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Here is a more pertinent answer I believe- it was posted by someone a while ago-
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http://www.traderslaboratory.com/forums/e-mini-futures-trading-laboratory/12147-emini-has-best-intraday-trends-2.htmlWhile it is true that these are all highly correlated markets, there are some large differences in the way that they trade every day. I like to trade where there is the most movement and trend.
I look at these markets from a mathematical standpoint by looking at 3 things:
The AverageTrue Range In Dollars
The Open to Close Range to Average True Range Ratio
The Current Initial Margin Amounts.
Currently as of March 3, 2012. The 10 day Average True Range computed in US Dollars for the 5 markets is as follows:
TF $1,501 per day range
EMD $1,366 per day range
ES $647 per day range
YM $544 per day range
NQ $532 per day range
So, my observation is that the same intraday swing in the TF is almost 3 times a large in dollars as the YM and 2.3 times as large as the ES. Or put another way, if your goal is to make $500 per day trading one of these markets, you would have to net approximately 1/3 or 33% of the daily range in the TF, 37% of the EMD, 77% of the ES, 92% of the YM and 94% of the NQ.
How well they trend during the day can be looked at by the Open to Close Range to Average True Range Ratio. This shows the percentage of a candlestick body vs. the high to low range.
Current 10 Average Values are:
TF 51%
EMD 40%
ES 41%
YM 41%
NQ 40%
This suggests to me that the TF trends better during the day, while the others back and fill more. My own theory for these differences is that there are fewer scalping systems attacking and ruining the daily trends in the less popular TF and EMD, which can be seen in the lower volumes and open interests in these contracts.
The 3rd thing that I look at is which market gives me the "best bang for the buck" in my account by using the Current Margin Rates. I usually compare this by testing my automated system results over a period of time using the same style of system on each market versus the margin rate. A simpler comparison is the compare the Average Daily Range in Dollars versus the Margin Amount.
Current tradestation initial margins are:
TF $7,535
EMD $7,500
ES $5,000
YM $3,750
NQ $3,500
To compare:
TF $1,501 ATRinDollars / $7,535 Margin = 20%
EMD $1,366 / $7,500 = 18.2%
ES $647 / $5,000 = 12.9%
YM $544 / $3,750 = 14.5%
NQ $532 / $3,500 = 15.2%