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One thing that can cause a significant difference between S&P cash and
futures is that the futures tend to arb out the delayed opening of the NYSE
stocks. In the past, I have developed 2 different systems on S&P cash,
studied them thoroughly, and then tested them on back-adjusted futures
before going further and both fell completely apart. I no longer bother
with testing on S&P cash. Too much wasted work.
So when does your OddBall variant take it's first trade each day? If it's
before 11:00am, that could be your problem. Otherwise, you should look at
it on a trade-by-trade basis to figure out what is going on. OddBall has a
low average profit-per-trade so any deviation one way or the other is going
to be very noticeable.
Kent
----- Original Message -----
From: "jack zaner" <jzaner@xxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Friday, February 21, 2003 6:47 PM
Subject: $SPX vs. ES in Oddball
I have noticed, through the months that I have traded a variation of OB,
that results when using cash prices ($SPX) vs. e-minis are consistently
better with cash. 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). Obviously the choice of trading
vehicle can be the difference between a winning outcome vs. a losing
experience, even though the trades are triggered identically. The more one
trades, the bigger the difference of final cumulative outcomes. Cash S&P's
and e-minis may look alike, but they are different animals. Unless you are
careful, you can turn a winning system into a loser. Try comparing them
for yourself.
Regards, Jack.
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