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<FONT face=Arial color=#0000ff
size=2>The difference in system performance trading what are supposed to
be similar indices/funds gets greater when you reduce trade duraration. If you
trade every 3-4 weeks the difference in results should be smaller than if you
trade every 2-3 days. Part-reason is that with shorter duration the profit
potential is far greater, this will of course amplify system
sensitivities proportionally.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck@xxxxxxxx]Sent: January 19, 2004 3:43 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Russel 2000 / Mutual
Fund trading problemLet'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
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