Daily Range: ER, ER2, NQ & YM

Discussion in 'Index Futures' started by BrooksRimes, Oct 27, 2005.

  1. Based on 1/3/05 - 10/19/05, H-L Daily Range, in Points

    Average 9.403414634
    Point $100
    Daily range $940

    Average 11.86829268
    Point $50
    Daily range $593

    Average 21.46287129
    Point $20
    Daily range $429

    Average 104.0544554
    Point $5
    Daily range $520

    This confirms what some have said, in the similar thread, about the high volatility of ER2.

    So, how would you measure how they well they "trend" one compared to another?

    Comments? Thoughts?

  2. One of the reasons I trade the Russell futures is because I don't have to be concerned about monitoring the individual components.

    The 2000 companies in the index are mostly small cap stocks. So if one company has bad news, it still doesn't effect the index price to much degree.

    And it is less susceptible to ups and downs caused by the big financial firms making huge trades.

    To me, this makes the Russell more predictable and less prone to whipsaw and false breakouts.
  3. my comment is these numbers seem way off. especially the dow... 100 points range is a big day and i doubt it's the average range of 2005
  4. DaveN


    Hi Brooks,

    One way is to run a bunch of autocorrelation tests. An easier and more direct way is to test them in a trend following system. Use something simple like an X bar breakout with a trailing stop, or even something as simple as a moving average crossover system. Try it across different time frames or different trend lengths, and rank order your results. Generally speaking, the S&P500 and Dow30 fare worse than the NAZ100 or the Russell. None do especially well.

    Now that's not to say you won't find some lookback length or cycle period that produces good results. I'd advocate some averaging of lengths and time periods to avoid any curve fitting skews of your rankings.
  5. Maybe I made an error. Why not import the quotes into Excel, do the math and post the results?

    I checked my work at it looks like the range varies from 36 to 346 (6/23/05).

    In the first 13 trading days of this month, I see 100+ ranges on 7 days: 4th, 5th, 6th, 10th, 12th, 17th, 18th.

    Show me where this is wrong.


  6. Pabst


    These types of stats are meaningless unless the notional size and or multiplier of the index is taken into consideration. For example the "trendy" (no pun intended) ER2 is 100xRUT whereas NQ is 20xNDX. Both ER2 and NQ have daily ATR's of about 1.5% of their index value. Thus despite the dollar differential in ATR between ER2 and NQ their percentage range is about equal. All one need do is trade twice as many NQ's.
  7. Pabst


    Near as I can tell your computation is correct.
  8. Thank you.

  9. I disagree that they are meaningless. It does give a general idea of the relative risk of one to the other on an intraday basis.

    It wasn't really intended to be used for calculation of returns. You could also look at the margin required for each ...