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Made a surprising(to me) discovery this weekend. Some mechanical systems
that perform quite well on the big snp fall apart on the ES. Using the same
time period 3/2 - 5/18, 15 minutes per bar, day session, same system inputs,
etc, the ES appears to be difficult to code decent systems for. Wonder if
anyone else has encountered this and what insights they might have to share
on differences in systems for big vs mini contracts.
bobr
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