Daily Range: ER, ER2, NQ & YM

B

BrooksRimes

Based on 1/3/05 - 10/19/05, H-L Daily Range, in Points

ER2
Average 9.403414634
Point $100
Daily range $940

ES
Average 11.86829268
Point $50
Daily range $593

NQ
Average 21.46287129
Point $20
Daily range $429

YM
Average 104.0544554
Point $5
Daily range $520

This confirms what some have said, in the similar thread, about the high volatility of ER2.

So, how would you measure how they well they "trend" one compared to another?

Comments? Thoughts?

Brooks
 
One of the reasons I trade the Russell futures is because I don't have to be concerned about monitoring the individual components.

The 2000 companies in the index are mostly small cap stocks. So if one company has bad news, it still doesn't effect the index price to much degree.

And it is less susceptible to ups and downs caused by the big financial firms making huge trades.

To me, this makes the Russell more predictable and less prone to whipsaw and false breakouts.
 
my comment is these numbers seem way off. especially the dow... 100 points range is a big day and i doubt it's the average range of 2005
 
Quote from BrooksRimes:



So, how would you measure how they well they "trend" one compared to another?
More...

Hi Brooks,

One way is to run a bunch of autocorrelation tests. An easier and more direct way is to test them in a trend following system. Use something simple like an X bar breakout with a trailing stop, or even something as simple as a moving average crossover system. Try it across different time frames or different trend lengths, and rank order your results. Generally speaking, the S&P500 and Dow30 fare worse than the NAZ100 or the Russell. None do especially well.

Now that's not to say you won't find some lookback length or cycle period that produces good results. I'd advocate some averaging of lengths and time periods to avoid any curve fitting skews of your rankings.
 
Maybe I made an error. Why not import the quotes into Excel, do the math and post the results?

I checked my work at it looks like the range varies from 36 to 346 (6/23/05).

In the first 13 trading days of this month, I see 100+ ranges on 7 days: 4th, 5th, 6th, 10th, 12th, 17th, 18th.

Show me where this is wrong.

Brooks

Quote from BoyPlunger:

my comment is these numbers seem way off. especially the dow... 100 points range is a big day and i doubt it's the average range of 2005
More...
 
These types of stats are meaningless unless the notional size and or multiplier of the index is taken into consideration. For example the "trendy" (no pun intended) ER2 is 100xRUT whereas NQ is 20xNDX. Both ER2 and NQ have daily ATR's of about 1.5% of their index value. Thus despite the dollar differential in ATR between ER2 and NQ their percentage range is about equal. All one need do is trade twice as many NQ's.
Quote from BrooksRimes:

Based on 1/3/05 - 10/19/05, H-L Daily Range, in Points

ER2
Average 9.403414634
Point $100
Daily range $940

ES
Average 11.86829268
Point $50
Daily range $593

NQ
Average 21.46287129
Point $20
Daily range $429

YM
Average 104.0544554
Point $5
Daily range $520

This confirms what some have said, in the similar thread, about the high volatility of ER2.

So, how would you measure how they well they "trend" one compared to another?

Comments? Thoughts?

Brooks
More...
 
Quote from BrooksRimes:

Maybe I made an error. Why not import the quotes into Excel, do the math and post the results?

I checked my work at it looks like the range varies from 36 to 346 (6/23/05).

In the first 13 trading days of this month, I see 100+ ranges on 7 days: 4th, 5th, 6th, 10th, 12th, 17th, 18th.

Show me where this is wrong.

Brooks
More...

Near as I can tell your computation is correct.
 
I disagree that they are meaningless. It does give a general idea of the relative risk of one to the other on an intraday basis.

It wasn't really intended to be used for calculation of returns. You could also look at the margin required for each ...

Brooks

Quote from Pabst:

These types of stats are meaningless unless the notional size and or multiplier of the index is taken into consideration. For example the "trendy" (no pun intended) ER2 is 100xRUT whereas NQ is 20xNDX. Both ER2 and NQ have daily ATR's of about 1.5% of their index value. Thus despite the dollar differential in ATR between ER2 and NQ their percentage range is about equal. All one need do is trade twice as many NQ's.
More...
 
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