Amibroker support is saying curve fitting is probably involved and to use walk-forward analysis. I told them that I will do that, but that when I optimize a strategy for a particular mutual fund, it also works on other similar mutual funds, so that's probably not the problem. It just doesn't work well on similar ETFs. I'm still hopeful that I have some settings set incorrectly for ETF's/Stocks or that I need to use Intraday data.
--- In amibroker@yahoogroups.com, "woodshedder_blogspot" <woodshedder_blogs...@...> wrote: > > 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" <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! > > >
