S&P 500

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Chris Murphy
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S&P 500

Post by Chris Murphy »

Does anyone know where I can find S&P 500 Historical Cash Prices and the Number of Advancing NYSE issues for every hour of the trading day? I'm very limited on funds so hopefully their is a way to get this data for free but I've looked around and have not had any leads with the exception of tickdata who's price is $400 for the data.
PeterK
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Post by PeterK »

S&P 500 Historical Cash Prices can be obtained free from www.yahoo.com under ticker ^SPX. The data goes back to 2000 only.

Peter K
Chris Murphy
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Post by Chris Murphy »

Thanks Peter but unfortunately I need intraday prices not end-of-day. I just checked out yahoo and they don't provide historical intraday prices.
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Post by PeterK »

My apologies. I associated the hourly phrase with the advancing issues. My reading skills are obviously deteriorating.



Peter K
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Post by choppystride »

You can get some intraday historical SPX here:

http://www.medianline.com/data.html
http://www.traders2traders.com

Some of the data sets are in XPO or OMZ format. If you need to convert them into ASCII, try these tools;

http://www.hypertrader.biz/htools/Hyper ... %20Omz.msi
http://www.hypertrader.biz/htools/Hyper ... %20Xpo.msi

As for intraday NYSE Advancing Issues, traders2traders.com has some but probably not enough for testing (oddball?). If you or anyone know of any free sources (preferrably at 1-min intervals or tick), I would definitely like to know!
Chris Murphy
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Post by Chris Murphy »

Yes, oddball. Thanks, got just what I was looking for...gonna have fun coding tonight :D
Josh M.
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Post by Josh M. »

For the oddball '03 could end up being another '99. 'Be interesting to find out what happens after the shake out.
eminime
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Countertrend System on the e-mini S&P

Post by eminime »

Friends,

Recently, I believe I've 'stumbled' into a decent methodology to trade the e-mini S&P on a countertrend basis. Basically I look for exhaustion of a short-term (1-2 day) trend. My method may then provide a signal to take a trade in the opposite direction. It's surprisingly simple to trade but seems very robust after testing it over several contracts.

My question, to anyone willing to help, is that I have tried to apply this system to the bonds, NASDAQ e-mini and a couple other very liquid markets. The system does not do well in any of the other markets that I've tested. Is this a warning sign that my system is not really viable? I realize that a trend-following system should work in any market. Must this also the case for a countertrend system?
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Re: Countertrend System on the e-mini S&P

Post by blueberrycake »

eminime wrote: My question, to anyone willing to help, is that I have tried to apply this system to the bonds, NASDAQ e-mini and a couple other very liquid markets. The system does not do well in any of the other markets that I've tested. Is this a warning sign that my system is not really viable? I realize that a trend-following system should work in any market. Must this also the case for a countertrend system?
There are plenty of good systems that don't work across all markets. In particular there is a difference between the behavior of stock indexes and other futures. However, I've never come across a good system that works on S&P futures, but fails on the Nasdaq ones. So that's a definite red flag. You should check how your system performs on the big S&P index back to 1983 when it started trading.

-bbc
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Post by Kiwi »

I wouldnt be even slightly worried that it didnt work on bonds.

Try it on ESTX50, DAX and YM instead.

I trade both bonds and estx on 1m and 3m bars and will take a 3m divergence on estx (given some other criteria) but will normally wait for two divergences on bonds and tighten the criteria up because they trend so much better than the indexes and its harder to catch the profit in the divergences.

John
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SP Countertrend system test

Post by eminime »

Blueberrycake & Kiwi,

Thanks for the responses. I'm in the process of testing the NQ now. Before I had written my original post I had cursorily tested the NQ and it did not look promising. As I have gone back and begun my re-testing, I can see where my system DOES work but was surprised at how much larger the stop would have to be relative to the profit target. I thought the best way to test was to NOT change any of the system parameters at first and see what the results were. So, at least for now I am encouraged :wink: as it seems the NASDAQ is conforming albeit with what appears to be a choppier ride throughout the trade. I will test the YM soon and decide if more testing is warranted. Thanks again guys for the responses!

Dave
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Post by Kiwi »

Try testing it on russell 2000 futures as well. I would expect that your "relative" stops would be lowest on ER2 then on YM then on ES and finally widest on Nas because of the volatility.

The players and components of these futures are different so you need to "optimise" for the trading vehicle :P

John
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Post by eminime »

Great; thanks John. I will also test the Russell 2K futures. My very preliminary tests would totally concur with your comments on the volatilty and stops. I look forward to the test results and again, thanks.

Dave
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Post by Forum Mgmnt »

Dave,

Are you using stops based on some measure of volatility (i.e. ATR, standard deviation, etc.)? If not, then I would not expect the same values to work.

One of the great benefits of volatility based stops is that they adjust from market to market pretty well automatically.

- Forum Mgmnt
eminime
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Post by eminime »

Forum Mgmnt,

I would love to use a stop based on ATR for my countertrend system however I have not "played" with it enough to even know where to begin. I've tried getting some ideas from Van Tharp's book but the stops then appear to be way too wide. I suppose the best thing is for me to just test with different ATR values (different time/lengths) and see if I can find something reasonable to use. I completely agree that using an ATR based stop would be a great idea. Thank you for your input!

Dave
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