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Thanks Randy!
Your post just set off the lightbulb - that timing issue completely
explains the outperformance.
Herman - your question is academic now unfortunately but I think the
answer would be that the results do not change much.
There is some work I have been doing on tradeable instruments such as
DIA using the individual components (based on Dimitri's work). This
in turn was inspired by the results obtained by www.dowtrader.net
using a similar approach. Do you think there would be any interest in
collaborating on such an EOD system on this board?
Kevin
--- In amibroker@xxxxxxxxxxxxxxx, "Randy Harmelink" <rharmelink@xxx>
wrote:
>
> But what is ^DJI getting you? When I compare the intraday chart on
> Yahoo! to the Yahoo!'s historical quotes page, the Open/High/Low don't
> match between them. I think the ^DJI ticker for historical quotes on
> Yahoo! is getting you the "theoretical" index value. If so, it's
> nothing that you can really trade with except for the closing price --
> the lows will be lower and the highs will be higher on a "theoretical"
> calculation, because it assumes all 30 stocks are hitting their low
> and high for the day at the same time.
>
> On 12/31/06, kevinoversby <kevinoversby@xxx> wrote:
> > SetTradeDelays(0,0,0,0);
> > BuyPrice = Ref(C,-1) - 50;
> > Buy = L < BuyPrice;
> > Sell = 1; SellPrice = C;
> >
> > Try this long only on ^DJI with same bar exit enabled (daily
> > timeframe). Nets around 5000 points a year in recent years with low
> > drawdowns. Subtract 1 point per day per contract for commisions (IB
> > rate for mini-dow). $5K per contract gives acceptable drawdowns and
> > 100% account increase per 1000 points on the YM.
> >
> > Any comments, improvements or other suggestions would be welcomed.
>
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