Hi All,
Does anyone has expereince trend following ETFÂ´s. Which datavendor is offering EoD Global ETF data.
Thanks
C
Global Exchange Traded Funds (ETFÂ´s), End of Day data vendor
AFJ's book includes the passage (p.27) shown below. He's discussing equity indexes; I imagine the situation for ETFs that track other nonequityindex kinds of things, is probably just as cumbersome.
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You might have some fun, turning this into a "Word Problem" like the ones in elementary school mathematics, and then solving it.
One possibility is shown below. I bet you can think of others.
Geert trades "M" different futures markets. He sizes his riskpertrade so that the sum of all risk over all positions (the Total Risk) is always less than or equal to "T" percent of his account. Geert always places protective stops, and the stop placement at trade entry (the so called Entry Risk) is always greater than or equal to E dollars per contract. Across all M markets that Geert trades, the one with the smallest maximumpositionsize is Sodium Silicate Futures. Geert is not allowed to trade more than C contracts of Sodium Silicate Futures.
Question: How big can Geert's account grow (in dollars), before he hits the maximumpositionsize limit?"
When you find a solution, you'll notice that it has some terms in the numerator and other terms in the denominator. Increasing the ones in the numerator, increases Geert's MaxDollarAccountSize (yaaay!). Increasing the terms in the denominator, decreases Geert's MaxDollarAccountSize (boooo!). How can you avoid maxpositionsize limits as long as possible? You can change the way you trade: increase the terms in the numerator, and decrease the terms in the denominator. That's how.
These might be plausible values of the four variables in the problem statement:
One possibility is shown below. I bet you can think of others.
Geert trades "M" different futures markets. He sizes his riskpertrade so that the sum of all risk over all positions (the Total Risk) is always less than or equal to "T" percent of his account. Geert always places protective stops, and the stop placement at trade entry (the so called Entry Risk) is always greater than or equal to E dollars per contract. Across all M markets that Geert trades, the one with the smallest maximumpositionsize is Sodium Silicate Futures. Geert is not allowed to trade more than C contracts of Sodium Silicate Futures.
Question: How big can Geert's account grow (in dollars), before he hits the maximumpositionsize limit?"
When you find a solution, you'll notice that it has some terms in the numerator and other terms in the denominator. Increasing the ones in the numerator, increases Geert's MaxDollarAccountSize (yaaay!). Increasing the terms in the denominator, decreases Geert's MaxDollarAccountSize (boooo!). How can you avoid maxpositionsize limits as long as possible? You can change the way you trade: increase the terms in the numerator, and decrease the terms in the denominator. That's how.
These might be plausible values of the four variables in the problem statement:
 M = 90 markets
T = 30% total risk (30% of the account equity at risk)
E = $400 per contract Entry Risk (relatively tight stops, for intermediateterm TF, not LTTF)
C = 500 contracts maximum