Best Index Futures for Intraday-Trading?

Bernhard

I agree. I am thinking about slippage.

In that case I need to add average order size (or oder size distribution). I want to minimize the trading cost and max my changes.

Therefore I need a volatile market (10y notes are not so volatile compared to the bonds).
And lowest trading costs. The instument I am trading is one major part (+ broker commissions)
 
Quote from gg12:
murray
I think Qs and IWM should be used for trading.
I can get 5x leverage on that.
Are futures always better?
More...
Not the best. Index options (NDX, RUT) get preferred 60-40 tax treatment and your commissions will be 1/3 that of ETF options.
 
Quote from gg12:
Various Index futures compared:
YM, ES, NQ, ER2, DAX, ESTX50
Interestingly YM, ES are moving faster than NQ, ER2 (see attached graphics).
More...
How about on a PERCENTAGE basis ?
Better yet, how about on a percentage of contract dollar change divided by overnight dollar margin required ?....highest number = best one to trade.
 
If you have a really good system, trade the instrument you can grow with. (or design a system around the instrument you can grow with.)

By grow, I mean incrementally increase your size and even time frame.

That said, there's a reason most professional traders go with ES.
 
ddunbar

You made a very solid statement.

But volume increases also in NQ with a much better volatiliy.
And look at the ESTX50 as well...
 
Quote from gg12:

Best Index Futures for Intraday-Trading?

Various Index futures compared:

YM, ES, NQ, ER2, DAX, ESTX50

Interestingly YM, ES are moving faster than NQ, ER2 (see attached graphics).
More...

It's a simple decision and which is moving faster is an inadequate reason for trading instrument selection unless your strategy does well with the trading instrument that is moving faster.

Backtest you method on all the instruments your considering for intraday trading and then select the #1 as your primary trading instrument.

Use #2 and #3 as your backup trading instrument if your having data problems or exchange problems with trading instrument #1.

Therefore, your #1 that's more profitable with your strategy...

Most likely will be different from another traders #1 trading instrument.

In fact, your favorite trading instrument may not be the same instrument that your backtest results reveals as the trading instrument you should be trading.

For example, my backtest results (most profitable) and my favorite trading instrument is the Eurex DAX.

However, I trade the CME Emini ER2 because it fits well with my personal/family schedule due to the fact I live in the U.S. and trading soon after midnight doesn't sit well with the spouse and toddlers.

Therefore, you have three reasons to select a particular trading instrument and you need to decide which is more important:

1. Backtest results

2. Favorite trading instrument your the most comfortable with in trading

3. Trading instrument that causes less conflict in your personal/family schedule

With that said, if someone here at ET were to do a vote poll on the above three choices...

I wouldn't be surprise if more traders select reason 2 from above because I've met too many traders in the past few years that select a particular trading instrument because comfortable seems to them to have more merits than the other two listed reasons.

The good thing is that once someone blows out their account or grow tired of poor trading results...

Eventually they'll smart up and test their methods on other trading instruments.

Also, getting back to your comments on which is moving faster...

That should imply to you that you'll be switching to another trading instrument when it begans moving faster if the performance of your strategy improves with the faster moving trading instrument.

Mark
 
Thank you Mark.

Attached is a very short term view (1 hour).

The best swings are clearly on ER2.

I am looking at how the futures move in comparision to their spread + RT commission. The ratio swing/cost is important for my trading.
 

Attachments

I love to trade ER2 and lately CL.

Big orders on both side mean an orderly market like in ES. An orderly market is not the best condition for a very short term (VST) trader.

When ER2 is rocking back and forth I can count on a fill at the extremes of 30 40 point swings and very often even before I can type my liquidation order it hits my target. During busy periods, it is not uncommon to get off 2 or 3 trades in less than a minute. Last week I widened my targets to 100 points at times.

There is a certain velocity that is the dominant condition of the market for good parts of the day when scalpers and people like me thrive.

CL is great for the same reason.

One would think that a thinner market like Natural Gas would not be good to trade but when it gets busy the thinness of the market is actually an advantage to someone who is trading from both sides. Usually this happens in a zone when the market is bogged down and there is a struggle to get out of the range or at the exhaustion of intra day swings.

When one thinks of it it actually makes sense, like in any auction market, the fewer the participants the more likely that they would be price aberrations to take advantage of.

It is great that the electronic markets have evolved to a point where there is such a diversity of instruments to fit the various trading styles.
 
gurucandidate

I have a strategy involving stops. Therefore I need minimal slippage and a low spread compared to the moves.

I am keen to trade with the best traders on the internet if I can shift cost towards 0.

For example YM and ES often move in tandem. But if you compare the cost for a roundturn, just placing two market orders in 1 second YM is better (because of lower cost - spread and commission). In addition your have less slippage than the ER2 (but less amplitude of swings).

Another criteria is the 'linearity' of a market. A choppy market is good for scalpers, but there is always a risk of a breakout with huge slippage.
For trend followers choppy markets normally create emotional (revenge) trades. Traders need persistance in developing great skills and getting experience in letting profits run.
 

Attachments

qq12, I agree, if one's strategy is dependent on stops they should not be in ER2.

I do not use stops because basically I get in at the extremes of little swings when others are stopped out and I get out when the price returns to the imaginary mean.

GC
 
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