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Thanks for all the responses. I am familiar with typical cash vs. futures
issues, but what I am seeing is not that. The trade-by-trade is pretty
similar between the two. It is just that the futures max. intraday drawdown
is wrong, is not supported by the trade-by-trade...nowhere near. It's as
though there is somehow an error in calculating the system report.
Chris
----- Original Message -----
From: "Chris Cheatham" <nchrisc@xxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Saturday, April 20, 2002 5:01 PM
Subject: ts4 system results
> I'm stumped...testing a year or so of 15 min data on SP cash versus
adjusted
> continuous SP futures. Testing with SP cash the max drawdown is 15k,
testing
> with sp futures, it is 330k. There is no trade or series of trades that
seem
> to cause it...just shows up that was in the system report. Any ideas?
>
> Thanks,
> Chris
>
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