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Re: [amibroker] Institutional Sponsorship



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<FONT face=Arial color=#0000ff 
size=2>Chuck, did you keep the original data that you used to compile 
annual revised lists for index constituents?
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>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.
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>h

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Chuck Rademacher 
  [mailto:chuck@xxxxxxxx]Sent: January 19, 2004 7:44 AMTo: 
  amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Russel 2000 / 
  Mutual Fund trading problemThanks 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. <FONT 
    face=arial color=#0000ff size=2>herman.
    
      
        -----Original Message----- 
        From: Chuck Rademacher [<A href="" 
        eudora="autourl">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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