You can use the NDX. The correlation is extremely tight. I once calculated the r value, and while I don't remember the exact number, I know it was greater than 0.98.
The problem is that trades must generally be at next day's closing price, UNLESS the system's signal occurs prior to 3pm ET.
From a practical perspective then, the question would be how the system would perform (or how it can be optimized) using a 1 day lag in the signal, i.e. signal at today's close, trade at tomorrow's close.
My feeling after trading these funds for years is that the best way would be to move from a daily chart to a weekly chart, try to catch the swing- to intermediate-term trends, and forget about the shorter term trend shifts.
The system as currently configured seems more geared to trigger off short-term trends. That probably will result in a lot of whipsaw when trying to adapt it to a next-day close trading strategy.
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