Your Daily ATR Values, Know Your Risk

E

ess1096

Each week I like to compute the DAILY ATR value of the following MINI Futures contracts so I know the average risk of each contract releative to each other. I'm feeling generous so I'll post my results here for all to refer to.

As of Friday's close 9/21/07
14 day ATR data as provided by TradeStation.
Tick values provided by http://www.alaron.com/contract_specifications.aspx?display=margins

P.S. Can someone check my math on the J7 (mini yen) contract, it seems pretty high.

YM= $857
NQ= $633
ES= $1,087
YG= $409
YI= $336
E7= $530
QM= $1,010
QN= $1,277
J7= $60,625
YC= $8,360
YK= $13,800
YW= $24,480
 
Not sure, haven't checked you calculations, but you might be calculating J7 in yen. Then you would just need to convert back to US dollars.
 
Nice job, and the numbers show an accurate analysis of the inherent risk/reward in trading each contract:

The Japanese Yen to US Dollar conversion brings the J7 to $524.96.

Good trading,

Jimmy Jam

Yahoo Converter
 
Quote from JimmyJam:

Nice job, and the numbers show an accurate analysis of the inherent risk/reward in trading each contract:

The Japanese Yen to US Dollar conversion brings the J7 to $524.96.

Good trading,

Jimmy Jam

Yahoo Converter
More...

Thanks for that link, I assumed the ticks were USD.
Does that mean the my E7 calculations need to be converted from Euros to USD as well?
Thanks again.
 
Quote from ess1096:

Thanks for that link, I assumed the ticks were USD.
Does that mean the my E7 calculations need to be converted from Euros to USD as well?
Thanks again.
More...

While I don't know for sure (I've looked at everything except YC, YK, YW), it looks right.

Ultimately I've just settled on NQ, YM and ES (in that order) for trading, and relying on money management to build my stash to adequate levels to (more than) sustain my self.

Good trading,

JJ
 
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