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Jitu,
I started with QP2, but they do such a piss-poor job of adjusting their funds with distriubtions (particularly bond/junk bond funds that pay monthly) that I grudgingly paid for FastTrack data. FastTrack's fund data has got to be the cleanest.
Hope this helps,
Garyjtelang <jtelang@xxxxxxxxx> wrote:
Fred/Gary,Thanks for the very informative post. Seems I've got lots ofreading to do before I even ask another question. So I mightcome back to this after doing some RTFM'ing at the sites youpointed to.Just one quick follow-up question before I start reading upon it... So who would you recommend as the data vendor? I'm currently using QP3 for stocks. Is that not good enough (justfor 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.> > > > > > 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.
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