significant change in er2...

Discussion in 'Index Futures' started by frostengine, May 30, 2006.

  1. I have been backtesting a method on the er2 and noticed that it has had REALLY good results from september 04 till now... but before september 04 this method gets crushed.... did something significantly happen around that time to the er2 that changed the way it moves? Is that when volume began picking up?

    I'm trying to figure out if i should be worried about this system or not or assume the er2 was not the same beast it is today before that period...
     
  2. http://www.cme.com/files/emini.pdf

    (you can find the mini's volume development in this file for example).

    it was around that time when er's volume picked up - and so did volatility i think. i started watching it in dec. 04 - and it was already very "interesting".
     
  3. thats a very good observation and that is why I dont backtest more than 600 days back which is about 2.5 years. things change. remember, the same exact thing happened to the es when it first started. and look at it now.