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Hi David: Does this mean that Oddball's stellar performance (which I
believe was generated using cash data), as reported on Mark's site, falls
apart when tested on futures data? Hope not.
Regards, Jack.
----- Original Message -----
From: "David Colin" <david_colin@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, April 05, 2003 11:14 PM
Subject: Cash vs. Futures Woes
> I realize this has been discussed here before, but I have been realizing
> lately that testing systems on the cash SP is kind of a waste of time. In
> the most jarring example of this phenomenon that I have yet encountered, I
> was trying of late to build a system based on the NYSE Tick index. I was
> using the cash index because my futures data was not properly aligned with
> my $Tick data in terms of time stamps, but I figured, if I can get good
> results, the difference in the futures shouldn't be all that bad.
>
> I started with the simple premise of buying whenever the NYSE $Tick closed
> above a certain level and selling whenever it closed below a certain
level.
> An optimization run and subsequent OOS runs suggested that 200/-200 was a
> good place to start. Much to my surprise just this basic system returned
> pretty stellar results on SPX. It traded a lot, but still had a
respectable
> avg. trade size of $250(+/-) or so. And the equity curve was quite
linear.
> I proceeded to refine it by adding stops and trend filters and so forth
> until I had it earning $2.5 million over a 4 year period and looking as
> though I drew the equity curve with a ruler. The DD was so small it
wasn't
> even worth mentioning.
>
> Well this was just too damn good to be true.
>
> So I did a run through on futures. Here are the results, cash vs.
futures,
> 5 minute charts, 3 month period between Dec 17/02 and March 16/03:
>
>
> CASH SPX:
>
> Total Net Profit $122,467.50 Open position P/L$995.00
> Gross Profit $192,030.00 Gross Loss($69,562.50)
>
> Total # of trades428 Percent profitable54.44%
> Number winning trades233 Number losing trades195
>
> Largest winning trade$8,432.50 Largest losing trade($2,512.50)
> Average winning trade$824.16 Average losing trade($356.73)
> Ratio avg win/avg loss2.31 Avg trade (win & loss)$286.14
>
> Max consec. Winners7 Max consec. losers7
> Avg # bars in winners14 Avg # bars in losers7
>
> Max intraday drawdown($4,937.50)
> Profit Factor2.76 Max # contracts held1
> Account size required$4,937.50 Return on account2480.35%
>
>
>
> S&P FUTURES
>
> Performance Summary: All Trades
>
> Total Net Profit $2,187.50 Open position P/L$1,312.50
> Gross Profit $138,000.00 Gross Loss($135,812.50)
>
> Total # of trades428 Percent profitable36.45%
> Number winning trades156 Number losing trades272
>
> Largest winning trade$8,000.00 Largest losing trade($3,062.50)
> Average winning trade$884.62 Average losing trade($499.31)
> Ratio avg win/avg loss1.77 Avg trade (win & loss)$5.11
>
> Max consec. Winners7 Max consec. losers14
> Avg # bars in winners18 Avg # bars in losers7
>
> Max intraday drawdown($15,187.50)
> Profit Factor1.02 Max # contracts held1
> Account size required$15,187.50 Return on account14.40%
>
>
> I realize this system trades a whole hell of a lot, and that these
> differences aren't as pronounced on a system that trades less frequently.
> But I just wanted to illustrate the degree to which SPX can fool you.
>
> David
>
>
> ---
>
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