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Ideally, AB trading system related messages should be posted here:
http://finance.groups.yahoo.com/group/amibroker-ts/messages
--- In amibroker@xxxxxxxxxxxxxxx, "kevinoversby" <kevinoversby@xxx> wrote:
>
> 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@>
> 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@> 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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