Your Daily ATR Values, Know Your Risk

Discussion in 'Risk Management' started by ess1096, Sep 22, 2007.

  1. ess1096


    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

    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
  2. A$$hole


    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.
  3. 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
  4. ess1096


    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.
  5. 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,