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Fast-Track does make an attempt to identify which funds are
loaded .vs. which are not and are probably pretty close to the mark.
As far as which have erf's and which don't this is difficult to keep
up with as things constantly change. So brokerage firms are very
good at supplying information in this regard and some are horrible.
As far as Rydex goes, at least some of their funds have cutoffs and
effective pricing at time ther than 4:00 PM. Whether or not other
firms do this I don't know, but if there are others there are not
many.
Another option is http://www.foliofn.com which basically allows you
to roll your own fund as it were and depending on how you set up your
account can provide for intraday trading. This is not something I do
or have done, but there are some FT'ers who do, albeit a minority.
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> Gary,
>
> Fred also recommended FT awhile back and I have it on my ToDo list
to
> try out.
>
> But a quick question... does FastTrack identify No-Load funds versus
> Load funds, and on the Load funds does it report the various fees
and
> early termination charges?
>
> TIA.
>
> Regards,
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
> <serkhoshian777@xxxx> wrote:
> > 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,
> > Gary
> >
> > 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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