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Hi,
I believe one of the reasons that the cash does not test out well, I may
be wrong, but when many brokerages that trade both the cash stocks in New
York are doing the opposite in the futures in Chicago, Buy the cash and sell
the S&P futures and we have a buy program kicking. Perhaps if you can make a
method in which you have a signal in the cash to buy, place a delay of 2-5
minutes in the S&P (they are selling it) so that the futures can turn around.
I still believe that the futures actually leads the stock market or at
least it turns around faster that the overall market and I rather do my
testing on the real thing.
Jim
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