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This would cause a one bar delay and would undoubtedly adversely
affect system results.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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.
>
> Am I making any sense here? Too tired, brain is mush, must sleep...
>
> Dave
> 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:
>
> 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?
>
> Dave
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