increasenow, Just wondering how many days were used to arrive at those numbers. The approximate starting and ending dates would be good, if you have them. Thanks.
Well, my first index futures trading was with the YU which traded on the NYFE at the time. Then I graduated to the full size S&P, if I'm not mistaken the performance bond was around $12K at the time. This was way before Globex BTW. Then I moved to currencies and several commodities for awhile. When I came back to the indexes I started with the CBOT's YJ contract. A mini DOW contract with a $2.00 multiplier I believe it was. My best day ever with that one was over $250, trading a single contract from an old hotel using an unreliable 9k - 11k dial up connection. After that contract was discontinued I moved to the YM for some time. Then the NQ and an ES from time to time and even tried the ER2 once. I thought watching the ER2 was like looking at an EKG monitor, it just didn't make any sense to me. Maybe I just picked a bad day to try it. But I never tried it again. Which one do I prefer? It was the YM for the longest but I've recently started going back and forth between it and the NQ. I'll do an ES once in a great while, as recently as last night. But normally stick with the mini DOW and the mini nasdaq 100. Why? Several reasons. It may just be me but I tend to have better luck buying at the bid and selling at the ask as well as just getting filled at all with the YM and NQ. There just always seems to be several hundred (or more) contracts ahead of me on the ES. Theoretically with the greater volume being transacted it wouldn't matter but with the ES I swear by the time my bid gets filled - it's not the bid any more. Another reason , which is related to the first, is the cost of having to trade at the market. I don't use "market" orders but lets say for example I'm trying to buy at the bid. If it starts becoming apparent I'm not likely to get filled at the bid and I decide to quickly lift the offer instead that will cost me an additional $12.50 per on the ES. It will only cost an additional $5 on the YM or NQ. If your trading a couple of contracts a day who cares. But if your actively scalping all day long it starts to add up. I suppose theoretically the occasions you get an extra tick vs. paying would even out over time regardless of tick size but again with me and the ES it rarely seems to work that way. But that could be my fault some how and I just don't realize it. And last although my methodology works well with most markets and time frames, I tend to get slightly better "reads" on the market with NQ and YM than ES. Couldn't tell you why. That of course would not necessarily apply to everyone. Now if your throwing around 100 lots the additional slippage you would likely encounter with the less liquid NQ and YM would probably make the ES your first choice, especially if your doing during AH. But that's just not a factor for me.
With the bid/ask so tight how do you know that you are "buying at the bid and selling at the ask". Could the market just have moved against your position to get the fill?
I actually trade most everything: YM, ES, NQ, ER2, EMD, and many commodities. But it's different than most people on ET. I don't scalp intraday 30 times per market. It's 1-3 trades per day max per market, all automated. For me, the commission and slippage of frequent intraday trading just killed my chance at profitability, and I've found what works for me. That lead me to the "bang for the buck" type attitude that I was emphasizing when cautioning people on the NQ...
For me, there's no substitute for the ER2. The ER2 offers the best bang for the buck (as shown in the OP's numbers). Yes, if you're wrong that bang can result in buckshot in your rear. But if you have a system with a consistent edge, and which plays off the inherent volatility of the ER2, no other e-mini comes close. And no, it's not for beginners at $100 a point, which can happen very fast. I am, however, concerned about what will happen with the ER2 leaving the CME and migrating to ICE over the next year. I need a decent depth of market to handle meaningful contract size.