Where the action was

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.

Here's the top 20 strongest trending markets from 2000 - 2002 of 30 days or more in duration.

1. Short Sterling
2. 90 Day T-Bill
3. Palladium
4. Fed Funds
5. Nikkei Index
6. Japanese Yen
7. Eurodollars
8. Australian Dollar
9. Platinum
10. Goldman Sachs C.I.
11. Euro
12. British Pound
13. Natural Gas
14. Lumber
15. Corn
16. Minn Wheat
17. Cocoa
18. Oats
19. Mini Value Line
20. Unleaded Gas


The top 10 weakest trending markets with trends of at least 10 days:

1. Long Gilt Bond
2. FTSE 100 Index
3. Emini S&P 500
4. 10 YR T-Notes
5. 5 YR T-Notes
6. German Bund
7. Dow Jones Index
8. Nasdaq 100
9. S&P 500
10. Silver

And the top 3 markets with the longest trends (trends averaging more than 70 days):

1. Eurodollars
2. Oats
3. Emini Nasdaq
 
Great data, thanks acrary! just one question how do you explain that the ND and the NQ should be about the same but:

Quote from acrary:
The top 10 weakest trending markets with trends of at least 10 days:
8. Nasdaq 100
And the top 3 markets with the longest trends (trends averaging more than 70 days):
3. Emini Nasdaq
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.
 
Thanks for the excellent list, acrary. Two questions:

1. How many markets did you include in your analysis?

2. Have you run your trendiness analyzer/ranker on random data to see if this year had more or fewer trendy markets than statistically expected?

Cheers for the new year,
Traden4Alpha
 
Quote from buzzy2:

Great data, thanks acrary! just one question how do you explain that the ND and the NQ should be about the same but:
More...

They are very similar. The weakest ranking shows how strong/weak the trend was. The length shows the duration. On the weakest ranking the NQ was 12th (11th was T-bonds). The actual difference was quite small ND - 1.110 NQ - 1.128. Maybe the difference is caused by liquidity differences betweens the pit and the Globex. Or maybe caused by the Globex tendency to have larger extreme moves than the pit.
 
Quote from Traden4Alpha:

Thanks for the excellent list, acrary. Two questions:

1. How many markets did you include in your analysis?

2. Have you run your trendiness analyzer/ranker on random data to see if this year had more or fewer trendy markets than statistically expected?

Cheers for the new year,
Traden4Alpha
More...

1. I took all the markets that Pinnacle Data uses (I think it's about 68).

2. The only thing I've done is built a table of number of markets that trended for x days in 10 day increments. The idea of creating random noise distributions and ranking the markets against them is intriguing. I never thought of it. I'll try and do it.

For what it's worth here's the number of markets that had trends persisting beyond 30 days for each of the past ten years.

1993 - 17
1994 - 16
1995 - 23
1996 - 21
1997 - 36
1998 - 23
1999 - 16
2000 - 21
2001 - 27
2002 - 26
 
To identify trend , I use ADX and RSI and sort my universe of stocks with these 2 indicators

I guess I would arrive to your list of futures but I do not do it for future
 
Hi acrary,

I tried emailing and pm'ing you and couldn't get thru either way so forgive the OT question:

I'm considering ordering their service. I assume you've been satisfied w/it? I'm new to futures and have been looking around for the best continuous contract data. It certainly varies a great deal from provider to provider. Pinnacle seems to have a good reputation when it comes to continuous contract data. Have you found this to be so?

Thanks for any comments,
Harold
 
You must log in or register to reply here.
Back
Top