Trendiness ranking of futures 2002 & 2003

A

acrary

One of my year end activities is to rank the markets. Since many futures traders are trendfollowers, here's some trendiness ranking info. that might be of use.

Ranking of trending markets in 2002 with a duration of 30 days or more in the trend.

1. 90 Day T-Bill
2. Fed Funds
3. Nikkei Index
4. Emini Nasdaq
5. Palladium
6. Minn Wheat
7. Goldman Sachs C.I.
8. Cocoa
9. Mini Value Line
10. Australian Dollar
11. Eurodollars
12. NYSE Comp.
13. Natural Gas
14. Heating Oil #2
15. Coffee
16. T-notes Day
17. Russell 2000
18. Crude Oil
19. S&P 400 Midcap
20. Sugar #11
21. S&P 500
22. Nasdaq 100
23. Mexican Peso

Ranking of trending markets in 2003 with a duration of 30 days or more in the trend.

1. 90 Day T-Bill
2. Short Sterling
3. NYSE Comp.
4. Australian Dollar
5. Platinum
6. British Pound
7. Lumber
8. Cotton #2
9. Euro
10. Dollar Index
11. Palladium
12. Feeder Cattle
13. CRB Futures
14. Fed Funds
15. KC Wheat
16. Soybean Oil
17. Swiss Franc
18. Eurodollars
19. Muni Bonds
20. Heating Oil #2
21. Unleaded Gas
22. Live Hogs
23. Sugar #11

It was interesting to note that both years had 23 markets with trends persisting greater than 30 days in duration. Of the 23 markets in 2002 with trends only 8 of them showed up in the 2003 list.
 
Hello Acrary:
I am also doing the same. I try to determine what will make up my portfolio for the comming year (futures/commodities only). Thanks for sharing your work. Lkie "TheStudent", I would also like to know how you are defining "trend". I look forward to your reply. Best Regards, Steve46
 
Acrary:
I should have been more detailed in my request. I see that you are looking for markets that stay in a trend for 30 or more days. What I would like to make clear is what constitutes trend for you. For instance, in an uptrend, is it simply a series of higher highs and higher lows? If so, what is the threshold for a data series to be trending? Thanks, Steve46
 
Acrary:
Boy it has been one one of those days. Chalk it up to sleep deprivation please. What I am trying to say is, if a market fails to trend for one or more days, then resumes out to 30 or more days, do you still consider it to be a trending market (I would). Thanks, Steve46
 
Quote from TheStudent:

Acacry,

Thanks for sharing.

How do you define staying in a trend?
More...

I got the idea for trend strength from a article in Technical Analysis of Stocks and Commodities. The article was titled Futures According to Trend Tendency by E. Michael Poulos. It's also in Volume 10 starting on P. 38 of their bound stuff.

Here's the link to the article on their website:

http://store.traders.com/-v10-c01-futures-pdf.html

My method is different from theirs, however the essence came from the article.
 
Acrary,

That's E. Michael Poulos of RWI fame I presume.

So a trend is a change in price over a given time frame that is greater than randomness. The measurement techniques are a little involved and recursive as I recall.


Are there cardinal values behind the ordinal rankings that lend themselves to an intuitive interpretation?

eg. a ratio of days spent in trend vs in chops? This could be useful for risk mgmt / trade sizing.

peace,
 
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