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Chuck,
You already know this, but it will be of value to others
who might try to develop systems for trading the Russell
2000 (RUT).
All the RUT data I have seen uses yesterday's close for
today's open price. Thus the RUT data never has any opening
opeing gaps - this shows up nicely on candle stick
displays. It also means that one can not use the data to
test the idea of buying or selling the next's day's open
based on today's clossing price.
To develop a system on RUT data, one could one of the
following:
Use the next's average of (High+Low+Close)/3 to approximate
the open price.
Or, use today's close as one's trading price. Of course,
this means hitting the trigger button at 5:59:59 or as
close to that as one can get.
b
One can not buy and sell using the next day's open price
--- Chuck Rademacher <chuck@xxxxxxxx> wrote:
> Dave,
>
> What proxy instruments do you have in mind? I only know
> of IWM, IWN, IWO,
> ProFunds and Rydex. Any others that you can think of?
>
> The system I'm working on now is built around trading the
> IWM since 2002
> and using the RUT as a proxy for backtesting back to
> 1988. It is using
> the RUT for timing in both cases.
>
> My next project will be to see if I can add some smart
> logic to trade IWN
> or IWO instead of IWM.
>
> At 11:21 PM 1/18/2004 -0500, you wrote:
> >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?
> >
> >Dave
> >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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