|
PureBytes Links
Trading Reference Links
|
Thanks Herman,
What you say (below) correlates exactly with my findings today.
At 07:40 AM 1/19/2004 +0800, you wrote:
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.
herman.
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck@xxxxxxxx]
Sent: January 19, 2004 3:43 AM
To: amibroker@xxxxxxxxxxxxxxx
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
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page:
http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
ADVERTISEMENT
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|