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A friend of mine suggested an End of Day trading idea that I back tested for
the last 2 years. It seems pretty effective but I think that 2 years of back
data is not enough. Can some go back further and share the
results/thoughts/suggestions on it?
Here's the idea:
If the diffrence between the open and close of the Nasdaq is greater than
the difference between the open and close of the S&P 500 (both are indexes),
but the S&P futures either on the close or open. If the S&P outperforms the
Nasdaq, close out your position.
On 2 years of back testing, I got about 55% of winning trades using the
continuous contract (SA 1600) from Dial Data. I also used $30 in commisions,
$125 slippage ( my reasoning is that 1 S&P =$250, so maybe 1/2 point slippage
is normal. Can some one tell if I'm right or wromg ?).
Thank you,
Andy
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