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Fred,
Can you explain what you mean by the SPY and the QQQ trade more like futures? How does the price behavior of futures differ from cash indices or individual stocks?
Al Venosaavcinci@xxxxxxxxxxx
>From: "Fred "
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: amibroker@xxxxxxxxxxxxxxx
>Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
>Date: Tue, 04 Feb 2003 13:57:48 -0000
>
>Herman,
>
>Yes. In particular SPY and QQQ trade more like the futures then they
>do like the cash. Most of the rest of the ETF's are too thinly
>traded to make them viable vehicles IMHO.
>
>Fred
>
>--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> wrote:
> > Thank you DT,
> >
> > 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.
> >
> > Anybody else noticed a different character between ETFs and regular
>stocks?
> >
> > Take care,
> > Herman.
> > -----Original Message-----
> > From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@xxxx]
> > Sent: Tuesday, February 04, 2003 12:38 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"
> > 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 [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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