For some strange reason I suddenly decided to return to looking at the 12:1 filter this morning. I wrote a DJI weekly strategy that uses two different ’12:1′ filters to decide on market entry. They are not set to 12: 1 but different ratios obviously as 12:1 is for monthly markets. The exit is probably as important if not more important than the entry but I will keep that as my little secret!
The results were rather pleasing. This is with spread of 3.8 and level stake of 1. The maximum draw down compared to the overall profit is very good in my opinion. I think this sort of filter has great potential from looking at these results and is definitely worth further experimenting with. This strategy is definitely one that I will put on forward test.
