Classical arrowheads used by Greeks, Persians and Scythians alike were mostly cast bronze and of the broadhead type, but smaller and lighter than modern ones. A good overview has been posted at the Hippeis forum (fifth post down). Period-correct types are available from Neil Burridge in the UK and Manning Imperial, Australia. They are a bit pricey. I would say that you won't be required to use these exclusively, but I'm still looking for leads on possible substitutes for target-shooting and filling up the quiver.
According to Herodotus (Hist. VII 32), Persian arrows were made of reed. If you can obtain them, reeds need to be straightened and usually have separate wood nocks installed, although nocks may also be cut just below a node. A guide may be found near the bottom of this page.
Reed arrows unfortunately have a reputation for breaking with repeated use, so some reenactors prefer just regular wood for target-shooting. I suspect most commercial wood shafts are too thick, assuming that the arrowheads' outside socket diameter corresponds to shaft thickness (which it doesn't necessarily, as reed arrows often have a wooden insert between the shaft and the arrowhead). If that's the case, we may face the added complication of selecting and spining hardware store dowels to produce lighter arrows.
Fletchings were of course natural feather. Attach them with sinew or floss and arrow glue, wrapping down the quills so they won't stab your bow hand on release.
Stage combat
In reenacting fighting, as many steps as possible must be taken to ensure that 1) impacts, whether from arrows, spears or swords, don't land too hard, 2) the edge or point of any weapon is unlikely to pierce unprotected skin, and 3) no part of the weapon is likely to break and produce metal chips or wood splinters.
Amphictyonia discussions seem to be leaning toward requiring bows under 30 pounds draw weight for combat. Arrows need special materials. Both tall, untrimmed feather fletchings and flu-flus (spiral-wrapped feathers) are under consideration; these will slow the arrow in flight. Safety arrowheads are large, blunt and made of rubber. I've only ever seen them on UK websites; most rubber arrowheads are made for killing small game. However, I hope at some point to compile a list of manufacturers approved for our use. Arrows are likely to be marched on or just break on impact, so for a long time some groups have required that combat arrows be wrapped in fiberglass tape, which prevents broken shafts forming splinters. This is especially important in Classical reenacting, where many participants go barefoot.
Next up: The other main weapon.
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