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Chuck:
I don't have an answer for you, but let me say that in my backtesting
experience, I, too, have noticed the same thing when comparing a system on
the the QQQ vs. the NDX or the SPY vs. the SPX. For some reason, even though
they track each other perfectly on a graph, trading system performance is
quite different. I'll be watching others' reactions as closely as you do.
Al Venosa
----- Original Message -----
From: "Chuck Rademacher" <chuck@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, January 18, 2004 2:42 PM
Subject: [amibroker] Russel 2000 / Mutual Fund trading problem
> Let's say that I have one of those systems that seems to good to be
> true. Relax, I didn't get it from Joe.
>
> It makes 100% per year with a 6% DD. As I said, too good to be true.
>
> Of course, it makes some assumptions. I designed it to trade the
ProFunds
> Small Cap Funds (long and short). The tickers are SLPIX and SHPIX. I'm
> assuming that I will get my buy/short signals just prior to the market
> close and that I will enter on the close and that my slippage is going to
> be zero. I might add that this is NOT my normal mode of trading.
>
> Since these funds are supposed to "closely follow" the RUT and since data
> for these funds doesn't go back very far, I used the RUT for my design and
> backtesting. This is where I got the results that were so good that I
> was ready to tell my wife that she won't have to be waiting tables and the
> local pub.
>
> For the final test, I decided to try it on the ProFunds tickers that I
> mentioned above. Of course, data for these only goes back to
> 2002. Well.... since 2002 the system didn't do as well trading these
> funds as it did trading the RUT. The difference was large, but the
> results were acceptable. My wife could switch from full-time to
part-time
> work.
>
> My question was/is "why the disparity between RUT and the corresponding
> ProFunds?". I decided to go to the ProFunds site and see if they have a
> comparison of performance between their funds and the RUT. There it was,
> big as could be, the performance of their funds HAS NOT done as well as
the
> RUT over the last year or so.
>
> So, the big question. Does anyone know why this is the case? I will,
> of course, ask ProFunds to comment. But I thought that some of you
mutual
> fund traders (Fred?) might have a more realistic answer. How can they
say
> that these funds track an index when the performance is as much as 10%
> different over some quarters?
>
> Please hurry... I'm calling my wife in New Zealand later today and I want
> to make sure I have my facts right before I tell her that she can retire.
>
> Thanks!
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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