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Exchange-traded funds do a pretty good job of tracking their
underlying index. ETFs and particularly leveraged ETFs, however, will
not always correlate with their underlying index because the
instruments they use for that leverage are not a perfect hedge. There
are also issues like management fees (which are higher in leveraged
funds), futures contract rollovers, and perhaps dividends to consider.
With respect to the inverse ETFs, also keep in mind the math. Let's
say you trade an ETF that tries to track the inverse of changes in the
S&P 500 and the index rises from 850 to 935. All other things being
equal, the long fund will see a 10% increase, but your short fund will
see a 9% decrease ((935-850)/935).
From: Big Papa <denver69692002@xxxxxxxxx>
To: equismetastock@xxxxxxxxxxxxxxx
Date: Thursday, January 29, 2009, 9:07:12 AM
Subject: [EquisMetaStock Group] ETFs & Inverse ETFs
Perhaps the wrong forum for this but I enjoy the discussions here.
Let's looks at ETFs and inverse ETFs.
SSO and SDS, which are the double leveraged SPY and inverse double
leveraged SPY, respectfully.
I have the SSO set up with a StochRSI 90-10 and SEB with 10 day
period, 1 SD, and 5 smoothing periods. The last 3 sessions (EOD) have
been above the upper band, but yesterday the SRSI>90. Time to go short
right?
I have the SDS set up with a StochRSI 90-10 and SEB with 10 day
period, 1 SD, and 5 smoothing periods. This morning, the price was
below the bottom band and the SRSI<10. So, this morning, I bought the
SDS.
When I did a systems test and optimized, they optimized differently
for the SEB settings. SSO optimized at 10 day, 1 SD, and 5 smoothing,
while the SDS optimized at 35, 1 SD, and 5. I moved them the settings
to be the same, should I have?
I used the same dates and parameters. Double checked and checked again.
Any reason they wouldn't optimize the same in the systems tester?
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