System Design  |  AUG 2003

Daytrading The E-Mini by Lawrence Chan

Daytrading The E-Mini by Lawrence Chan Data Reduction - Daytrading The E-Mini See how reducing data can boost your trading system performance. I will show you how to preprocess raw data in such a way that even a simple trading system will perform with excellent results. There are many aspects of trading system design. Traders often focus on signal generation and money management, but ignore the most important and fundamental issue of all: the data. INTRODUCTION The Standard & Poor’s e-miniÝ is the hottest index future traded at the Chicago Mercantile Exchange (CME). To trade a single S&P e-mini contract, you need a futures brokerage account and enough money to cover the margin. It’s a very popular instrument among daytraders, since they can buy and sell this contract as many times as they wish without worrying about the complex margin requirements of stock daytrading.

by Lawrence Chan