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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures

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To: Patrick Slevin who wrote (18259)	3/11/1999 11:01:00 AM
From: Brian Hornby	Read Replies (1) of 44573

I guess I could switch to the cash. I used to use the cash in my models and I switched to the actual SP contract some time ago when you suggested I use the actual SP contract instead of the cash as results may be different with it. Now you are telling me to switch back to the cash! <g> Other problem is some of my inputs are other futures contracts, but perhaps those are not as critical. TRIN, Put/Call, VIX, A/D are the main sentiment inputs so those don't change. I am tempted to model the SPY, as that is a little different and more volatile than the cash, and so might be more like the SP, though of course not as volatile.... In any case I am not modeling 5 day averaged output, so I smooth out most of the volatility anyway. I don't understand the Rydex-SPY comment. Rydex needs 100% margin - correct? SPY is a stock, so normal margin, 30-50%. My feeling is to just buy or short SPY and avoid mutual fund fees and perhaps poor entrys due to the EOD timing.

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