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How do I find volatile futures to day trade

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charlotte nc
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

One Easy approach

There are a number of ways to to this.

For me, I typically use a tool like NinjaTrader and for a given instrument on a given day, do the following:

1. Pick a time frame: (1 Minute, 500 ticks, 5 minutes, etc). And get an output of the data for the entire day.
2. For each bar representing your time series from step 1, take the high - low to calculate the range of movement.
3. Take simple moving average such as 10 period, 20 periods, etc, and average out the range of movement calculated in step 2. This will give you a basic moving average of the range for each bar. Alternatively, if you want to get more of a macro view of movement you can take the max (High) over the last N number of bars and the Min (Low) over the last N number of bars, to see the largest movement over N time. These two approaches will give you a solid insight of how much movement there is available to traders on a given instrument.
4. For each instrument you are analyzing you will need to multiply this average movement * the dollar value translation. For example in the ES 1 tick = 12.50 USD. So if you have a High - Low per bar average over 20 bars of 10 ticks, then you get 10 ticks * 12.50 USD = average volatility per bar. Or if you use the second method to get a max volatility per time period, you would see more of a macro view of the total range of movement for the time period.

Doing this exercise you can observer how much volatility there is per instrument. Pretty easy to benchmark and compare things using this approach, since they will all have different levels of movement and different tick / point =dollar values.

Happy Trading!


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