Say you have a simple system like a MACD cross.
Run it on 5 minute bars of a liquid instrument like a futures contract. The equity curve will be as choppy as anything, but within that will be some significant run ups.
Then apply a filter for the the equity curve, or manipulate the position size based on what the curve is doing. This is a common practice. Say for example you might turn off the system when the curve drops below a MA. Still, you don't trade this yet. Now apply a MA filter to the already filtered equity curve, and trade that.
Can this work? What about a 3rd or 4th layer of filtering?