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 [email protected], "Adheer Pai" <[EMAIL PROTECTED]> 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" <[EMAIL PROTECTED]> > To: <[email protected]> > 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 [email protected], "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 > > > > > > > > >
