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it's been a while since I've read Radge's book (where I believe he describes the WTT and other strategies).

A filter is a broad term. I use a few of them, as I know a number of members here.

Filters I use:

• Index filter (index must be 'up' in order to trade. need to chose appropriate index that represents the universe of stocks you are trading)
• Price filter (a min/max of price allowable. I wont buy shares less than 5c per share. They are too illiquid. I also don't buy stocks too expensive, it's a lot harder for a $20 stock to move 20% than a 5c share.)
• Volume filter (a minimum number of shares traded. Often combined with Price Filter for similar reasons, the liquidity of stocks).
• Momentum filter (Already has a certain amount of established momentum before you can enter. Using ROC (rate of change) within AB for this one).

[CODE]

// Variables  //

VolumeTotal = V;

VolumeMA = MA(V, 10);

PriceF = Close > 0.05 AND Close < 10;

// Index Filter //

SetForeign( "$XAO.au" );

Index_Up = C > MA(C, 10);

RestorePriceArrays();

[/CODE]

My buy conditions are used in conjunction with the filters.

[CODE]

Buy= MapBuyCondition AND PriceF AND Index_UP;

[/CODE]

In this code above, as long as my MapBuyCondition (which are my buy rules) is true, with the PriceF being true (price range defined further above) and the index (XAO in this case) is up, defined as a close above a 10 period moving average).

My sell condition is simply a close below a MA. You could make the system sell as soon as the Index_UP == False, which is immediately moving to cash as soon as the market is no longer 'Up'. I don't do that, I do this instead:

[CODE]

//--------------------- Sell --------------------- //

Exit_Percent = IIf( Index_Up, 40, 10 ); //Dynamic index filter

ApplyStop( stopTypeTrailing, stopModePercent, Exit_Percent, ExitAtStop = 2 ); //Trailing stop

[/CODE]

This is a dynmaic stop. If the market is 'down' as I have defined it, I adjust my trailing stop to 10% not the usual 40%. Why? Because in a down market stocks are likely to continue moving down so giving it wider range with a 40% trailing stop would just bleed my money (sometimes like a massive hemorrhage) .

Hope that helps ya mate. Add in a few filters and I'm sure things will improve. I see filters as a protection against loss capital. You can go overboard with filters too. Adding rules to a system will often increase the metrics, but you can go too far where it will take few trades. I suggest sticking to an index filter on a weekly system (doesn't work well on a daily system tbh). And establishing a minimum price is also a good idea. Check your positionscore too. That, too, can also make or break a system's edge (having rules is great, but deciding which trades to take over others will impact your mathematical edge).