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By Rob McNeur

Cutting in Nocks
Size of these is dependent on your string thickness. I start by marking the centre of the end of the shaft and marking at right angles to the line of the grain or growth rings across the end of the shaft. This must be at right angles, otherwise the strain of firing the arrow will all come down in line with a single growth ring and the shaft is likely to split along the grain down this growth ring. Then, using a fine saw or hacksaw (or 2 hacksaw blades taped together), saw the slot down for about 3/8" - 1/2". Carefully sand the inside of the slot and using a fine rats-tail file or fine sandpaper wrapped around a small nail etc, widen the base of the nock so that the bowstring just slides down the slot but sits comfortably in the wider hollow at the base.

This is exactly the same principle as modern snap-on nocks, and several of the races of early archers used this technique. If you want, you can reinforce the nock by cutting a narrow slice in the end of the shaft at right angles to this slot and gluing a sliver of horn, ivory etc in this such that the nock is cut through this as well, and the harder material of the horn helps to spread the impact of the bowstring against the inside of the nock on firing. Many of the English fletchers used this, as they needed to use everything they could to make shafts that could take the stresses of war use.
Once the arrows are completed to having nocks cut in and being cut to length, a suitable finish can be applied in the form of a polyurethane, varnish etc. (Polyurethane is not 'period', many of the varnishes are more appropriate if this is required.) If these arrows are to be used for hunting a matt finish is recommended so that they will not reflect at all. To ensure an even coating, they can be sprayed or just dipped into a narrow tube of whatever you want to use i.e take a 3' length of 3/4" pipe, cap one end, fill with varnish etc, lower arrow in until it has been completely covered, then hang somewhere to dry such that it has the air circulating but is not likely to be covered in dust etc before drying. And extra rings of colour applied (usually just below the fletchings) to indicate ownership, and (if you want to get technical) the intended drawweight of the shafts using some form of colour code.
Fletching is up to the individual. I am currently using turkey feathers to fletch with, after spending half a day on a commercial turkey farm plucking wing feathers as the birds went into the slaughter house. Admittedly the other workers thought I was nuts but hey, thats life. And I've now got a sack of feathers in the garage which should last me several years. Although some of them need to be dyed to cover up the bloodstains.
Arrowheads are up to the individual. Although I have handmade the shafts, I have fitted modern target points over the tips and glued these in place. This is not authentic as far as traditional styles of arrows goes, but target shooting with authentic hunting broadheads or bodkin points will rapidly destroy your targets and annoy everyone else who wants to use the targets. If fitting 'traditional' arrowheads, either steel, flint, obsidian, etc, saw a slot in the head of the shaft, again sawing at right angles to the growth rings so that the stresses are spread across them all, rather than concentrated on a single ring. Then fill the slot with glue and slide the shaft of the arrowhead down the slot, binding it tightly into position and onto the main shaft with thread or sinew, well glued into place, and wipe off the excess glue.