Volatility and dollar point value. Say one has an ATR of 10 and a point value of $5 and the other has an ATR of 15 and a dollar value of $12.50. In dollar terms the ATRs are $50/contract and $187.50, resp. To equalize your volatility exposure, you'd use an approximate ratio of 3:1 The ES, YM and NQ are positively correlated but not perfectly. Their relationships in pairs can be plotted as an earlier poster showed. There are trend following and mean-reversion opportunities that you don't get in any of those markets individually. If you have a smallish account, you could use ETFs instead of futures. i.e. you could balance the ratios almost exactly with ETF shares instead of futures contracts. Heck, if you want to do this in an IRA (no shorting), you could go long the many inverse ETFs as a proxy for shorting. The possibilities go on and on.