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[amibroker] Re: Trading mutual funds...



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Jitu,

As an example QQQ is an ETF which of course is a representaion of the 
NDX 100 although if you looked at it's chart it moves more like the 
futures then it does like the index.  One of the adavntages of course 
is that if some stock in the NDX 100 took a huge hit because of an 
earnings surprise it would have a much larger effect in the stock 
than in the ETF.  

Fred

PS Don't take this as a recommendation to trade the index oriented 
ETF's, it isn't.

--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Ken,
> 
> Yeah its more like the latter... I'm just waiting until
> I learn more. I'm far from actually trading MF's, since
> I don't even know what's really involved. But since some
> folks actually prefer trading MF's to other instruments,
> I just wanted to dig into it more... Like I said, I'll
> probably come back to this thread after I do that by
> checking out the stuff that Fred pointed to.
> 
> Are there any advantages of trading ETF's over stocks?
> Less volatile? Ignore this question if its too dumb a
> question... :-)
> 
> Thanks.
> 
> Jitu
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Jitu:
> > 
> > One aspect I might mention is for you to be as clear as possible 
in 
> your
> > mind as to what is interesting you about mutual funds.  You may 
> already
> > have that in mind or are waiting until you learn more.
> > 
> > In general, mutual funds are thought of as less volatile than 
> stocks and
> > comparing a single mutual fund to a single stock, that is of 
course
> > true.  Comparing the volatility of a single mutual fund to a 
> carefully
> > selected 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 relative
> > strength analysis.  And they still do.  That said, there are 
many, 
> many
> > FastTrackers who are moving towards trading in ETFs, and stocks 
> because
> > of the previous slow trend of being banned from funds for frequent
> > trading (the definition of which is not at all clear).  With the 
> recent
> > surge of mutual fund "scandals" and the phrase "market timing" 
being
> > used by lawyers and federal prosecutors all over the country, 
mutual
> > funds 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 
and
> > where it comes out is not clear.  Oh yes, besides having the 
> opportunity
> > of being blacklisted, you also face more ERFs (Early Redemption 
> Fees),
> > the amounts of which are increasing and the time periods under 
which
> > they apply are getting longer.
> > 
> > So...be clear WHY you think you want to get into mutual funds and 
> make
> > sure your investing approach takes into account the trends I 
> describe.
> > 
> > Ken
> > 
> > -----Original Message-----
> > From: jtelang [mailto:jtelang@x...] 
> > Sent: Friday, November 14, 2003 4:37 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Trading mutual funds...
> > 
> > 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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