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Can't speak for the magnitude of the difference (the first question is -
what is the number of trades), but the phenomenon is *real*, have seen it
many times. The solution - do not ever assume that cash, or anything else
replicates the actual tradable.
What's scary, is that systems are being sold and *bought* based on
performance vs. cash.
----- Original Message -----
From: "Chris Cheatham" <nchrisc@xxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Saturday, April 20, 2002 6:01 PM
Subject: ts4 system results
> I'm stumped...testing a year or so of 15 min data on SP cash versus
adjusted
> continuous SP futures. Testing with SP cash the max drawdown is 15k,
testing
> with sp futures, it is 330k. There is no trade or series of trades that
seem
> to cause it...just shows up that was in the system report. Any ideas?
>
> Thanks,
> Chris
>
>
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