Graphman, interesting observation. It is also a phenomenon that I have noticed. I have reached the same conclusion as you, that this is because of intraday trading, but my conclusion is that intraday trading allows the edge to be traded out of the ETF. Also, even with a strategy based on the ETF close, there is action that takes place during the morning gaps that cannot be captured since the ETF does not trade at a price within the gap. I believe this also is an example of the edge getting traded out of the ETF.
I am curious to hear what others think about this. --- In amibroker@yahoogroups.com, "graphman27" <st...@...> 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! >
