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<FONT face=Arial color=#0000ff
size=2>Excellent points, Ken. There are plenty of ETF's around with
all-day liquidity and pricing.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ken Close
[mailto:closeks@xxxxxxxx]Sent: Friday, November 14, 2003 4:52
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Trading mutual funds...Jitu:One aspect I
might mention is for you to be as clear as possible in yourmind as to what
is interesting you about mutual funds. You may alreadyhave that in
mind or are waiting until you learn more.In general, mutual funds are
thought of as less volatile than stocks andcomparing a single mutual fund
to a single stock, that is of coursetrue. Comparing the volatility
of a single mutual fund to a carefullyselected basket of stocks and than
might not be true.The FastTrack community has long had tools and
approaches to "timing"mutual funds as well as trading among mutual funds
using relativestrength analysis. And they still do. That said,
there are many, manyFastTrackers who are moving towards trading in ETFs,
and stocks becauseof the previous slow trend of being banned from funds
for frequenttrading (the definition of which is not at all clear).
With the recentsurge of mutual fund "scandals" and the phrase "market
timing" beingused by lawyers and federal prosecutors all over the country,
mutualfunds in mass are fine tuning or adopting measures that will
restrict"timing" even more. Even if that timing is 3 or 4 switches a
year.I mention this because it is a situation in some transition now
andwhere it comes out is not clear. Oh yes, besides having the
opportunityof being blacklisted, you also face more ERFs (Early Redemption
Fees),the amounts of which are increasing and the time periods under
whichthey apply are getting longer.So...be clear WHY you think you
want to get into mutual funds and makesure your investing approach takes
into account the trends I describe.Ken-----Original
Message-----From: jtelang [mailto:jtelang@xxxxxxxxx] Sent: Friday,
November 14, 2003 4:37 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: Trading mutual funds...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 <A
href="">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
> > <A
href="">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 <A
href="">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
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