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Hi Alex: I should have been more explicit. I have used e-mini real time
exclusively and compared it with hypothetical $SPX. My real time is
slightly better than the performance record that TS2000i produces (e-mini)
for the same period (about 1 year.) I have just begun delving into using
the SPDR form AMEX to simulate the cash. I have to sort out some order
entry problems before I can effectively use it. The differences between
$SPX (which is very close to SPDR in price action) and e-mini probably lies
in minimum tick and slippage plus liq. etc. I must admit it's frustrating
to see great performance in the hypo for last years cash compared to
consierably less profit in actual. I wanted the flexabilty of the e-mini
compared to the big S&P future (great for money management) but I may have
to go that way if SPDR doesn't work out. Any advice would be gratefully
welcomed.
Regards, Jack.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: "jack zaner" <jzaner@xxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, February 21, 2003 3:55 PM
Subject: Re: $SPX vs. ES in Oddball
> Jack:
> >I have noticed, through the months that I have traded a variation of OB,
> >that results when using cash prices ($SPX) vs. e-minis are consistently
> >better with cash.
>
> Yes, I and others have observed this not only with Oddball. But you
> said "through the months I have TRADED..." -- how do you trade the
> cash market?
>
> >The profitable cash trades are about 30% larger than the identical
> >signals for e-minis; the losers are about 40% less for cash than
> >the e-minis (exclusive of commissions).
>
> Did you test it with the big S&P? It supposedly is cleaner than the
> e-mini.
>
> -Alex
>
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