Comparison of ES, NQ, YM & ER2

I've been looking at the er2 and it looks like a sweet little trade. As previous posters have stated, it trends very nicely and has enough volume to get off a 5-lot (maybe not in the afternoon). Only thing is, for a clearing/commission rate of 2.32, our company won't let us trade it. Imagine that!
 
Quote from ElectricSavant:

Do you use an indicator based swing method. I am a swing trader too. Do you rely on ES signals to enter ER2?

Can you share a little more about trading the ER2?

I do not think many trade it, so it is tough to find a trader to ask questions of.

Do you have any liquidity problems.

Can you get multiple contracts filled with no probem.

Does this instrument have the same slow lunch time period?

Are the hours traded from 8:30cst to 15:15cst? Is it 24hr.?

Michael B.
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I studied past swings for ER2 against ES, NQ and YM using simple parameters like if ES makes 5% swing how does the other index compare for the same time period. ER2 outperforms ES, NQ and YM. The results were eye opener. There is a consistent outperformance on long side and the margin is substantial. The second best instrument is NQ and the worst is YM for a given swing in ES. Here is recent performance.
03/12/03 to 05/15/03 ES 17.72 YM 15.32 NQ 19.82 and ER2 22.00
05/21/03 to 06/17/03 ES 9.56 YM 9.47 NQ 11.31 ER2 11.51
08/05/03 to 09/09/03 ES 5.98 YM 5.21 NQ 11.45 ER2 12.27

So for swing trading ER2 is what I use. For day trading the criteria is avg daily range range and ES and NQ score over there. So I have my base position in ER2 . I occasionally day trade NQ and YM with it if I find a compelling low risk set up.


I use a basic trend following approach along with patterns and a 2 MACD combination ( one for long entry and another for short).
I have no liquidity problem for my position size. Max contracts I trade is 5. It is also a function of entry tactics, most of my entries and exits are pre determined and I put in resting orders to enter and exit.

Liquidity is poor before and after hours.
 
To the comparison I made in my first post, I here want to add the apparent noise in each of them. I don’t know if noise is defined somewhere, but for my use, I will here use the height of 1-minute bars during different time zones during the day.

In my first post, I had a comparison of the noise in the different contracts, set to how much it ususally moves in % when in a tight 5-10 min range. Those were comparative figures, where ES, ER2 and YM was 1, and NQ was 2.

I’ve only looked at two recent days, so the figures are not meant to show anything but that. The time zones are the opening 9:30-10:00, mid day 12:00-13:30 and 15:00-15:30. The numbers are average points and percentages during these periods, and normal “mean” variation.

9:30-10:00 (avg / normal variation)
NQ: 1.5 pts, 0.11 % / 1 – 2.5 pts, 0.07 – 0.18 %
ES: 0.7 pts, 0.07 % / 0.5 – 1 pts, 0.05 – 0.10 %
ER2: 0.45 pts, 0.09 % / 0.2 – 0.8 pts, 0.04 – 0.16 %
YM: 5 pts, 0.05 % / 2 – 8 pts, 0.02 – 0.08 %

12:00-13:30
NQ: 0.75 pts, 0.06 % / 0.5 – 1.5 pts, 0.04 – 0.11 %
ES: 0.4 pts, 0.04 % / 0.25 – 0.75 pts, 0.03 – 0.08 %
ER2: 0.15 pts, 0.03 % / 0.1 – 0.4 pts, 0.02 – 0.08 %
YM: 3 pts, 0.03 % / 1 – 5 pts, 0.01 – 0.05 %

15:00-15:30
NQ: 1.0 pts, 0.07 % / 0.5 – 2 pts, 0.04 – 0.15 %
ES: 0.5 pts, 0.05 % / 0.25 – 1.0 pts, 0.03 – 0.10 %
ER2: 0.25 pts, 0.05 % / 0.1 – 0.6 pts, 0.02 – 0.12 %
YM: 4 pts, 0.04 % / 2 – 8 pts, 0.02 – 0.08 %

To summarize, on a one minute bar comparison, the noisiest contract is the NQ, followed by ES/ER2 and least noisy is YM.

NQ is about twice as noisy compared to YM and about 1.5 times noisier than ES/ER2.

