Are you a good ETF (QQQQ like) operator? I made and automated trading model (using daily data or more data frequncy). In tests on some trackers retrospective data (daily data), the system has generated annual profits ranging from 68% to 213% (no transaction costs or margin taken into account). Trade stocks, but I do not frequent. I was wondering if there is any trader who is trading the ETF on daily basis and comes with better performance.
You give no indication of your level of expertise, or if it is a kind of hobby for you.
You know the problem of "overfitting" of course, where it will not work in the future because of the box that you put in.
You know the problem of using too little data, too little economic situations, and usually the wrong type of data.
You know the problem of your system acting on the end only, whereas in the real world, we need intraday stops.
There are books written about the many problems and pitfalls of backtesting and writing system, entire books of nothing but problems. But you probably already know this.
Run your system on a real time simulator, or schedule it for the market by a robot with any number of brokerages in a demo account. This will be the real test, and show obvious problems with your model.
Without knowing more details it is difficult to comment on anything other than gaps models. The average number very little, except a point of comparison with other models and early work in reality.
I have an account but did not attempt
Posted on February 3, 2010.
