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So, if I were trading the NDX futures, which I don't, then QQQ would be a
good surrogate?
----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, January 18, 2004 6:56 PM
Subject: [amibroker] Re: Russel 2000 / Mutual Fund trading problem
> 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!
> > >
> > >
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