|
PureBytes Links
Trading Reference Links
|
Dennis Brink asked:
>Would anyone comment on trading SPY as a proxy for the index; are there any
>serious disadvantages such as spread, correlation, difficulty of shorting or
>others?
I've tried this. Every system where I've tried to substitute SPY
for the index, the system stops being profitable. SPY correlates
to the index only in the overall daily movements (an up day on the
index will be an up day on SPY). There is less correlation in the
magnitude of movements (daily range will be different, as will
relationship of the close to the high and low).
You shouldn't have difficulty shorting SPY.
I'd recommend using it only for longer-term end-of-day strategies.
Your mileage may vary. Others may have different experiences.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
|