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Very easy to do - load the series you want to trade into data1 and the series on
which you want to run trades into data2, then key all your buy/sell instructions
off data2. You will have to write code to check to see if stops have been hit if
you are using them. I've used this technique to optimize systems based upon
percentage profits - something which TS/SC does not directly support. I load the
log of the data I want to trade into data1 and the real data into data2, then
use data2 to generate the signals.
Earl
-----Original Message-----
From: Gary Fritz <fritz@xxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Thursday, July 16, 1998 12:11 PM
Subject: Trade on different price series?
Since it appears I won't be doing any more trading today :-(,
I have a system development question:
Is it possible to RUN a system on one price series, but TRADE on
another?
SPX is a lot smoother than SP futures. I can get a system to trade
pretty reasonably on SPX. But if I apply the same system to SP, it
blows up due to SP's higher volatility and noise. I'd like to
experiment and see if I can use SPX as a signal-generator for
trading SP. Brief manual inspection seems to indicate it works OK,
but I'd like to test it exhaustively before going any farther.
I suppose I could manually track the results, printing out the Data2
(SP) price values when the Data1 (SPX) signals fire, but that would
be very painful -- especially for stops.
Any better ideas?
Gary
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