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Stock vs index



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It is a long time I dont trade stocks because,looks to me , they start and
fall all together at the same time.
When these times come  you have to do a lot of work to get out quickly from
all stocks you have got in your portfolio.
If  you have a strong bull market you dont have enougth money to buy them
all.
I have tested 52 week high and all time high but these  are not a good
strategies.
So i am trading futures index, which I think I can handle better,but I was
not really able to compare  index vs. stotcks given  the same amount of
money.
What I am missing?
Thanks
Mario