The best trading strategy in index futures is "Pairs Trading". I have done Pair trading in Index futures like DJIA(YM), S&P500(ES) and NASDAQ100(NQ) for the last 4 years. The best pair or highly correlated/cointegrated pair is YM & ES, but the best "Pair" for the purpose of day trading/short term trading is NQ & ES. If you are looking the ratio graph (NQ/ES), one can see there's an upward movement (or we can say there's an upward bias, if we are claiming perfect correlation). So what i mean to say is if you are trading in the said pair keep in mind the fact that "NQ will slightly move upward". Now I'm thinking to test this strategy in Stocks. Though it's a difficult task (as corporate news may cause sudden jump in individual stocks), I will go on with the same strategy by mixing some fundamentals & technicals.