|
PureBytes Links
Trading Reference Links
|
In a message dated 5/19/02 7:28:00 AM Pacific Daylight Time,
johan_revor@xxxxxxxxxxx writes:
<< Beyond the well known fact that trades placed at market open on the cash
index do not reflect the futures open due to globex activity (in which case
price can have already moved substantially during globex away from prior day
close), there seems to be some other differences in price behavior that add
to the over optimistic exuburance of cash index backtesting results as well.
>>
Are you implying that the differences between cash and futures opening values
at the beginning of the day somehow are influencing the differences you claim
to be seeing between Oddball results as applied to the futures or cash index?
That's the impression I got. In my view, any differences in the session
opening prices can have no influence on how Oddball 'performs' relatively on
the cash and futures since the first 'test' doesn't happen until after a half
hour of trading has occurred. By that time, those initial differences have
in general disappeared, to be replaced by the normal differences one sees
between cash and futures throughout the day.
<< Recent example using actual SP futures SPM2 data:
TNP on data from 3-14-02 till 5-17-02 using SPM2 data with Original OddBall
at 7,3,1 = $11,925 TNP with $18,700 MIDD
TNP on data from 3-14-02 till 5-17-02 using Cash index data with Original
OddBall at 7,3,1 = $14,960 with $17,427.50 MIDD
In this case the cash index results show approx. a 25% performance inflation
for TNP. >>
Throughout your post you use 7 bars as the look back period for both the
futures and the cash. This is NOT the parameter to be used for Oddball when
applied to futures. Because of the additional 15 minutes of trading for the
futures contract, the actual look back period should be 8 bars for Oddball in
its "normal" state. THIS can have a huge impact on the performance results
if in fact you DID use 7 bars look back for both cash and futures. Of
course, 7 IS the correct look back period for the cash index.
Regards,
Lee Scharpen
|