ES is more efficient in terms of margin. Besides it has options. Once you buy some OTM ones, you can trade ES in tens of contracts even your account is less than $10k, which gives you extremely high leverage. Of course, you can be wiped out pretty fast if you are not good. On the other hand, return is extrordinary.
primarily trade ES. Just started looking at doing trades in other contracts like NQ, TF etc. and possibly spreads and googled this thread. Excellent way to compare multiple index futures. Thread is from 2002. Posting here for benefit of others so that this thread comes onto the main page.
I'll suggest the the euro futures contracts be considered since imo the euro is similar to an index, but more 'stable', more 'regular' in its price movement trading volume's about 10% of the ES, but, large orders tend to spike the price bar to a range greater than that which occurs with the ES, which is sometimes nil daily range is usually greater than the indexes, trends well, can be scalped and there is the micro contract 6E/EC Euro FX volume: 12/14/12: 254,562 o/n $3,300 day $500 specs: $125,000 H,M,U,Z - 0.0001 / $12.50 rt comm: $4.87 M6E micro Euro volume: 12/14/12: 4,124 o/n $330 day $100 specs: $12,500 H,M,U,Z - 0.0001 / $1.25 rt comm: $1.99 via: http://www.ampfutures.com/