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What about using the SPY? A trader friend of some 24 yrs exeprience told me last
week he uses the SPY to provide a surrogate for continuous contracts when testing
for intraday cycles in the spoo. As long as the *relative* swings are equivalent
in the SPY vs spoo, he feels this is an ideal alternative to using adjusted
continuous contracts (for cycles). I had been using the current contract for
backtesting of cycles & he pointed out the paucity of data in the front month
leads to less-than-complete information needed for cycles testing. I don't know
if this applies to system development, but it would seem that for *cycles*
testing it would work.
Michael
OatTrader@xxxxxxx wrote:
> 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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