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In the case of QQQ and SPY they trade more like the futures than the
indecies.
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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@xxxx>
> 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@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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>
>
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