Tuesday, October 17, 2006

Worth trading

This morning I was thinking “Are the contracts I’m trading really worth trading”. So I thought about a way to rank the contracts I look at.

I looked at 9 Minute, 60 Minute and Daily charts, as these are the charts I look at and here are the results


First I’ve looked at the Average Range in Ticks made in 9 Minutes, 60 Minutes and during the Day and then I’ve calculated the US-Dollar Value for this period. The contracts have been sorted to show you, which contract gives you the highest Return on average on a daily basis. The higher the return for the 60 minute period compared to the daily return is, the more the contract is ranging, the lower the return for the 60min period, the more the contract is trending.

1 comment:

ssternlight said...


A couple of thoughts.

Did you adjust for overnight gaps when calculating the instrument ranges?

Adding a column showing the hourly as a % of the daily -- and sorting on that value {?} -- also would have made the analysis a bit more clear.

Finally, looking at what % of the range is hit in the a) first hour of trading, b) "morning session" and c) "afternoon session" might have helped to refine the analysis a bit more.