qqq vs nq

R

RapidEye

I have designed a stable system that trades the nasdaq e-mini and I have done all the bactesting with continuous contracts data. Since my system produces just 2-3 trades a week (low comission expenses), I am now considering of QQQ as an alternative to NQ, for better position sizing purposes. But I have never traded QQQ again so I need some advice here.

Relevance
-Is QQQ traded almost tick by tick in relation to NQ ? I haven't the data to backtest it, can I trust the backtesting on NQ? I use 30mins candles for my signals and the average holding time is about 3-4 hours, one trade every 2 days.

Leverage
-How much leverage can I use trading qqq at IB ? Is the margin different when opening short positions ? No overnighs at all. Does the margin changes for accounts with less than 25K ?

PDT
-Can I avoid this silly rule since I have just 2-3 intraday trades a week ?



Thanks
 
Yes, the additional commission costs slightly downgrades the profitability of the system, but the equity curve remains excactly the same. I assume 2.4$ per side per contract for NQ, and 0.005$ per share for QQQ (IB rates).

My concerns are mostly whether other factors such as wider spreads or additional slippage would deteriorate the profitablility at a greater effect.
From the other hand, I wonder if NQ could be used as a leading indicator to avoid some slippage or utlilize some limit orders with success (my backtesting is based on market orders).

I also can't make out from the site of IB the excact margining policy for ETF's. I want to use a leverage of 4:1 both for longs and shorts. Is this ok through IB ?

So my questions can be further summarized as:


--Can I take advantage of NQ as a leading market in relation to QQQ, to take back some of the additional commissions and spread costs when using QQQ ?

--Is it possible to use 4:1 leverage (longs/shorts) for intraday trades through IB?


I am asking all these questions because my backtesting shows that 25% of my system's profit is being deteriorated when using contracts, since I cannot use accurate position sizing because of big lots.


Many thanks
 
RapidEye
I trade mostly futures and sometimes options so I could be wrong here but I think you have to have a 25K account to get the intraday 4:1 leverage with equities. Some points to keep in mind while your deciding are:
1) futures trades get a small tax advantage over equity trades
2) with futures you don't have to keep track of all your trades, you'll get a form at the end of the year showing net P/L for tax purposes
3) the futures trade virtually around the clock, unlike ETF's
4) as you've already mentioned you'll probably save on commissions with futures, although the less you trade the less that matters
5) don't forget that IB as many other brokers offer 1/2 margins on futures positions that are not held overnight

I'm not necessarily trying to talk you into futures. I'm sure there are some advantages to the ETF's, I just can't think of any off the top of my head.
 
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