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Here's some research I'm passing along. During my development of an SP/ES
daytrade system, I quickly noticed the times when ES bar ranges were much
greater than the corresponding SP bar. As an extreme, on 4/18/01 the 1100
EST bar high diff was 55 handles!! Actually, I think I remember reading
about that on this list.
Anyway, I compared bar by bar for SP and ES and generated histograms for
differences in high and lows for the same bars. I've attached the results
(es_sp_diff.txt) if you are interested.
Dates: 1/17/01 - 7/13/01
Bars: 15 min. 945 EST - 1615 EST
Source data: cme's time and sales from website ftp.cme.com/pub/time and
ftp.cme.com/pub/gtime
SH
Attachment:
Description: "es_sp_diff.zip"
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