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I wouldn't call it a large cap strategy, I would call it an NDX based
timing strategy which may seem the same but it is not. The system
was written and optimized to time based on NDX price moves. It might
be viable to use some other base datastream, but it would certainly
require reoptimization to do so.
--- In amibroker@xxxxxxxxxxxxxxx, "b519b <b519b@xxxx>" <b519b@xxxx>
wrote:
> 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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