I recently read a post about trading ES futures based on SPY ETF data.  It looks like the SPY gives the signal (as it should) and this then places a market order on the ES future (as it should).  The backtest is profitable, with an almost linear equity curve, but seems "too good to be true".. The issue I believe originates in the differing timezones of the exchanges on which the respective products are traded.

Am I correct in believing the signal in SPY is generated at say 1200 (Eastern Time), and the backtesting market order executed in the ES future at 1200 (Central Time)?  If so, how would one 'align' the two products to ensure a more accurate backtest?