Warning about stop orders/backtesting on cash, futures

["David Folster" <mr_bond@xxxxxxxxx>]

List,

I just wanted to alert people that if your system enters on a breakout stop
order and you are testing on SPX instead of futures, do not assume you will
get the same results or even close if you test the system on futures.  I
don't know if taking the signals off the cash and trading the futures would
help, but with the few examples I have looked at, if you apply the same
system to cash and futures and it enters on a stop (like buy at highest(h,
3) stop or whatever)  you will get very different results.  That's just my
experience though; maybe others have found differently.  And this may be
common knowledge too...

David