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• Daytrading The E-Mini by Lawrence Chan

  ARTICLE SYNOPSIS ...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-miniŻ is the hottest index future traded at the Chicago Mercantile Exchange (CME). To trade a single S&P ...

AUTHOR: Lawrence ChanDATE: AUG 2003SUBJECT: System Design