Thanks - I will do that today. However, here is the weird thing about all this. As I mentioned, after optimizing a strategy for say an Asia mutual fund, I can choose similar Asia mutual funds and get performance results that are pretty much ballpark the same. Some are much better, some are a little less and many are very similar. However, when I choose ANY Asia ETF, NONE of them even come close to the mutual fund performance. Yet, the buy & hold performance of each is very similar and they all have 95%+ correlation to each other.
Originally, I just thought because the mutual funds were actively managed that that made their performance better than the ETFs, which is usually not the case here. Additionally, at initial glance, I notice that the trade dates for ETFs are different, as if their EOD closing prices are not heavily correlated to the mutual funds. I don't see how that's possible, but it seems as if the optimization isn't even close for the ETFs. However, when I re-optimize for the ETF, I still get subpar results. My current thinking is that the +DI/-DI, Stochastics and EMA/SMA crossover-based systems I optimized for mutual funds do not work well for investments with Open-Hi-Lo-Close EOD data. Is that possible? I see "H" and "L" in the stochastic formula, but in none of the others. When a system looks at EOD data and determines if a signal was generated via a crossover of an indicator, again while using EOD data and not intraday data, does the EMA crossover look at the day's high and lows to see if a trigger happenned or does it just look at the closing price? I'm assuming the latter. If not, then I need to change the coding. But how can I change for stochastics? Long-winded, but I am desperate. - Thanks. --- In [email protected], "bistrader" <bistra...@...> wrote: > > Hard to tell based on limited info provided. Could do something simple to > check. Take a trade for a mutual fund and for you selected ETF. Write down > the buy price, sell price and performance for a few trades. Check the prices > to make sure correct, in you case closing prices. Check the performance to > make sure correct. If the trades are correct mathematically, then you are on > the right track. If not, then it should be straight forward to find out what > you are doing wrong. Like, hey it is using the price for yesterdays close to > buy or hey it isn't suppose to sell until 2 days from now but it used the > price for 2 days prior. > > --- In [email protected], "graphman27" <steve@> wrote: > > > > 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! > > >
