was:CASH index is poor model etc.New subj;Taking signals from SPX to trade SP futures...

["Shraga(Feivi-Philip)" <shraga@xxxxxxxxxxxx>]

Someone`s had to turn this into it`s own thread :)

I understand that there are several traders on this list that actually do 
trade this way; trading the futures off signals from the cash (SP and 
NQ...). What would be interesting to know is: is there any foolproof way to 
test such a signal, or have these traders just test-driven their systems? 
I`ve noticed that using data1 futures and data2 cash does NOT work out well 
for some reason. Mark Brown mentioned that the futures having bigger moves 
should just about average everything out. At least in my case, backtesting 
has not shown this to be true, but I assume there could be a difference 
with different systems (allthough I don`t see why there should be...). 
Also, has anyone noticed a difference in results when using ES instead of 
SP for data1? And last, doesn`t SPY track the cash exactly? If so, how 
liquid is spy for day-trading purposes? Wouldn`t that be a solution to this 
whole problem?

Philip