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At 10:01 PM -0400 9/7/98, Larry Viles wrote:
>Newbie needs some help. I am end-of-day trading the Rydex funds, which one
>can only place closing buy/sell orders up to 15 min prior to close. At the
>end of each day I would like to compute what tomorrows closing price would
>cause a signal. This way I can anticipate the signal by one day. This
>would mean introducing tomorrows closing bar into the chart somehow. Right
>now, I'm doing this by manually entering a best guess into the data file,
>and adjusting it until a chart signal is created, then removing it(Blush).
>Maybe I could place the data series into an array, and then add tomorrows
>data to the array? I'm sure someone has solved this problem.
I had the same problem and have tried many possibilities. You can create a
parallel system that is triggered off of a variable rather than the price
and then increment the variable through a sequence of values in a loop to
see where the system switches. It is pretty messy for anything other than a
simple system.
The most satisfactory solution I have found has been to use intraday data
and use a 3:15 pm or 3:30 pm bar as the decision point. You can then
backtest your system as you would use it. The problem recently is that the
market often changes direction dramatically at about that time so decisions
are difficult. This also requires a lot of historical data for backtesting.
In addition, the Rydex funds have not been matching their beta objectives
recently on a day to day basis, no doubt because lots of people have
figured out when to switch and all switch on the same days.
I have been using my system to trade index options but this adds all of the
implied volatility issues to the equation.
As a result I have been looking into using this system to trade Spyders
(S&P Depository Receipts; symbol = SPY on the AMEX) It seems to track the
S&P pretty well and does not require a decision at some fixed time.
Of course, we could trade the S&P futures on a several day basis but this
introduces other considerations.
Bob Fulks
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