Creating my own index

Discussion in 'Educational Resources' started by nitro, Dec 30, 2002.

  1. Yep, pretty easy on Ameritrade/Datek.
    #11     Dec 30, 2002
  2. Vishnu


    IndexLab by Wealth-lab is the way to go. For instance, using IndexLab i was able to create an index, then create and plot an adv/decl line and backtest trades in the index based on how the adv/decl line was doing.
    #12     Dec 30, 2002
  3. Can use quotecat with excel : automatic refresh

    data source depends on a catalog list with free and delayed and non free datas.

    #13     Dec 31, 2002
  4. I was using about 60 "indexes" of my own design earlier this year.
    One idea I was particularly interested in was a "high beta index". Tried several versions of those. Such an index can make you think you're back in 1999!
    But eventually got tired of problems associated with slippage while trying to track the indexes. Also, commish really started adding up as most indexes I was using were composed of 30 to 60 stocks. I used IB's basket trading features for this which worked great.

    For me this approach seemed to work great as I was using a momentum strategy to trade in a high volatility period.

    That does not work now. So I'm doing other things.

    What you need to design your own index first of all is figure out what *type* of index you want.
    There's cap weighted, price and other methodologies. It requires quite a bit of "upkeep" work depending on type of index used.

    As for data/software, I was using the following: feeding Excel with their "QLink" program.
    Calculate index in realtime in Excel.
    Then feed the data from Excel to TradeStation2000i using a program called "metaserver".
    My indexes were actually faster by a few seconds than what the data feed would show because with the exception of the Dow, most are calculated at 15 sec intervals whereas, here it can be *real-time*. Not enough of an edge though imho.

    At the time I did this some of the difficulties I encountered was with the "DDE" link program from so I also signed up with atFinancial whose dde link was more stable.

    Even though I have eSignal on another computer, it cannot be used because of technical issues between ts2k and metaserver.

    In the end, it all boils down to whether the edge you wish to exploit is big enough to warrant all these hassles.

    Sorry, I would post a sample in excel but don't know how to attach a file here.

    #14     Dec 31, 2002
  5. Ok, figured out how to attach a file here.
    #15     Dec 31, 2002