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Adheer,
Thank you for your comments. As Randy mentioned, the hold period is 1
day. Ignoring for a moment the fact that the ^DJI highs and lows are
exaggerated, the system works back to at least 2000 but with bigger
drawdowns in the bear market as expected from a long only system. I
would reconfigure the system for a bear market when the bulltrendline
from 2003 is broken.
I agree with your comment on ATR - the buystop should be market
adaptive, 50 was just a starting point.
Kevin
--- In amibroker@xxxxxxxxxxxxxxx, "Adheer Pai" <adheerp@xxx> wrote:
>
> 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@xxx>
> 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@>
> > 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.
> >>
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
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