-
rioration of the performance.Rotation as the Filter
Tables 21.13 and 21.14 (to be compared to Tables 20.2 and 20.4, respectively)
show the trailing-stop versions of the hybrid and meander systems, respectively,
using the rotation system as a filter. In both instances, these versions of the sys-
tems don’t do as well as the originals, although the meander system isn’t doing too
badly, given the fact a slight depreciation of performance was to be expected.
Again, the largest negative for the meander system is that it spends a little too
much time in the market for optimal diversification possibilities. For the hybrid
system, however, the situation looks less tantalizing. Just as the version of this sys-
tem depicted in Table 21.7, this version, too, has lost approximately one-third of
the value of its average trade and about two-thirds of its risk–reward ratio.
The performance summary for the trailing-stop version of the volume-
weighted average system in Table 21.15 gives rise to another interesting observa-
tion: The same short-term system can behave very differently, only because the
logic behind the stops and exits changes. If you look at Tables 21.4 and 21.9, they
too represent the trailing-stop version of the system. The filter is the only differ-
ence among these three tables. What is interesting, however, is what is not shown266 PART 3 Stops, Filters, and Exits
Expert exits: 0.6% stop loss,
3.5% profit target, 3 bars max. trade length PercProf: 88.00
Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio
Average: 82.60 44.77 30,342.81 363.19 Market
St. Dev: 33.57 11.55 32,531.17 447.60 2,634.63 0.15
High: 116.17 56.33 62,873.98 810.79 2,997.82 Portfolio
Low: 49.03 33.22 (2,188.35) (84.42) (2,271.44) 0.81
ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength
Average: 1.66 0.29 16,355.26 14.12 6.71 2.47
St. Dev: 0.77 0.33 12,780.59 12.57 1.97 0.09
High: 2.43 0.62 29,135.84 26.69 8.69 2.56
Low: 0.88 (0.05) 3,574.67 1.56 4.74 2.37TABLE 21.12
Expert Exits System Using Relative-strength Bands as Filter