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<SPAN
class=710543105-19012004>I was just wondering if the performance penalty you got
from the disconnect between RUT price and fund price was less if you used the
fund itself for timing, instead of RUT. I know that RUT has much longer history
than the tracking funds I'm aware of, so it backtests longer. Still, you might
want to compare using the fund for timing instead, over the period where that's
possible.
<SPAN
class=710543105-19012004>
<SPAN
class=710543105-19012004>Am I making any sense here? Too tired, brain is mush,
must sleep...
<SPAN
class=710543105-19012004>
<SPAN
class=710543105-19012004>Dave
<BLOCKQUOTE
>Dave,What
proxy instruments do you have in mind? I only know of IWM, IWN, IWO,
ProFunds and Rydex. Any others that you can think of?The
system I'm working on now is built around trading the IWM since 2002 and using
the RUT as a proxy for backtesting back to 1988. It is using the
RUT for timing in both cases. My next project will be to
see if I can add some smart logic to trade IWN or IWO instead of
IWM.At 11:21 PM 1/18/2004 -0500, you wrote:<FONT
face="Courier New, Courier" color=#0000ff size=2>
Chuck, I assume you've tried trading your
various proxy instruments using signals generated from the R2K, as well as
signals from the instruments themselves, yes? IOW, might certain instruments
perform better as a signal to trade certain of the
others? <FONT face="Courier New, Courier" color=#0000ff
size=2>Dave
<FONT color=#0000ff
size=2>
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