Suggestions on Trading System Development with Limited Data
Q: I have been recently designing a trading system that uses a mixed bag of highly liquid ETFs. Doing any kind of testing on ETFs is becoming a challenge due to the lack of data. ETFs didn't really become popular until about 5 years ago, and some ETFs are newer than 5 years. Do you have any suggestions on trading system development with limited data? At this point plan to test something on SPY, DIA, and QQQQ data and trade other ETFs with that system. Thoughts?
A: This is an easy question. You can get a free historical download of all of those ETFs you want to test, plus all of the rest from YAHOO finance. Just go to Yahoo.com and the go to finance. Enter your symbol and then click historical data. You can download it to Excel. Or better yet you can get XLQ for free with a 30 day trail and it will get the data for you.
Comments
Actually, I think your questioner is complaining that the ETFs he wants to trade don't have a long history... for example DUG has only been around for 11 months or so.
http://finance.yahoo.com/q/hp?s=DUG
So, his question is more appropriately "if I test a system with QQQQ or SPY, can I reliably and robustly use that to trade something like DUG."
My answer would be "maybe". It would depend on assumptions and what types of conditions the system is trying to take advantage of . For example if the system is a purely technical trend following system, the testing results may be similar. If they're based on news, the different ETFs might react differently to news, and the testing results would be less helpful.
Posted by: Jason G. | January 8, 2008 07:58 PM
i would suggest you test the system built using the QQQQ SPY and DIA on the HOLDERS ETFS or the SPDRS ..they both have long histories and i think you will find your answer very quickly ..
Posted by: walid m | January 21, 2008 08:25 PM