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PureBytes Links
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One other gotcha ...
MOST data vendors do NOT adjust for dividends and distributions so be
carefull where you get data from.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> 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.
> >
> > Jitu
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