[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

HELP NEEDED - $SPX as proxy for SP and ES Futures


  • To: "TSCode List" <TSCode-List@xxxxxxxxxxxxx>
  • Subject: HELP NEEDED - $SPX as proxy for SP and ES Futures
  • From: "Axiom One" <axiom1@xxxxxxxxx>
  • Date: Sat, 10 Jul 1999 11:30:02 -0700
  • In-reply-to: <199907101359.JAA14327@xxxxxxxxxxxxxxxxx>

PureBytes Links

Trading Reference Links

Currently, I am using the S&P500 index as a proxy for the SP and e-mini
futures in my tests of daytrading systems. Would the results be valid? It is
a real hassle to piece together 5 years of tick data for the futures
themselves.

Another reason I am using the index is data availability. I have the index
ticks but I am not sure if there are any vendors that sell ticks for each
3-month contract. What is the proper method? Should I run tests over each 3
month period? That would be 20 tests over 5 years.

This are fundamental but critical questions. What kind of data do you guys
use for futures intraday system testing?

Thank you. All advice would be deeply appreciated.