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Jitu,
As Gary has already mentioned FastTrack is a good sourse. There are
probably others as well.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> 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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