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Rik,
Have you looked
at using the bond price instead of the bond
yield?
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color=#000080>
Brite has the single
contracts [March is usho3] but the continous should be kicking
around.
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<FONT
color=#000080>Regards,
<FONT
color=#000080>Bob
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color=#000080>
PS Murphy plots and
comments on the 30-yr continuous future [TR1600 ?] vs. spx (TAFM
p417)
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color=#000080>
<FONT face=Tahoma
size=2>-----Original Message-----From: Rik Rasmussen
[mailto:hrasmussen@xxxxxxxxx]Sent: Tuesday, March 04, 2003 7:57
PMTo: AmibrokerSubject: [amibroker]
ratios
Criticism
sought:
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Here is a
screenshot of a concept I am working on in Amibroker.
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The bottom panel
has a red line and a green line. They are:
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Red
- DJX--X an index that is 1/100 of the DJIA.
Green -
TYX--X CBOE 30 yr treasury bond yield index
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You can see that
the bond yield is much less volatile than the Dow.
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When the Dow is
trending down, would it be good to move to bonds, until the relationship
between the two reverses and the Dow again outperforms the
bonds?
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The top panel is a
ratio line of the two indexes. It does seem to be true that when the Dow is
declining with more momentum than the bond yield, the ratio line reflects
this.
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The yellow line
shows a recent trend of the ratio that seems to indicate the Dow had been
performing well. This trend line was recently broken as the Dow turned down
and bond yield remained relatively flatter.
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Often, what has
seemed apparent to me as an assumption proved to be totally flawed. I seek
comments on this idea of using ratio lines to compare instruments. The use of
ratio lines is demonstrated in Murphy's book The Visual
Investor.
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Rik RasmussenStock Analyzer mailing list moderator<A
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