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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?
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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!
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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?
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chiral3
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| Founding Member |
| Total Posts: 5221 |
| Joined: Mar 2004 |
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| 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 |
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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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