ETFs
Posted: Tue Dec 09, 2003 9:10 am
Considering that ETFs are a fast growing and increasingly liquid market segment it might make sense to trade them in a LT trend following system. However, some of the more interesting stocks only have a rather short history, further distorted by huge intraday spikes (illiquidity or false data?). Also, they bring new instruments all the time.
Some of the ideas I've come up with are backtesting the underlying indices or backtesting with the largest stocks in the index. The second has a serious flaw though as the largest stock today maybe hasn't even existed 10 years ago. And testing indices means negating liquidity, not a sensible thing to do.
ETFs have been mentioned in this forum before so I wonder if somebody has come up with alternative solutions/strategies?
-wojo
Some of the ideas I've come up with are backtesting the underlying indices or backtesting with the largest stocks in the index. The second has a serious flaw though as the largest stock today maybe hasn't even existed 10 years ago. And testing indices means negating liquidity, not a sensible thing to do.
ETFs have been mentioned in this forum before so I wonder if somebody has come up with alternative solutions/strategies?
-wojo