ES vs ER2

[Sadak]

If I recall correctly, market depth screen shows around 100 contracts for ER2 for each price level (tick). Same number for NQ is around 600-700 and that for ES is ~1500.

Above data shows how incredibly deep ES market is and that gives the advantage of moving larger trades in this market.

Is this advantage worth taking the extra risk that comes with trading ES (as compared to say ER2). Probably not, if you are tading a 2 lot.

On ES, I place stop limit order with both the trigger and limit at the same price. And I have never missed a fill for up to 5 lot trades.

Can experienced ER2 traders comment if this can be expected in ER2 market as well.

Thanks

 

[reno4nook]

for many months I watched side by side charts of the S&p 500, Russell 2k and Nasdaq.

From my expericence, the Russell 2k has less whipshaw and false breakouts than the other indexes.

 

[Lawrence Chan]

The more liquid a contract is, the more noise will be associated with the instrument, at least in lower time frame. e.g. 15-sec, 1-min, etc.

There are so many different types of traders involved in a highly liquid market like ES, including program trading robots, making it harder to trade, especially for those who are interested in scalping.

SP used to trend a lot and has very low noise level many years ago. The good old days ...

 

[mikeyd]

The Russ does Rock without a doubt.

 

[Lefty62151]

Hello:
Certainly it is your privelige to ask the question, but apart from satisfying your curiosity it will do you little good to look at potential markets to trade in this fashion.

Most good professionals look at the market from the standpoint of possible internal edge or advantage. The way you find that edge is to study the target market looking for non random behavior that is repetitive. If the behavior can be quantified and you can apply money management (and you can maintain your discipline long enough for your edge to kick in) then you will make money. Otherwise it is pretty much like playing the slots, which means you will likely be a slow loser and your account will bleed to death a bit at a time.

I trade both markets every day. I learned to characterize the price action by analyzing it over a period of months, finding my edge and then trading small size to verify that my assumptions were correct. At this point, trading these markets is like playing slots, only this time it is like I have found slot machines that display the tendency to payout a little more than I spend. Until somebody finds and "fixes" or replaces those machines I am there every morning feeding in my loose change and pulling the handle.

Good luck, I hope you find what you are looking for.

Lefty

 

[nononsense]

Hi All,

Does anybody have comparative figures for the Profit Factor and/or Sharpe Ratio he is achieving on the ES, ER2, NQ, YM, DAX, ESTX50?

Be good,
nononsense

 

[nononsense]

Quote from Lefty62151:

Hello:
Certainly it is your privelige to ask the question, but apart from satisfying your curiosity it will do you little good to look at potential markets to trade in this fashion.

Most good professionals look at the market from the standpoint of possible internal edge or advantage. The way you find that edge is to study the target market looking for non random behavior that is repetitive. If the behavior can be quantified and you can apply money management (and you can maintain your discipline long enough for your edge to kick in) then you will make money. Otherwise it is pretty much like playing the slots, which means you will likely be a slow loser and your account will bleed to death a bit at a time.

I trade both markets every day. I learned to characterize the price action by analyzing it over a period of months, finding my edge and then trading small size to verify that my assumptions were correct. At this point, trading these markets is like playing slots, only this time it is like I have found slot machines that display the tendency to payout a little more than I spend. Until somebody finds and "fixes" or replaces those machines I am there every morning feeding in my loose change and pulling the handle.

Good luck, I hope you find what you are looking for.

Lefty

Hi Lefty,
Once you confirmed your edge after trading with 'small size', did you later manage to size up? Can you do roughly 10 times size in ES than that for ER2 or do you keep size about equal in both, finding ES more difficult?

Thank you for your post.

Be good,
nononsense

 

[Marsupilami]

When does slippage become a problem in the ER2 ?

Could one easily trade 20-30 contracts at once, or would that be difficult in the ER2?

 

[nononsense]

Quote from Marsupilami:

When does slippage become a problem in the ER2 ?

Could one easily trade 20-30 contracts at once, or would that be difficult in the ER2?

Depends on when and how. Very easy in the ES.

 

[Atlantic]

Quote from Lawrence Chan:

The more liquid a contract is, the more noise will be associated with the instrument, at least in lower time frame. e.g. 15-sec, 1-min, etc.

There are so many different types of traders involved in a highly liquid market like ES, including program trading robots, making it harder to trade, especially for those who are interested in scalping.

SP used to trend a lot and has very low noise level many years ago. The good old days ...

this is also how i see it. about 4 years ago the ES had pretty much the same daily volume that the ER2 has now. and russell's volume went up tremendously in the last weeks/months. i expect that with rising volume in the russell there will also be more and more program trading and more noise - so i think it's a question of time when the great and clear moves in the ER2 will start to vanish - maybe not this year - maybe not next year - but sooner or later for sure. the first signs are already there - in those 1500 contracts/minute bars.