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Thank
you DT,
<FONT face=Arial color=#0000ff
size=2>
I also
gave up un the Q, volatility too low for my favorite short-term systems. I only
use EOD with one day trade delay in backtesting. It is not only the volatility,
I found that for my systems the Q's timing is not true to the market average.
There is something a bit funny about ETFs, but haven't been able to pin it down
accurately.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Anybody else noticed a different character between ETFs and regular
stocks?
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size=2>
Take
care,
<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
<TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]Sent:
Tuesday, February 04, 2003 12:38 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [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@xxxx]> 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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