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Jim:
Two quick comments:
First, if I understand what you used, you looked at the past
200 days of trading. So let's talk about cocoa. If you look
at 20 years of cocoa, you may have a meaningful number. But
you chose 200 days of a really *HUGE* trend. Are you really
contextually looking at anything particularly meaningful?
Second, you seem to be asking, 'What commodity will allow me
to trade the furthest out on the risk of ruin curve.' I
don't know all that much. But I do know that in my
experience, being under capitalized is the number one way to
lose all your marbles.
Why not just look at all these markets in the context of
your trading methods and gauge the effectiveness of your
tools on these markets. Then pick a few and trade them.
Period. No fancy margin to maximum possible excursion....you
get the picture.
Good tools used on the right markets with adequate capital
equal profits.
Best,
Tim Morge
Blackthorne Capital, Inc.
Disclosure: Trading is hard.
Jim Johnson wrote:
>
> I'm looking for some perspective from members with more seasoning that
> myself when it comes to choosing markets. There are other
> considerations such as liquidity but my focus here is how well capital
> is used.
>
> In some materials I got from Bob Buran he talks about "margin
> efficiency"--the amount of return you get from the amount of margin
> capital you tie up in a trade. This seemed to lead him toward trading
> several (5-10) markets form short periods and because his systems trade
> every few days, he could move his capital around. This as opposed to
> tying up capital on several long term trades.
>
> I did my own analysis of this by first establishing the average dollar
> movement per day ( I used 200 days) of about 30 markets. This ranged
> from $175/day for corn to $5500/day for ND (these data are now several
> months old and clearly changes in volatility need to factored in from
> time to time). I then divided this number by the margin requirement to
> get a figure representing the number of dollars in price change for each
> dollar of margin commited. Metals and currencies yielded the least--in
> the vicinity of 20-30 cents per day for each dollar of margin. The SP
> was showing 24 cents. Cocoa was above $3.00 per dollar of margin (I
> keep checking that calculation but it seems to hold up.).
>
> Comments on this approach?
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