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Its more than just noise. The futures lead
the cash indexes. Signals based on the cash will be late. For
example there are 81,000 ticks in the ES each day on a busy day. The cash
indexes have a few thousand ticks each day. There is a lot of slop on the
ES between the ticks on the cash index. That said, I'll pour some cold
water on the reasoning I just layed out because there are systems that generate
signals off of the NYA and are used to trade the ES and OEX options. So, I
guess what I am saying is that it depends a bit on the bar time like someone
else asked. Some folks get excited over tick bars and some use hourly
bars. The important thing is for you to go ahead and prove it to yourself
one way or the other and share the results with us.
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Sean Cassidy
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13, 2002 2:36
PM
Subject: Re: [RT] E Mini Vs big
contract?????
But back to my original question.....and I am
aware that maybe I want this to work to much.....what If you traded the mini
based on buys and sells generated by the index charts? Wont the prices always
be about the same? If I use a 3 point stop.....that should more than enough
to cancel out any noise.....I have never seen a difference of more than a
point. I plan to paper trade this on a simulated account first. But thanks for
the help. Logically....to me anyway....it seems that that should
work.
Sean
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13, 2002
11:21 AM
Subject: Re: [RT] E Mini Vs big
contract?????
Right, it might not work. A high to high
and low to low comparison would have to agree and on almost every bar they
don't agree. The actual execution prices will be
different if they occur at all. Create two charts side by side,
one with ES, one with SP, apply the system to both, and see where the
signals occur. There will be percentage differences in the entries and
exits between the two.
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Sean
Cassidy
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13, 2002
2:08 PM
Subject: Re: [RT] E Mini Vs big
contract?????
Just so I am perfectly clear.....you think
that my system that works so well on the S&P, although it is not
designed for it, would not work on the E Mini? The system is very simple,
it buys above the high of the first bar at the 3rd bar? Or sells below of
the the first bar at the 3rd bar.
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13, 2002
11:00 AM
Subject: Re: [RT] E Mini Vs big
contract?????
It is a reality. Take an intraday ES
candlestick chart and overlay an OHLC chart of the SP. Then create
a custom indicator of High of data1 - high of data2 and Low of Data1 -
Low of Data2. These differences are the reason for different
trendlines, trigger level differences, pivots as well as moving
average differences when the H and L are involved in calculations by
themselves or the Close. The extra noise in the ES obliterates the
performance of systems designed for the SP data.
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=prosys@xxxxxxxxxxxxxxxx
href="mailto:prosys@xxxxxxxxxxxxxxxx";>M. Simms
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13,
2002 10:51 AM
Subject: RE: [RT] E Mini Vs big
contract?????
Sean -
this is troublesome and bothering.....
are you
using TS4, TS2000i or TS/Pro ?
Tick
bars / 5 minute / 15 minute bars ?
Which
data feed ?
Lots of
variables to consider, but the differences between the 2 symbols
should not be that drastic.....
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<FONT face=Tahoma
size=2>-----Original Message-----From: Sean Cassidy
[mailto:scassidy@xxxxxxxxx]Sent: Wednesday, February 13,
2002 4:44 PMTo:
realtraders@xxxxxxxxxxxxxxxSubject: [RT] E Mini Vs big
contract?????
I have been using a tradestation system that works
very well on the S&P and Nasdaq Indices. but when I try to use
the same system on the mini s&p and the mini nasdaq......the
results are completely different. What can i do to get these results
in line? I realize the numbers are slightly differenet between the
mini and the index, but the results should be almost
identical.
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