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There are also other differences between the cash and
futures. The biggest one is in the morning. Because the NYSE stocks
don't always open at the market open and can sometimes open as much as 30
minutes later, the difference between the cash and futures can be substantial
until everything is trading. I have spent a good bit of time on 2
different systems, developing, optimizing, filtering against cash and then when
I tried them on futures contracts, they completely fell
apart.
Sean, if you want to know why the systems are behaving
differently, you're going to have to get dirty. Pick out some signals that
are different and compute the numbers by hand. If the system is that
simple, then figuring out where it's getting off track should be simple
too.
Kent
----- Original Message -----
From: <A
href="mailto:bobrabcd@xxxxxxxxxxxxx"; title=bobrabcd@xxxxxxxxxxxxx>BobR
To: <A href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, February 13, 2002 2:51 PM
Subject: Re: [RT] E Mini Vs big contract?????
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.
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Sean Cassidy
To: <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=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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