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If we had have jumped in QM (emini of CL) at $44, a couple of days after
Mark posted this,
and sold in last couple of days at $50, that would have been $3K profit per
contract with $2K overnite margin per contract.
For 5 contracts margin at $10K, that would be a monthly net profit of $15K
(minus $25 commission at IB).
Not bad: woulda, coulda, shoulda.
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Mark Johnson wrote:
To: omega-list@xxxxxxxxxx
Subject: Markets ranked by trendiness, p 1 of 2
From: Mark Johnson <janitor@xxxxxxxxxxxx>
Date: Wed, 1 Sep 2004 04:35:13 -0700
I got interested in the question "which futures
markets are the trendiest?" I calculated
Wilder's "ADX" indicator (which measures trend
strength) for each day since Jan 1, 1980, and
found the average daily value of ADX for each
market. The idea behind this calculation is:
the trendiest markets will have, on average,
the highest values of ADX. So I ranked markets
according to their average value of ADX.
I did this ranking exercise seven times, for
seven different "lengths" of ADX, ranging from
a 5-day ADX to a 500-day ADX. Seventy five
futures markets were ranked. The results are
shown below (so they will appear in the OL
archives) and also in the attachments in
Excel-friendly .csv format.
There are a few surprises.
Japanese Yen futures don't appear in the top
ten. Yet many people consider JY to be the
single trendiest market of them all.
Crude Oil is in the middle of the pack. But
a lot of people have made a lot of money,
following trends in CL.
The S&P500, considered deadly poison by trend
traders, is slightly below average but not
in the bottom ten.
Non-US markets occupy more than half of the
top ten slots for trendiness, 38 of 70!
(7 ADX lengths times 10 slots equals 70 total
slots). If you don't trade the non-US markets,
maybe you might reconsider.
Naturally, ADX is just a part of the story.
Since it's an indicator, not a trading system,
it doesn't include several important variables.
To name one: the effects of commissions and
slippage are omitted. (They are murder on
markets with a small contract size and/or
with steady but not steep trends. Like
the fei market.) However, as a first-pass
attempt to see which markets have historically
been trendy, ADX may be quite helpful.
Hope you enjoy the table. --Mark Johnson
(sorry if this is a repeat. I get the "digest"
and it didn't show up there.)
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