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Hi Kent: I have tested various time periods and the diff between cash and
futures is still sig. I believe that most of the diff is due to the min.
fluctuation allowable- - although that hypothesis is tough to test. I also
believe that the delayed NYSE opening does result in a sig. arbing
activity.
Regards, Jack.
----- Original Message -----
From: "Kent Rollins" <kentr@xxxxxxxxxxxxxx>
To: "OmegaList" <omega-list@xxxxxxxxxx>
Sent: Friday, February 21, 2003 5:28 PM
Subject: Re: $SPX vs. ES in Oddball
> 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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