...come to NQ. It pays better than ES on an ROI basis. Liquidity isn't as good, but it's good enough.
NQ is worse than SP/ES. It's volatility is down about 34% this year. Of course if you trade 2 or more NQ's for every ES then it's a better bargain. Average range in NQ this year is 26.6 pts. ($532/day - down from 40.3 pts. last year) versus SP 14.5 ($725/day for ES).
Volatility has been steadily decreasing . . . This is a fact, and believe it or not, the past 3.5 years ( up until June of this year ) have shown a much higher degree of volatility compared to the last 54 years.
Is there a better measure of 'tradeability' than average pts/day? Pts/day does not communciate fully the trading range to tight trading range movement of a choppy day. Today both the currency futures (EC for example) and bonds had very good moves that lasted longer than 15-20 minutes. Are there markets, today not last year, that are better for day trading than SP, ES & NQ? If you could not trade ES, or NQ what would you be trading? Thank you, Mike
...check the arithmetic. Assuming your numbers are right, and assuming you could capture the entire range, and ignoring the commissions on the number of trades it would take you to do it, the return on the initial intraday margin is: ES: $725/$1781 = 40.7% NQ: $532/$1125 = 47%
If you can increase your size as the volatility drops then it doesn't mean much. For me, the daily range reflects the opportunity per-contract in the market. I try to capture as much of the daily range as possible. I get sick when I see how the ND daily range has declined. Here's the results of a volatilty breakout system for the ND. It's decline in profits per-contract is directly tied to the decline in the daily range.
...you can calculate the total fractal range, but at some fractal level it gets absurd because of commish and slippage.
Volatility (Intraday Range) has its own cycles too. Indeed, we are in a multi-year low volatility area. Actually, predicting volatility is one of the hottest subjects for the quants these days. Last year, I got obsessed with this subject and tried to implement various volatility prediction models (ARCH, GARCH etc...). Since I'm not working with esoteric options modelling, I decided just to use a simple moving average of the daily H/L. Anyway, we had a back-to-back three low range days, which is NOT typical even these days. Little news and Columbus Day Holiday for some people sucked the life out of ES/NQ Chinook
Daytrading margins vary by broker. My broker charges only $500 per-ES. My point was that the volatilty was declining faster in the NQ than the SP/ES market (34% decline versus 27%). Make your profits now and bank them. Who knows, we might be saying this was the good old days for daytrading in a few years.