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Thanks - I will do that today. However, here is the weird thing about all this. As I mentioned, after optimizing a strategy for say an Asia mutual fund, I can choose similar Asia mutual funds and get performance results that are pretty much ballpark the same. Some are much better, some are a little less and many are very similar. However, when I choose ANY Asia ETF, NONE of them even come close to the mutual fund performance. Yet, the buy & hold performance of each is very similar and they all have 95%+ correlation to each other.
Originally, I just thought because the mutual funds were actively managed that that made their performance better than the ETFs, which is usually not the case here.
Additionally, at initial glance, I notice that the trade dates for ETFs are different, as if their EOD closing prices are not heavily correlated to the mutual funds. I don't see how that's possible, but it seems as if the optimization isn't even close for the ETFs. However, when I re-optimize for the ETF, I still get subpar results.
My current thinking is that the +DI/-DI, Stochastics and EMA/SMA crossover-based systems I optimized for mutual funds do not work well for investments with Open-Hi-Lo-Close EOD data. Is that possible? I see "H" and "L" in the stochastic formula, but in none of the others.
When a system looks at EOD data and determines if a signal was generated via a crossover of an indicator, again while using EOD data and not intraday data, does the EMA crossover look at the day's high and lows to see if a trigger happenned or does it just look at the closing price? I'm assuming the latter. If not, then I need to change the coding. But how can I change for stochastics?
Long-winded, but I am desperate. - Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@xxx> wrote:
>
> Hard to tell based on limited info provided. Could do something simple to check. Take a trade for a mutual fund and for you selected ETF. Write down the buy price, sell price and performance for a few trades. Check the prices to make sure correct, in you case closing prices. Check the performance to make sure correct. If the trades are correct mathematically, then you are on the right track. If not, then it should be straight forward to find out what you are doing wrong. Like, hey it is using the price for yesterdays close to buy or hey it isn't suppose to sell until 2 days from now but it used the price for 2 days prior.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "graphman27" <steve@> wrote:
> >
> > I'm a new user of Amibroker and am spending weeks converting my old Window on Wall Street simple formulas to Amibroker. It's been a steep learning curve, but here is my problem. An example:
> >
> > When I take a simple strategy, such as a MA crossover system and run it with a mutual fund, say a Latin America fund, I'll get profit up 300% in 7 years, as an example. I'll then take a very similar ETF, that has a 99% correlation to the mutual fund and has the nearly identical buy & hold return as the mutual fund, but the performance for the ETF may be half or even only 1/3 of what the mutual fund was.
> >
> > I use Yahoo Finance's EOD data, so could that be the problem? Maybe the stops I have set up are based on more than EOD close. I've tried changing the buy price settings every way possible (Open+1, Close+1, Average+1...etc.), but I can't get good numbers. The only change I can make gets great results, but is unrealistic: Open+0. Amibroker support says that isn't right for EOD data anyway.
> >
> > I'm hoping my settings are off or some formulas (like stochastics) are based on more than close and that could be my problem. However, even the formulas that are 100% based on close are showing poor results.
> >
> > Any advice? Aren't ETFs going to perform better due to intraday trading?
> >
> > Thanks!
> >
>
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