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After my last post, I thought of one more comment on your findings. You give
the TNP for the 3/14 to 5/17 time period as 11925 for futures and 14960 for
cash. I don't know how many trades you actually show in your data set but
looking at my data I suspect it is on the order of 51 trades. Assuming for
the moment that it was 51 trades, then I calculate the TNP, in units of s&p
points/trade, as 0.9 for futures and 1.17 for cash. This is a relatively
small difference which, in my view, is of the order of the differences we
might see between any 2 traders following exactly the same signals but using
different order entry platforms, different brokers, etc. In other words,
in 'real life' such a difference is within the 'noise' level. Also, I'd be
more inclined to see some significance in your results if the data set you
had used was significantly larger than the one you did use.
Regards,
Lee Scharpen
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