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MB sez:
> someday i will make a believer of all of you and show you that indeed you
> can trade a futures contract (and with better results) using signals
> generated from a perpetual data series (tm CSI).
Not to beat a dead horse (ok, i'll go ahead and beat it :-).....
You can get your signals from a perpetual contract, and they may well be
better signals, but you have to TRADE the front month. If you trade the
perpetual contract in backtesting you will get unrealistic results.
Take a simple example - buy and hold the S&P futures, roll to the front
contract every 3 months. If you sell and immediately re-buy the
perpetual contract, it will cost you hardly anything (on paper). But, if
you sell the June and buy the Sep, it will cost you about 12 handles.
Big difference.
It would be trivial to code this stuff in TS4 if you could trade
something other than data1 but noooooooo......
--
Dennis
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