S&P testing

Discussion in 'Strategy Building' started by shortskirt, Nov 1, 2005.

  1. I'm currently back testing ideas with tick data from the regular S&P 500 futures contract which spans over the last 10 years. I don't have any eMini S&P tick data for the same period though. My question is does the eMini contract basically mirror the big contract, or do they trade differently? Would a strategy that works on the big contract work on the eMini version and visa versa?

  2. patoo


    the big contract time and sales are entered by two people on the side of the pit. I have seen those people talking, scratching and waving at traders. Plus they can get behind. Not real accurate for tick data.

    The emini is a computer driven time and sales as it happens
  3. Pabst


    The mini is only eight years old. For the first three years or so it was quite thin. So you're really down to about five years of usable data. The pit contract is useless because it trades in tenths rather than ES's quarters.