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The reason all systems perform better on the $SPX (S&P cash) is something I
learned early in my trading experience. The
S&P cash does not include the $Prem in the price, the premium has so much
noise that it triggers many false signals. If you add the $SP cash to the
$Prem (data1 (sp cash) + data2 ($prem)) , you'll see it mimics the Big S&P
futures (and the ES). So, if you remove the noise from the futures, it
makes sense that the system will have fewer false signals and be much more
profitable, just not tradable.
Just my observation.
Steve
----- Original Message -----
From: "jack zaner" <jzaner@xxxxxxxxxxxx>
To: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, February 21, 2003 5:39 PM
Subject: Re: $SPX vs. ES in Oddball
> 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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