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RE: [amibroker] Re: NDX / QQQ - Can it be traded ?



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DT: can you name some additional symbols, besides CSCO and BEAS, with
which you have seen similar success.  Thanks for sharing your
experience.

Ken

-----Original Message-----
From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]

Sent: Tuesday, February 04, 2003 3:38 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?

Herman,
An annual system % return 100%-120% is reasonable for many QQQ 
systems from Jan2000 till now.
[Suppose always buy, sell, short, cover at +1Open, 0.5% commission 
and disabled stops]
I would be surprised indeed to see a double return. 
Above 200%-250%  we may find some other popular stocks, but not QQQ, 
AFAIK.
I come to believe there are some "functional" limitations for QQQ 
curve to exceed the annual 150%.
This conclusion is after MANY tests for various trading systems, 
optimised or not.
This is a reason I prefer CSCO or BEAS for example, their curves are 
more "profitable" and more flexible.
Of course I [almost] always speak for medium speed systems [not more 
than 6 trades per year]
It is more than 8 months I did not trade a single QQQ share, I would 
be glad to come back to my old favorite, but for a better than 180% 
annual return.
This is my experience, I hope it hepls somehow...
Dimitris 
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" 
<psytek@xxxx> wrote:
> Well Fred, the real values to use when estimating whether a trading 
system
> is practical have never been answered on this list. You are a 
trader, I am
> still mostly a tinkerer, so I respect your opinion. As a rule I 
discard
> systems that do not survive my "acid test" of 0.5%. This allows my 
to fumble
> placing the trade, allows for some over-optimization, slippage, 
slow data,
> and even for some commission.
> 
> There ought to be a formula based on parameters like volume, 
volatility and
> price, to gives us a working estimate. Places that have lots of 
trading
> histories could crunch that out in seconds. Would be interesting to 
have a
> poll on this.
> 
> Herman.
> 
>   -----Original Message-----
>   From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
>   Sent: Monday, February 03, 2003 4:03 PM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
> 
> 
>   Herman,
> 
>   Let's use today as an example and assume you are going to trade 
QQQ
>   after you make a decision on where NDX closes ...
> 
>   At 4:00 PM QQQ was as at 24.50
> 
>   Between there and 4:15 QQQ got as high as 24.54 and as low as 
24.48
>   or 0.16% over and 0.08% under as EXTREMES.
> 
>   Thomas,
> 
>   I'm not quite ready to toss it on the scrap heap yet.  I just 
started
>   playing with it.
> 
> 
> 
> 
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