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Just my two cents... I have been trading systems developed on cash S&P for years, originally trading the big futures, then the e-mini's. First--if you can use a continuous contract, back-adjusted future for the testing, that is obviously the best choice. However, if you trade an intermediate term system with a relatively high avg net per trade, and do not execute before 10:30 am (ala 60 min bars without stops) then you can get reasonably comparable results between the cash testing and actual results in the futures. I have done it for many years and it has worked well. Second, trading the big S&P is just stupid. The e-mini is a much better product. It is well worth the added commissions. Trust me on this. If you trade with the floor in this product you will get f*cked repetitively. Lastly, the SPY trades with the future, not the cash, so it is not a reasonable proxy for the cash. The spread makes the e-mini a much better option.
Good luck trading,
Seth
P.S. M.B. stated earlier the trend in not your friend. I have succesfully traded the S&P with a trend following strategy since 1994...It is not easy or fun, but it is the only way I can do it. The key is to have a very robust model, and to be able to stomach giving back a lot of profits and holding trades for weeks/months every once in a while. However, I work with some very consistent traders who are not quantitative, and EVERY one of them trades counter-trend.
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