I trade stocks, and have been considering S&P futures to fill in some gaps, as my primary stock system leaves me with extra time and capital to put to work. I have a few initial questions and would appreciate a little guidance. 1. What should my expectations be for a decent return in an S&P futures intraday system, in terms of profit/loss ratio, points per trade, etc.? This guidance will give me a benchmark for my own backtesting so I know if I'm on track. Assume in your answer that I know what I'm doing. 2. Do you know of a source for ES historical data that I can download for backtesting? 3. Is using SPY for backtesting a reliable proxy for the ES futures? Thanks for the help.
I would not use SPY. For data, see http://www.traders2traders.com/linkindex/Default.asp http://www.anfutures.com/index.html