Trendiness ranking of futures 2002 & 2003

Discussion in 'Financial Futures' started by acrary, Jan 5, 2004.

  1. acrary

    acrary

    One of my year end activities is to rank the markets. Since many futures traders are trendfollowers, here's some trendiness ranking info. that might be of use.

    Ranking of trending markets in 2002 with a duration of 30 days or more in the trend.

    1. 90 Day T-Bill
    2. Fed Funds
    3. Nikkei Index
    4. Emini Nasdaq
    5. Palladium
    6. Minn Wheat
    7. Goldman Sachs C.I.
    8. Cocoa
    9. Mini Value Line
    10. Australian Dollar
    11. Eurodollars
    12. NYSE Comp.
    13. Natural Gas
    14. Heating Oil #2
    15. Coffee
    16. T-notes Day
    17. Russell 2000
    18. Crude Oil
    19. S&P 400 Midcap
    20. Sugar #11
    21. S&P 500
    22. Nasdaq 100
    23. Mexican Peso

    Ranking of trending markets in 2003 with a duration of 30 days or more in the trend.

    1. 90 Day T-Bill
    2. Short Sterling
    3. NYSE Comp.
    4. Australian Dollar
    5. Platinum
    6. British Pound
    7. Lumber
    8. Cotton #2
    9. Euro
    10. Dollar Index
    11. Palladium
    12. Feeder Cattle
    13. CRB Futures
    14. Fed Funds
    15. KC Wheat
    16. Soybean Oil
    17. Swiss Franc
    18. Eurodollars
    19. Muni Bonds
    20. Heating Oil #2
    21. Unleaded Gas
    22. Live Hogs
    23. Sugar #11

    It was interesting to note that both years had 23 markets with trends persisting greater than 30 days in duration. Of the 23 markets in 2002 with trends only 8 of them showed up in the 2003 list.
     
  2. Acacry,

    Thanks for sharing.

    How do you define staying in a trend?
     
  3. Hello Acrary:
    I am also doing the same. I try to determine what will make up my portfolio for the comming year (futures/commodities only). Thanks for sharing your work. Lkie "TheStudent", I would also like to know how you are defining "trend". I look forward to your reply. Best Regards, Steve46
     
  4. Acrary:
    I should have been more detailed in my request. I see that you are looking for markets that stay in a trend for 30 or more days. What I would like to make clear is what constitutes trend for you. For instance, in an uptrend, is it simply a series of higher highs and higher lows? If so, what is the threshold for a data series to be trending? Thanks, Steve46
     
  5. Acrary:
    Boy it has been one one of those days. Chalk it up to sleep deprivation please. What I am trying to say is, if a market fails to trend for one or more days, then resumes out to 30 or more days, do you still consider it to be a trending market (I would). Thanks, Steve46
     
  6. acrary

    acrary

    I got the idea for trend strength from a article in Technical Analysis of Stocks and Commodities. The article was titled Futures According to Trend Tendency by E. Michael Poulos. It's also in Volume 10 starting on P. 38 of their bound stuff.

    Here's the link to the article on their website:

    http://store.traders.com/-v10-c01-futures-pdf.html

    My method is different from theirs, however the essence came from the article.
     
  7. Acrary,

    That's E. Michael Poulos of RWI fame I presume.

    So a trend is a change in price over a given time frame that is greater than randomness. The measurement techniques are a little involved and recursive as I recall.


    Are there cardinal values behind the ordinal rankings that lend themselves to an intuitive interpretation?

    eg. a ratio of days spent in trend vs in chops? This could be useful for risk mgmt / trade sizing.

    peace,