[amibroker] Mutual funds are outperforming ETFs big time, but they shouldn't...why?

[Sidney Kaiser <skbiker@xxxxxxxxx>]

I ran a couple of quick tests to check out this possibility.  I used ILF and MALTX from 1 Jan 2006 to date.

2 ma xover: the fund outperformed etf by a large amount but both grossly under performed B&H.

Kirshenbaum Bands: the etf return was quite a bit greater than the fund and both considerably out performed B&H.
etf          212%               76% b&h
fund          140%                61% b&h


For this test I did a quick optimization of the system parameters and then ran the old V4.4 backtester to generate comparable results for the two securities on one run.  Running the same system with the same parameters over the same time span.

Perhaps you might want to keep poking around with this idea.
Cheers
Sid

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