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 [email protected], "Randy Harmelink" <[EMAIL PROTECTED]> 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 <[EMAIL PROTECTED]> 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. >
