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Fred/Gary,
Thanks for the very informative post. Seems I've got lots of
reading to do before I even ask another question. So I might
come back to this after doing some RTFM'ing at the sites you
pointed to.
Just one quick follow-up question before I start reading up
on it... So who would you recommend as the data vendor? I'm
currently using QP3 for stocks. Is that not good enough (just
for backtesting) in your opinion?
Thanks again.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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