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For interest sake, I changed 1 line of code so that to how the
system would behave if each ticker gave the signal for itself:
Price = Foreign("NDX_D","C");// original
Price = Close; // changed to try with other tickers as signals
Here are the "RAR" results (same test period for all: April 1/99 to
present):
89% ^NDX
64 QQQ
32 ^IXIC
26 ^RUI
25 ^RUA
14 SPY
-3 ^RUT
-12 ^VLIC
-14 ^VAY
This is definately a large cap strategy. The RUI (large cap) does
better than the RUT (small cap) and also the NDX does better than
the IXIC. Arithmetic indexes (VAY) and equal weighted indexes (VLIC)
do very poorly -- so bad in fact that one might be tempted to trade
against the signal.
b
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