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At 07:17 PM 11/9/97 -0600, Eric wrote:
>If I am not mistaken, by 10 pm on Thurs night ,
>I believe the SPoos were locked limit down from the 4:15 close so your
>short was impossible to enter let alone enter at the price assumed.
Our fill Thursday night was at 934.50. I do not have the exact time.
The update was e-mailed at about 7:45PM EDT and faxed to our broker within
about
10 minutes of e-mailing. Our standing instructions to him are to enter the
trades "by 10:00PM" but also not to let the market get away from him. To
date,
he has done an excellent job of entering trades for us.
If this issue is troublesome, you might want to look at the Daytrade Model,
where trades are entered on the Day session OPEN and exited MOC.
By the way, if you scroll down the Daily Update page at the Trendy web site,
you will find area called "Studies" where we compare Day session closes to
Globex prices at 10 PM for calendar year 1996. The differences are
minimal. Also,
it has been our real time experience that this use of the Day session
closing prices
in the Models tends to UNDERSTATE performance as often as it OVERSTATES
performance.
Allan
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