An S&P system which has earned $45,719.00 in the last 60 days ?

["Volker Knapp" <vk@xxxxxxxxxxxx>]

Why not using data[1] and data[2] for the calculations. Instead of entering
on a stop enter on the close, use SP index as the trigger market (data2) and
exit your trades in the SP Future (data1). Shouldnt that solve the problem?

Volker Knapp
Wealth-Lab Inc.
http://www.wealth-lab.com
http://www.wealth-lab.de

  ++-----Ursprungliche Nachricht-----
  ++Von: Gary Fritz [mailto:fritz@xxxxxxxx]
  ++Gesendet: Dienstag, 23. April 2002 18:01
  ++An: Ernie Bonugli
  ++Cc: omega-list@xxxxxxxxxx
  ++Betreff: Re: Re[2]: An S&P system which has earned $45,719.00 in the
  ++last 60 days ?
  ++
  ++
  ++> Here are some that have affected me;
  ++>
  ++> 1) slippage is greater than anticipated,
  ++
  ++You must include realistic slippage in your tests or your tests will
  ++give you bogus results.  If the slippage is greater than you
  ++expected, then figure out what slippage you are ACTUALLY SEEING and
  ++use that figure in your system backtests.  THEN see what results your
  ++system would have given you.
  ++
  ++> 2) the tradable security moves quicker in anticipation of
  ++>    the item being tracked, in my case, the money index,
  ++
  ++So you're running the system on the cash index (e.g. SPX or NDX) and
  ++trying to trade the futures?  This is certainly possible -- I've done
  ++it for years -- BUT you have to understand that the results you see
  ++on the TS report for the cash are NOT going to match the actual fills
  ++you get in the futures.
  ++
  ++Compare a 1min chart of the cash and futures side-by-side.  Notice
  ++how the cash index moves smoothly, with very little noise and jitter.
  ++ The 1min bars are very short (H-L is a small number) because the
  ++cash doesn't vibrate around a lot.  Now look at the equivalent
  ++futures 1min bars.  Notice how much taller the futures bars are.
  ++That's because the futures are much "noisier," with lots more
  ++movement on a short-term basis.
  ++
  ++In particular, the futures tend to move farther, and sooner, than the
  ++cash does.  This is especially problematic if you use stops (on the
  ++cash) to trigger your entries.  The cash moves slowly and cleanly to
  ++your stop, but the futures (which is what you have to actually trade)
  ++race past the futures.  By the time the cash moves up to your long
  ++entry stop, the futures have moved much farther.  This variation in
  ++the premium (futures minus cash) results in bad "slippage" between
  ++your theoretical cash fills and your actual futures fills.
  ++
  ++If you want to run your systems on the cash to take advantage of the
  ++cleaner signal, you have to observe your actual slippage and factor
  ++that into your system tests.
  ++
  ++> 3) No trading discipline,
  ++> 4) chasing market,
  ++> 5) failing to take all trades,
  ++> 6) second guessing the system
  ++
  ++Those are all different aspects of the same thing:  discipline.  If
  ++you have a system that works (assuming you use realistic slippage
  ++&etc) then it's up to you to learn the discipline to trade it.
  ++Without that, the greatest system in the world is useless to you.
  ++
  ++Gary
  ++