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1. Regarding futures vs. cash. Futures are more volatile than cash. They
tend to undershoot/overshoot and have more noise. Most systems lose points
when trading futures vs. cash (at least mine do).
2. Regarding the Mini ValueLine. I love it!! It's my size (~$90000). The
cash has less volatility than the SPX cause it's based on 1650 stocks. I've
always gotten fast decent fills (through Ole Rollag at Ira Epstein). But it
is a tad illiquid (500-1000 contracts/day). Unfortunately, I figure the
mini-SP will kill it.
At 11:54 AM 8/21/97 -0400, PPMig@xxxxxxx wrote:
>I have been investigating trading futures indexes like the S&P 500, Value
>Line etc.
>Right now I only have data for the cash indexes. My question is: I have
>tested systems that run well against the cash indexes, but I am wondering if
>this will be true when tested against the actual futures index? Any
>comments on the differences between how the cash and futures indexes behave?
> I plan on checking this myself, but I will have to get a new data
>service.
>
>Also, any comments on starting with the Minivalue Line index vs. the SnP?
> Value Line seems to be less choppy.
>
>Thanks Paul
>
>
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Lawrence E. Lewis
Vice President, Chief Technology Officer, Chronology Corporation
EMAIL:lel@xxxxxxxxxxxxxx TEL:425-869-4227 x122
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