A couple months ago, we posted our last analysis of the dollarized daily average true range (DATR) across the most popular futures instruments. With the incredible moves in the markets lately, it’s time for another update.
At the suggestion of a fellow trader (excellent suggestion by the way), we revised our analysis to reflect margin weighted dollarized average true range (mwDATR).
We show the mwDATR as a percentage. This is the return on investment percent (ROI) possible in a trading day, based on the dollarized average daily moves of each futures instrument relative to the initial margin/performance bond requirements set by the exchanges. Brokers can differ in their margin requirements, but we use the exchange margin requirements for a common baseline.
As an additional nifty feature, we now use Google docs to share this analysis, so you can further slice and dice to your heart’s content. Liquid futures instruments favored by retail traders are highlighted in yellow.
The margin weighted results are interesting, with the most popular big indexes ranking toward the bottom. The Euro, oil, gold, and the Russell are at the top of the list. For example, oil has been moving an average of more than $2,000 per contract each trading day.
We firmly believe that in putting our capital at risk every day, the instruments we trade must be worth the effort, must be liquid, and must respect repeatable trading strategies. The opportunity exists for astute traders to make a small fortune each day. Of course, this extreme bang for your buck can work both ways. We cannot stress enough the discipline, focus, and diligent trading rules required to trade these instruments.
Click on the image to access the Google docs electronic spreadsheet.
