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Richard,
Thanks for the detailed answers. To quickly answer your
question about my assumptions like commissions, etc.,
they largely came from my understanding based on reading
the archives here on MF topics.
And once again, many thanks to Fred, Bruce, Gary, Ken and
everyone else who chimed in on the topic. I certainly got
10x more than I was expecting... Still trying to grasp it all,
and its going to take a while.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "richardlboroff" <rboroff@xxxx>
wrote:
> Hi yerself
>
> The answers you received are all good, some of mine will be pointed,
> to keep you on a straight line.
>
> 1. What are the good measures to identify liquidity and market cap
of
> a MF? *************Not being rude, but, for open end funds this is
> irrelevant. You are buying from and selling to the fund manager,
and
> he sells as long as there are buyers. You do not buy funds on the
> open market like stocks.
>
> The result is that as long as cash comes to the fund manager, he
buys
> more stocks, when cash flows out, he sells stocks.
>
> And to find the size of a fund, dollars under management, you have
to
> read the prospectus, outdated, or call fund management, also
probably
> outdated info.
>
> This is relevant for closed-end funds which trade like stocks.
>
> 2. Are there any funds that are more advantageous to trade than
> others?************If you are really doing short term trading, most
> funds are not for you, becasue of redemption fees. Ken suggested
> ETF's appropriately.
>
> Profunds and Rydex funds allow and want short term traders, but you
> can loose your shirt, and pants, with them.
>
> For longer term, say, months, then high Sharpe ratio funds, and low
SD
> funds. And you'll need to learn hedging of funds.
>
> Are the any gotchas in some, which should be
> avoided?**************Yup, redemption fees, front end loads,
>
> 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? *************Yup, now you want to be told the whole body
of
> knowledge that Fasttrackers have evolved over the past 10 or more
years.
>
> Again, this comes back to your time frame. If short, days, then you
> want pure technical analysis. If longer, weeks, months, then you
want
> the body of FastTrack knowledge.
>
> Start with Werner Gansz' NCAlpha and Ruttr theory, and move on to
> Bruce Robinson's hedging.
>
> 4. Using 0.1% as commission in backtests is realistic, since there's
> no slippage involved, is that right? ********Where did you come up
> with the commission figure? It depends on how you buy your funds.
>
> And slippage, well yes there is no slippage, and yes there is
slippage.
>
> You only have a close price, so you essentially get either the best
> price or worse price of the day.
>
> 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? ***************NO, not if you are trading open-end funds,
> because the brokerage house you buy at may have a 2pm EST cut-off,
> meaning you have to have your trade in by 2pm.
>
> The real question is, what are you planning on trading???
>
> 6. Are there any sites, books, etc. that talk about MF trading
> techniques? ****************Fred gave you two good ones, another is
> mine, but it'll cost you money, http://www.ftmonitor.com
>
> All the back issues of the Monitor summarize the body of knowlege
that
> has gone on over the years.
>
> Other questions you asked.
>
> Groups of funds. FastTrack Data is the best data around for funds.
>
> FastTrack does a good job of arranging funds into families, first as
> to Management company and then as to style, growth, value, large-cap
> small cap etc. and much more.
>
> Best technical program for funds, You don't have to ask.
>
> Good Luck and be good
>
> Richard Boroff
>
> Thanks in advance.
>
> Jitu
>
> This email was cleaned by emailStripper, available for free from
> http://www.papercut.biz/emailStripper.htm
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