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Kevin,
The system works for the past 2-3 years because we are in a bull market.
Here are 3 problems I can think of ...
1) Highly unlikely that the system will work if you tested in from Jan 2000
to Dec 2001 when the Dow tanked.
2) System does not have stop - if you traded in Jan 2000 when dow reached
its high and the system went long at Ref(C,-1) - 50 it would take 6 years to
break even.
3) How did you come up with the number 50 ? In a bull market 30,40,50 etc
all work. Instead of the fixed number like 50 explore with a number that is
a % of the ATR or EMA etc.
-Adheer.
----- Original Message -----
From: "kevinoversby" <kevinoversby@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, December 31, 2006 6:34 PM
Subject: [amibroker] Re: Very profitable DOW system
> 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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