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Hello Chris,
I never bothered to figure out why but I often get noticalby different
results. I just don't use the cash index as the tradable. the two
have some differences obviously: fewer ticks in cash, premium
over/under shooting and it tends to happen at bar extremes,
15 minutes additional trading of futures. never checked but futures
may have a slightly wider bar range than cash.
--
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
Saturday, April 20, 2002, 6:01:44 PM, you wrote:
CC> I'm stumped...testing a year or so of 15 min data on SP cash versus adjusted
CC> continuous SP futures. Testing with SP cash the max drawdown is 15k, testing
CC> with sp futures, it is 330k. There is no trade or series of trades that seem
CC> to cause it...just shows up that was in the system report. Any ideas?
CC> Thanks,
CC> Chris
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