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<SPAN
class=778121904-19012004>Chuck, I assume you've tried trading your various proxy
instruments using signals generated from the R2K, as well as signals from the
instruments themselves, yes? IOW, might certain instruments perform better as a
signal to trade certain of the others?
<SPAN
class=778121904-19012004>
<SPAN
class=778121904-19012004>Dave
<BLOCKQUOTE
>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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