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

in these tables: Namely, the terrible results produced by the stop-loss version of

this system, no matter which filtering technique it was teamed up with.

For example, Table 21.15 shows that this version of the system has an aver-

age profit of close to $500 and a risk–reward ratio of 0.5. The stop-loss version,

on the other hand (not shown), ended up with an average profit per trade of $176,

even though it too had an average trade length of about six days and a risk–reward

ratio as low as 0.18, which was the lowest one in the entire test.

CHAPTER 21 Systems as Filters 267

Hybrid system No. 1: 1.2 ATR trailing stop,

3 ATR profit target, 6 bars max. trade length PercProf: 66.67

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 89.46 42.95 26,583.22 285.47 Market

St. Dev: 41.84 6.64 46,784.46 695.78 4,273.36 0.08

High: 131.30 49.59 73,367.68 981.25 4,558.83 Portfolio

Low: 47.62 36.31 (20,201.24) (410.31) (3,987.90) 0.41

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.34 0.16 30,883.59 24.18 13.78 4.98

St. Dev: 0.55 0.27 19,786.34 17.34 4.29 0.27

High: 1.89 0.43 50,669.94 41.53 18.07 5.25

Low: 0.79 (0.10) 11,097.25 6.84 9.49 4.71

TABLE 21.13

Hybrid System Using Rotation as Filter

Meander system, V.1.0: 2.7 ATR trailing stop,

3.5 ATR profit target, 9 bars max. trade length PercProf: 80.00

Trades PercWin NetProfit AvgProfit ProfitStD RiskRatio

Average: 71.36 51.78 39,375.24 707.74 Market

St. Dev: 37.07 6.15 48,763.34 1,048.08 6,188.83 0.09

High: 108.43 57.93 88,138.58 1,755.82 6,896.57 Portfolio

Low: 34.29 45.64 (9,388.10) (340.33) (5,481.08) 0.68

ProfitFactor RiskFactor MaxDD PercDD PercTime AvgLength

Average: 1.32 0.14 37,021.84 24.83 20.42 9.55

St. Dev: 0.45 0.17 16,271.10 11.64 6.79 0.68

High: 1.78 0.31 53,292.94 36.47 27.21 10.23

Low: 0.87 (0.04) 20,750.73 13.18 13.63 8.87

TABLE 21.14

Meander System Using Rotation as Filter