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Total Posts: 4
Joined: Nov 2020
Posted: 2020-12-28 15:26
How accurate is using spot prices to generate signals on futures for equities , currencies and commodities for intraday trading , daily trading at close ?

I am guessing for daily strategies it won't matter much but does this behaviour changes for some kind of signals?


Total Posts: 1436
Joined: Jun 2004
Posted: 2020-12-28 21:39
why would you want to use the spot prices ? for cost reasons? if so that would be a false economy, in my opinion.

for intraday trading you want to be trading the most liquid instrument

in the case of equities this is the futures (i'm not so familiar with fx or commodities).

but still, if you've backtested, go for it!


Total Posts: 4
Joined: Nov 2020
Posted: 2020-12-29 07:42
I was testing some stuff for Personal account. I dont have access to exact futures prices.
Was wondering how much would be replicable, particularly in equities and fx.
What if the signal used basis as a factor? Will the signal be opposite for futures and spot?

Founding Member

Total Posts: 5190
Joined: Mar 2004
Posted: 2020-12-29 14:53
It's a good homework assignment to look at the theoretical price versus the actual price intraday, and at the open/close, especially for deep markets like spx.

Nonius is Satoshi Nakamoto. 物の哀れ


Total Posts: 4
Joined: Nov 2020
Posted: 2020-12-29 16:59
Its daily trading with 2-3 signals eod per week using low spare cash. Have taken couple of trades(10) based on signal.
Fx is aligned, but in equities i should have been positive theoretically and i am not. Any ideas?
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