Do you have any further reflecitons regarding comparing the different futures? Any futures you’d like to include? If you traded two or more of these and can compare how well you managed trading them, etc?
 
what is a good site to start following the es, nq, and ym. (free) i have been in stocks and think futures offer alot of benefits. thanks for all the info in this thread.
 
Quote from Boomer:

what is a good site to start following the es, nq, and ym. (free) i have been in stocks and think futures offer alot of benefits. thanks for all the info in this thread.
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http://www.cme.com

http://www.finance.lycos.com/qc/livecharts/default.aspx?symbols=CME:ES03Z

http://www.finance.lycos.com/qc/livecharts/default.aspx?symbols=CME:NQ03Z

http://www.finance.lycos.com/qc/livecharts/default.aspx?symbols=CME:YM03Z

There are also lots of free realtime chat rooms where traders are posting trades and/or basic trading tips.

Use EliteTrader's search menu in the upper right corner to see the discussions on chat rooms.

Esignal and QCharts also have a current free 1month realtime streaming data offer...you could use that while your using one of those realtime trade execution simulators from a futures broker.

Also...check with your futures broker...they may have free stuff although you never mentioned what you are looking for other than it must be free.

Good luck.

NihabaAshi
 
Quote from Boomer:

what is a good site to start following the es, nq, and ym. (free) i have been in stocks and think futures offer alot of benefits. thanks for all the info in this thread.
More...

Try www.prophet.net
Go to the quotes section, its nice they have the major index futures charts for the day on one page. You can customize the charts quite a bit.

www.cme.com
www.cbot.com
 
Quote from granville x:

To the comparison I made in my first post, I here want to add the apparent noise in each of them. I don’t know if noise is defined somewhere, but for my use, I will here use the height of 1-minute bars during different time zones during the day.

In my first post, I had a comparison of the noise in the different contracts, set to how much it ususally moves in % when in a tight 5-10 min range. Those were comparative figures, where ES, ER2 and YM was 1, and NQ was 2.

I’ve only looked at two recent days, so the figures are not meant to show anything but that. The time zones are the opening 9:30-10:00, mid day 12:00-13:30 and 15:00-15:30. The numbers are average points and percentages during these periods, and normal “mean” variation.

9:30-10:00 (avg / normal variation)
NQ: 1.5 pts, 0.11 % / 1 – 2.5 pts, 0.07 – 0.18 %
ES: 0.7 pts, 0.07 % / 0.5 – 1 pts, 0.05 – 0.10 %
ER2: 0.45 pts, 0.09 % / 0.2 – 0.8 pts, 0.04 – 0.16 %
YM: 5 pts, 0.05 % / 2 – 8 pts, 0.02 – 0.08 %

12:00-13:30
NQ: 0.75 pts, 0.06 % / 0.5 – 1.5 pts, 0.04 – 0.11 %
ES: 0.4 pts, 0.04 % / 0.25 – 0.75 pts, 0.03 – 0.08 %
ER2: 0.15 pts, 0.03 % / 0.1 – 0.4 pts, 0.02 – 0.08 %
YM: 3 pts, 0.03 % / 1 – 5 pts, 0.01 – 0.05 %

15:00-15:30
NQ: 1.0 pts, 0.07 % / 0.5 – 2 pts, 0.04 – 0.15 %
ES: 0.5 pts, 0.05 % / 0.25 – 1.0 pts, 0.03 – 0.10 %
ER2: 0.25 pts, 0.05 % / 0.1 – 0.6 pts, 0.02 – 0.12 %
YM: 4 pts, 0.04 % / 2 – 8 pts, 0.02 – 0.08 %

To summarize, on a one minute bar comparison, the noisiest contract is the NQ, followed by ES/ER2 and least noisy is YM.

NQ is about twice as noisy compared to YM and about 1.5 times noisier than ES/ER2.

Do you have any further reflecitons regarding comparing the different futures? Any futures you’d like to include? If you traded two or more of these and can compare how well you managed trading them, etc?
More...
Have you looked at the bond futures.They have excellent liquidity and most of the time have moves in both direction.
 
No, haven't looked at bond futures. However, I understand they are very tradeable.

It seems the e-mini bond futures are very thin on volume and I don't have the data feed for the full bond futures. If someone has more information on these, it would be interesting.
 
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