Re: Re[4]: Is it just me, or is the market dead?

["Gary Fritz" <fritz@xxxxxxxx>]

> thats a far more sensible way to do it -- I get very different av
> prices for the cash compared with your continuos futures for 1998
> though. 

*smack*  (sound of Gary's hand hitting his forehead :-)

Sorry!  Not thinking.  I used **back-adjusted** continuous data, 
which changes the original price.  With un-adjusted data, my SP 
results are much closer to your SPX numbers.

1998: #days = 249, Avg range = 17.66, Avg price:  1091.56, % = 1.62
1999: #days = 245, Avg range = 20.84, Avg price:  1334.00, % = 1.56
2000: #days = 252, Avg range = 26.31, Avg price:  1439.16, % = 1.83
2001: #days = 250, Avg range = 21.00, Avg price:  1199.04, % = 1.75
2002: #days = 180, Avg range = 20.08, Avg price:  1040.60, % = 1.93

Thanks for catching that!
Gary