Hi guys, Just wondering which one leads first. Does YM leads ES or ES leads YM or it depends upon a particulay day. Thanks.
Not sure, but in experiments I've found them to average out to about the same $ profit or loss over a large number of trades (the experiment was to record the prices of both at the same time at both the opening and closing of a trade).
A bit of relevant trivia if you weren't aware: The DOW Jones Industrial Average is comprised of 30 of the S&P's best performing corporations. Needless to say I think your time and money may be better served if you didn't try to find a spread between the two to exploit.
yeah, both move pretty much the same. More bang for the buck with ES. That said, way more bang for the buck again with ER2, but moving over to ICE exclusively after Sep contract expires. Will probably kill volume on the thing.
I run a YM-driven ATS. I am experimenting with co-trading ES and NQ, entering and exiting with market orders at the same time as my YM open and close signals. This is mainly because I can put more volume through on ES than YM without affecting the market. The ES results are above: a high degree of correlation. The NQ on the other hand seems to be a law unto itself. A weird little contract it is. I've only 4 trades worth of comparison data so far though, so too early to tell. I'll know more in a couple of weeks.
YM and ES are highly correlated and thus trading system that depend on that correlation should do work.