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Herman,
If you are talking about the Russell 2000 historical lists, I believe
that Fred posted them on the Yahoo site. If not, perhaps you
could ask him. I doubt that I have the originals anywhere as
I was happy to see them go.
At 08:42 AM 1/19/2004 +0800, you wrote:
Chuck,
did you keep the original data that you used to compile annual revised
lists for index constituents?
Just asking since i am
working on a simple Dynamic Watchlist function that would allow
Securities to be validated for trading on a daily basis. Without
watchlist manipulation.
h
-----Original Message-----
From: Chuck Rademacher
[mailto:chuck@xxxxxxxx]
Sent: January 19, 2004 7:44 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Russel 2000 / Mutual Fund trading
problem
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!
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