Who trades ETFs? Leverage ETFs?
- Thread starter WinstonTJ
- Start date
I (initially) approached the trading world in a purely scientific way (somehow "blindly"). I collected (using a custom downloader) for long time several terabites of tick data from a list 200 given symbols (i just initially screened the most liquid ones).
Then I defined a general class of trading strategies which include the most common devices and ideas such as:
open (according to trend)
trade (even using pyramiding)
close using trailing take profit
close by stop loss
Then, I run on a few quadcores for several months all the possible strategies (varying the parameters in all possible ways in a Monte Carlo simulation) using all the symbols.
I am describing this quickly, but this was a very painful process.
In short, my results was that over 200 symbols I tried, for *almost* all the symbols there is NOT even 1 strategy belonging to this class which, in the long run, yields a positive average PNL!
I found only a very few (less than 10) symbols which turns out to be actually tradable and with positive avg PNL (actually for some of them the returns are attractive). And, guess what, they are mostly leveraged ETF ...
Why? You experts tell me!
(I did not try the 3x, but I am going to run simulations also for these)
T
Then I defined a general class of trading strategies which include the most common devices and ideas such as:
open (according to trend)
trade (even using pyramiding)
close using trailing take profit
close by stop loss
Then, I run on a few quadcores for several months all the possible strategies (varying the parameters in all possible ways in a Monte Carlo simulation) using all the symbols.
I am describing this quickly, but this was a very painful process.
In short, my results was that over 200 symbols I tried, for *almost* all the symbols there is NOT even 1 strategy belonging to this class which, in the long run, yields a positive average PNL!
I found only a very few (less than 10) symbols which turns out to be actually tradable and with positive avg PNL (actually for some of them the returns are attractive). And, guess what, they are mostly leveraged ETF ...
Why? You experts tell me!
(I did not try the 3x, but I am going to run simulations also for these)
T
i was a bit curious why DXO is 2.50, and last time DXO was at 2.50, crude oil was like 5 dollars lower. Any ideas?
================
Neutral-S
I am writing/recording data, on that one;
maybe its like USO & can also , besides crude,[but not primarily] invest in gas, gasoline.......
But dont know, had them mail me a prospectus;
its also a ''double '' clunky,cloudy column prospectus LOL, too much of a hassle to read completely on internet.
================
T-mmas
SPY has trended well in last 4th quarter, 4th quarter historicaly;
but usually doesnt really trend that well.
Leverage doesnt help it[SPY or SRS] trend @ all;
great bench mark, i watch SPY much.
SRS may have a ''perfect ''mixture of good & bad stocks,equals not much trend
Quote from murray t turtle:
================
T-mmas
SPY has trended well in last 4th quarter, 4th quarter historicaly;
but usually doesnt really trend that well.
Leverage doesnt help it[SPY or SRS] trend @ all;
great bench mark, i watch SPY much.
SRS may have a ''perfect ''mixture of good & bad stocks,equals not much trend
Ah ok, sorry I omitted to specify that the class of strategies I considered in my experiments was intraday only. The results might clearly be different for larger timeframes.
Personally (especially with leveraged ETFs) I have hard time to figure out a meaningful justification to an overnight approach.
Conceptually, it would seem more acceptable to regard each day as a self contained story ...
But some of you may not agree... let me know your perspective...
T
There is much information on this both here in ET and elsewhere on the net. there is no risk with an ETF because they actually do hold the assets they represent. The bank associated with the ETF may be either a counterparty (some mild to moderate risk) or an advisor. Advisors can come and go just as counterpartys can.
As long as the ETF has their assets in a tri-party agreement with segregated accounts at a third party custodian, and that their margin and collateral is bi-lateral there will be no problem at all.