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At 6:02 PM -0500 1/21/98, greene@xxxxxxxxxxxxxxx wrote:
>Are you currently trading the Select funds - or just developing systems to
>trade them? And what time frame are you working with? I've been trading
>them for a few years now - with varying degrees of success. Learning by
>doing as it were.
>
><<Snip>>
>
>I'd be careful about drawing any conclusions about optimal time parameters
>on systems from the results of backtesting. Because the optimal parameters
>are often an "average" result - based on times when a fund is trending up
>- or plunging - or chopping around in a trading range. The average tends
>to mask the extremes.
No. I am not trading them. I just tried it as an experiment partly because
I had heard that some money managers were getting good results with this
approach and partly to see if it could be done with TradeStation. The
results were OK but not great, but I didn't spend a lot of time on it so
perhaps better results are possible.
Fidelity has restrictions on how often you can switch without penalties
(monthly) so I tried to live within that restriction.
I'm not exactly clear what your second point is but I would think this
situation would have all the usual problems and advantages of backtesting
and optimization.
My gut feel is that it might be better switching between stocks, possible
the Dow30, since the transaction costs of switching is becoming very low
and there are no restrictions on switching.
Bob Fulks
--
Bob Fulks
bfulks@xxxxxxxxxxxx
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