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--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Hi all,
>
> I was planning to run some backtests on MF data, but I've
> never traded them before, so was hoping people who trade
> them (Fred?) could offer some insights on some basic
> questions -
>
> 1. What are the good measures to identify liquidity and
> market cap of a MF?
>
You can check their total assets at Morningstar or elsewhere. If you
mean the market cap that some particular fund invests in you can
usually tell by it's name and if not then at Morningstar.
> 2. Are there any funds that are more advantageous to trade
> than others? Are the any gotchas in some, which should be
> avoided?
>
Not to be silly but that's like asking if there are any stocks that
are more advantageous than others. In trading/investing in mf's
remember that you are basically trading the portfolio managers
ability to select companies to be included and his timeliness for
getting rid of dogs etc. As far as individual companies that they
select based on their fundamentals they will as a rule of course be
much farther up on the knowledge curve then individual investors
are. The main gotcha I would point out is that for the most part, I
would not think of mf's as short term vehicles. The industry has in
a variety of quarters started putting on early redemption fees for
short term trading which can wind up being the same as slippage for
those who short term trade. By the same token however, there are
ways around this via hedging etc.
> 3. Any market signal better than others to identify market
> trend when it comes to MF's, i.e. is RUT better than SPX or
> does it not matter much? Any others that work better according
> to market cap or type of the fund?
>
As Gary points out in his Camtasia presentation a market timing
signal ought to be in tune with what one is trading so as a result I
would say that if you are interested in trading small cap mf's that a
timing signal that related to what RUT was doing would be
appropriate. There are of course loads of index oriented funds out
there but as a rule these are not where the best opportunities are.
> 4. Using 0.1% as commission in backtests is realistic,
> since there's no slippage involved, is that right?
>
This is a function of what your brokerage charges and the size of
your trades. But yes there should be no slippage. EOD NAV is EOD
NAV.
> 5. Is it reasonable to run tests with zero delay, with the
> assumption that market trend and other external conditions
> could calculated a few minutes before the close, and then
> trade could be entered just in time?
>
Yes, I do this evrey day. Some but not most funds have cutoffs prior
to 4:00 but in general a trade that is entered at 3:59:45 is as good
as one entered an hour earlier. I have never had a trade not go
through for any other reason than the fact that I executed it late.
> 6. Are there any sites, books, etc. that talk about MF trading
> techniques?
>
Look here http://www.madriver.com/~wwgansz/ for one of the more
knowledgable folks in this area, Werner Gansz who Gary referred to in
his presentation. This is fairly new site that I think Werner
started just for fun which he updates about once a week. FT-Talk
http://www.ft-talk.com/forums/ is also a good site but it's a pay
site where loads of stuff is openly published. There are other
FT'ers here who are much more knowledgable about Trade & FT then I am
who are also AB'ers. I could name some, but maybe they'll step
forward. If you are capable of picking up code from other languages
fairly quickly you could look here http://home.earthlink.net/~dexf/
for TRADE related code that has been published by folks from FT-
Talk. This is as the name implies a FastTrack board. You'll find
tutorials there for TRADE and links to where the full doc for TRADE
and the s/w can be gotten for free.
> Thanks in advance.
>
> Jitu
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