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I also trade using EOD data with one day trade delay. I place actual
orders on the night when setup is detected (for execution next day).
Only rarely do I place or change orders during mkt hours.
Someone mentioned a few week ago that their best performance occurs
with a holding period of a few days. That is consistant with my
backtesting and trading where I have an average 5 or 6 day holding
period. However recently I've done some successful backtesting on EOD
data where a same day 'Sell on Close' exit stradegy seems to work well
(I have not traded this one day wonder).
ETF's are less volatile than underlying stocks because they are
baskets of stocks whose combined price action tends to be smoothed
out. Trading systems can isolate individual stocks that are 'in play'
and not dependent upon other stock action.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> 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 <TSOKAKIS@xxxx> [mailto:TSOKAKIS@x...]
> 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"
> <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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