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

through all the elaborate steps of testing and analysis. I know it can be tempting to

go ahead and trade them anyway, as a sort of reward for all the hard work, but if

they don’t work, they don’t work and should be scrapped—or at least taken apart,

so that their parts can be reused in other systems and strategies. As we will soon

see, sometimes when reusing parts from old systems, we strike gold that makes all

the hard work worthwhile.

STRATEGY 7

 Long-term filter: Relative-strength bands


 Short-term systems: The stop-loss versions of the hybrid system No. 1 and

Meander system, v.1.0, and the trailing-stop version of the volume-weight-

ed average system


 Markets: 10 Dow stocks, 10 NASDAQ stocks for a total of 60 symacs

With the relative-strength bands and the rotation as the filters, we were only

testing 10 markets from each index category per system. Thus, because these

filters were true relative-strength filters, we were comparing the stock we

intend to trade directly with a set of other stocks instead of a comparable index;

this made the testing procedure rather cumbersome and time consuming. So,

for each filter and with 20 stocks to test, we can apply three systems to each

CHAPTER 28 Combined Money Market Strategies 359

FIGURE 28.9

The drawdown curve for Strategy 6.