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

[Phil Lane <accumulator@xxxxxxxxxxxxxx>]

>Date: Sat, 10 Jul 1999 13:10:02 -0600
>From: "Gary Fritz" <fritz@xxxxxxxx>
>To: axiom1@xxxxxxxxx
>CC: "'Omega List'" <Omega-list@xxxxxxxxxx>
>Subject: Re: HELP NEEDED - $SPX as proxy for SP and ES Futures
>downmoves.  There is no way in TS4 (as far as I know) to run a system 
>on the index and report actual fills on the future.  

Actually you CAN do this! At least I think you can. Hope I'm not missing
the point here.. Just use the SPX as data2 and generate signals from that.
Use the futures for data1, and it will do the actual trading on the futures. 

This is what I do, working from daily charts. It works fine. Note that
there may potentially be a pretty good edge here, since unlike the futures,
the stock indexes include timely VOLUME info.
For example (daily charts):

if (l=lowest(l,10) and c>c[1] and v>v[1]) data2 {use your favorite stock
INDEX for data2}

then begin
value1=low-xaverage(truerange,5);
value2=high+2*xaverage(truerange,5);
buy;
end;

exitlong value1 stop;
exitlong value2 limit;

I have no idea if this system would actually work.. but would be curious to
hear anything if someone wants to look at it. 

NOTE: For a long-term simulation it's important to normalize the size for
price and volatility - obviously you would trade a bit smaller now - when
the SP moves 20 bigpoints on a daily basis - than you would have back when
it moved 1/10 that much. Like about 10 times smaller! A single-contract
simulation under these conditions can be very misleading as far as the
drawdowns/runups are concerned.. Not that anyone cares about that.. ;-)