Each week I like to compute the DAILY ATR value of the following MINI Futures contracts so I know the average risk of each contract releative to each other. I'm feeling generous so I'll post my results here for all to refer to. As of Friday's close 9/21/07 14 day ATR data as provided by TradeStation. Tick values provided by http://www.alaron.com/contract_specifications.aspx?display=margins P.S. Can someone check my math on the J7 (mini yen) contract, it seems pretty high. YM= $857 NQ= $633 ES= $1,087 YG= $409 YI= $336 E7= $530 QM= $1,010 QN= $1,277 J7= $60,625 YC= $8,360 YK= $13,800 YW= $24,480
Not sure, haven't checked you calculations, but you might be calculating J7 in yen. Then you would just need to convert back to US dollars.
Nice job, and the numbers show an accurate analysis of the inherent risk/reward in trading each contract: The Japanese Yen to US Dollar conversion brings the J7 to $524.96. Good trading, Jimmy Jam Yahoo Converter
Thanks for that link, I assumed the ticks were USD. Does that mean the my E7 calculations need to be converted from Euros to USD as well? Thanks again.
While I don't know for sure (I've looked at everything except YC, YK, YW), it looks right. Ultimately I've just settled on NQ, YM and ES (in that order) for trading, and relying on money management to build my stash to adequate levels to (more than) sustain my self. Good trading, JJ