Maybe i'm not understanding how ES works but with any other instrument, such as stocks for example, a one point move in X period when the value of an instrument is X -- is not the same when the instrument's value changes.
For example, 1$ move in XYZ in year 2000 when XYZ is trading at 200 is 1/200=.005%
Same for emini, when in 1997 it was trading at 900 levels, a point move percentage change had a larger impact.
Most of the people that i've noticed base emini moves off ticks/points. I'm trying to figure out how we can normalize the historical moves on emini for a intraday system. The reason why percentage move does not apply to emini is because the ticks move in emini are fixed at .25; therefore, if you are to put a limit order at .005% move on the emini when it's trading at 1660; it would give you a number that is not accurate based on ticks. 1660*.005= this would result in a limit order of 1668.3. Which would not be filled since price on emini moves in .25 increments.
Has anyone done any research that they can share on how to deal with this?
The reason why I am doing this because my system makes an assumption that on average the distance between high/low on emini is about 18 points. Those 18 points are based off data from 1997-present. But the average is not accurate because we can't apply this average if the emini is trading at .. let's say 990.