|
PureBytes Links
Trading Reference Links
|
Jitu,
I think the biggest advantage to working with mutual funds, in addition to what Fred has pointed out below, is that you will be exposed to market segments that a lot of pure stock traders would never pick-up on. Take a look at any emerging market junk bond fund over the past year, and you'll kick yourself in the head for busting your rear trading the QQQ.
Regards,
GaryFred <fctonetti@xxxxxxxxx> wrote:
See below ...--- 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.> > JituSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Do you Yahoo!?
Protect your identity with Yahoo! Mail AddressGuard
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|