Overview About Future Instruments Daily Volatility And Volume

August 15th, 2012, 03:17 AM

Hi,

knows anybody a website where i can see/compare the daily volatility, volume and (nice to have) correlation of future instruments (worldwide)? I want to use it to select new instruments for backtesting my strategy.

EDIT: Try to capture the swarm intelligence: Which markets have 1. long day sessions 2. huge volatility 3. good volume. Currently my fav's are FDAX, CL, GC followed by 6B and 6E. Knows anybody other markets with a similar structure?

Thanks Koepisch

August 16th, 2012, 04:47 AM

Koepisch

Hi,

knows anybody a website where i can see/compare the daily volatility, volume and (nice to have) ...
Thanks Koepisch

Found the Ichimoku Trader - [AUTOLINK]Ichimoku[/AUTOLINK] charts of shares & stock market indices with free interactive daily chart of almost all available Indizes very
helpful. The data of every day candle is visible with open/close and hi/low.
One click on the list changes the instrument.
Only volume is missing...

GFIs1

August 16th, 2012, 06:44 AM

Also check this main discussion thread on volatility:

Intraday Seasonality Volatility - When to Trade and When Not to Trade

A similar analysis can be quickly done for CL. Again the chart shows the hourly ranges for each weekday during the last 50 days.

Highest volatility is found on Wednesday between 10:00 AM and 11:00 AM EST. What a surprise! Here are further details:
…

Mike

August 16th, 2012, 07:17 AM

Thanks Big Mike, that is an excellent thread. I currently use FatTails indicators to get a hint of the market structure. My backtesting suite then grabb's the details in relation to my strategy (thats more important). It moves a variable time slot window over all results and calculates the statistics (standard deviation) at the given daytime/weekday. This really helped my to filter trades out.

Now i search more instruments for testing to build a portfolio of instruments to reduce the overall risk.

Big Mike

Also check this main discussion thread on volatility:

Intraday Seasonality Volatility - When to Trade and When Not to Trade

A similar analysis can be quickly done for CL. Again the chart shows the hourly ranges for each weekday during the last 50 days.

Highest volatility is found on Wednesday between 10:00 AM and 11:00 AM EST. What a surprise! Here are further details:
…

Mike

Overview About Future Instruments Daily Volatility And Volume

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Overview About Future Instruments Daily Volatility And Volume