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In a message dated 7/10/99 11:29:53 AM Pacific Daylight Time,
axiom1@xxxxxxxxx writes:
> 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?
No. The results might be similar, but they would not be the same. For one
there are fewer and smaller gaps in the SPX so the open could be vastly
different. Imagine a limit open in the futures and the SPX opens at the
previous close and trades your system from there (any entry in the futures
might be impossible). You could use the SPX to screen ideas, but the data
would be suspect to say the least in relation to futures systems.
>Should I run tests over each 3
month period? That would be 20 tests over 5 years.<
"It's simple, but it ain't easy."
>This {sic} are fundamental but critical questions. What kind of data do you
guys
use for futures intraday system testing?<
Actual intraday data: that is what I trade, why test anything else for an
intraday system? That said the SPX and SPX systems can be good indicators.
Bill Wynne
Smart Trades Inc.
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