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Hi Steve: I agree with the noise theory. Remember that in OB the signals
are triggered by changes in $ADV (Data2). The only way SPX or ES factor in
is how you keep score- - unfortunately the "noise" appears to hurt ES
performance significantly.
Regards, Jack
----- Original Message -----
From: "sptrader" <sptrader@xxxxxxxxx>
To: "jack zaner" <jzaner@xxxxxxxxxxxx>; "Alex Matulich"
<alex@xxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Saturday, February 22, 2003 8:14 AM
Subject: Re: $SPX vs. ES in Oddball
> 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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