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Where the action was

  1. 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.

    Here's the top 20 strongest trending markets from 2000 - 2002 of 30 days or more in duration.

    1. Short Sterling
    2. 90 Day T-Bill
    3. Palladium
    4. Fed Funds
    5. Nikkei Index
    6. Japanese Yen
    7. Eurodollars
    8. Australian Dollar
    9. Platinum
    10. Goldman Sachs C.I.
    11. Euro
    12. British Pound
    13. Natural Gas
    14. Lumber
    15. Corn
    16. Minn Wheat
    17. Cocoa
    18. Oats
    19. Mini Value Line
    20. Unleaded Gas


    The top 10 weakest trending markets with trends of at least 10 days:

    1. Long Gilt Bond
    2. FTSE 100 Index
    3. Emini S&P 500
    4. 10 YR T-Notes
    5. 5 YR T-Notes
    6. German Bund
    7. Dow Jones Index
    8. Nasdaq 100
    9. S&P 500
    10. Silver

    And the top 3 markets with the longest trends (trends averaging more than 70 days):

    1. Eurodollars
    2. Oats
    3. Emini Nasdaq
     
  2. How do you calculate that (plus criteria) other than to look at a chart.
    directional advance less retracement?
    Thanks.
     
  3. Great data, thanks acrary! just one question how do you explain that the ND and the NQ should be about the same but:

     
  4. 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.
     
  5. Thanks for the excellent list, acrary. Two questions:

    1. How many markets did you include in your analysis?

    2. Have you run your trendiness analyzer/ranker on random data to see if this year had more or fewer trendy markets than statistically expected?

    Cheers for the new year,
    Traden4Alpha
     
  6. They are very similar. The weakest ranking shows how strong/weak the trend was. The length shows the duration. On the weakest ranking the NQ was 12th (11th was T-bonds). The actual difference was quite small ND - 1.110 NQ - 1.128. Maybe the difference is caused by liquidity differences betweens the pit and the Globex. Or maybe caused by the Globex tendency to have larger extreme moves than the pit.
     
  7. It makes sense. The NQ indeed overshoots the ND sometimes. Thanks again acrary.
     
  8. 1. I took all the markets that Pinnacle Data uses (I think it's about 68).

    2. The only thing I've done is built a table of number of markets that trended for x days in 10 day increments. The idea of creating random noise distributions and ranking the markets against them is intriguing. I never thought of it. I'll try and do it.

    For what it's worth here's the number of markets that had trends persisting beyond 30 days for each of the past ten years.

    1993 - 17
    1994 - 16
    1995 - 23
    1996 - 21
    1997 - 36
    1998 - 23
    1999 - 16
    2000 - 21
    2001 - 27
    2002 - 26
     
  9. To identify trend , I use ADX and RSI and sort my universe of stocks with these 2 indicators

    I guess I would arrive to your list of futures but I do not do it for future
     
  10. Hi acrary,

    I tried emailing and pm'ing you and couldn't get thru either way so forgive the OT question:

    I'm considering ordering their service. I assume you've been satisfied w/it? I'm new to futures and have been looking around for the best continuous contract data. It certainly varies a great deal from provider to provider. Pinnacle seems to have a good reputation when it comes to continuous contract data. Have you found this to be so?

    Thanks for any comments,
    Harold
     
  11. Pinnacle is ok but nothing spectacular. The volume data seems totally wrong from checks with other sources I've done. The data itself isn't the raw data so if you plan on using it in real trading you'll be disappointed. Since it comes as continuous contracts there's no planning for rollovers and you have to manually do the work to figure out if limit days are being hit. There are no flags in the data to help. Also, you can't do any work with price levels like "if corn hits $1.75 per-bushel buy at the market". You may also have to figure out how to deal with negative prices if you do the backadjusted method. In short I use pinnacle for some data analysis because it's easy to work with. The daily price differences seem ok as compared to a provider like csi. For real trade entry and testing it's better to get 3 or more sources and run the models against all of them to avoid problems from one supplier.
     
  12. acrary,

    Argh. Thanks much for the response, but that's just what I didn't want to read. Volume is central to my trading methodology. I am thoroughly perplexed by futures data and have started a thread hoping to get some answers. I'd be most interested in your thoughts. Here's a link:

    http://www.elitetrader.com/vb/showthread.php?s=&threadid=32741

    Thanks,
    H