Quote from Trader_Herry:
I would only like to ride on things which move large, great and smooth. I don't like to ride on things which is slack and unenergetic.
Quote from MGJ:
One approach I've used in the past, with reasonable success, is along these lines:For the timeframes I prefer, the top of the list is often dominated by interest rate futures. Eurodollars and BOBLs usually find their way to the Honor Roll, for example.
- (very important): Figure out what timeframe you're interested in. (You might use "duration of average trade" to measure this.)
- Create a dozen mechanical trading systems that operate in general around your preferred timeframe. The systems might be (a) Breakout system; (b) Moving average crossover system; (c) J. Welles Wilder Parabolic stop-and-reverse system; (d) Bollinger bands system; (E) Stocastic Overbought/Oversold system; each with two or three different parameter settings
- Run those systems on all possible markets and collect per-market statistics such as %Wins, Average Trade in R-Multiples, Profit Factor, Smoothness, etc.
- Rank the markets from best to worst on the statistic(s) that you value most. You could pick "Average of Profit Factor on all 12 system runs" or whatever else you like.
- Now you've got a list of markets ranked by goodness, where you (not some long departed poster on ET) decided "what is good?".