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I suspect that the correlation is not as good as you
suspect, reflecting the difference in portfolios. Plot the relative
performance of the two or the correlation between them and see if they are
strongly correlated.
Bill
----- Original Message -----
Sent: February 23, 2010 2:49 AM
Subject: [amibroker] Mutual funds are
outperforming ETFs big time, but they shouldn't...why?
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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**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
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