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DAX to S&P E-mini tic to tic ratio
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DAX to S&P E-mini tic to tic ratio

  #1 (permalink)
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DAX to S&P E-mini tic to tic ratio

Does anyone know the tic to tic ratio of the DAX to the E-S Mini (S&P)? For example if there are 100 tics on the E-mini, that is about 10 tics on the DAX (Obviously this is just an example). Any insight would be appreciated. Thanks.

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  #3 (permalink)
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isty12 View Post
Does anyone know the tic to tic ratio of the DAX to the E-S Mini (S&P)? For example if there are 100 tics on the E-mini, that is about 10 tics on the DAX (Obviously this is just an example). Any insight would be appreciated. Thanks.

Just have a look at their daily ATR, that should give you an estimate. The ratio will not be constant but fluctuate somewhat.

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isty12 View Post
Does anyone know the tic to tic ratio of the DAX to the E-S Mini (S&P)? For example if there are 100 tics on the E-mini, that is about 10 tics on the DAX (Obviously this is just an example). Any insight would be appreciated. Thanks.

Go to Eurex's web site, find the FDAX range for the last 10 days (or use your own data if you have it), compare it to the ES's range for the last 10 days, and that should give you what you are looking for.

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isty12 View Post
Does anyone know the tic to tic ratio of the DAX to the E-S Mini (S&P)? For example if there are 100 tics on the E-mini, that is about 10 tics on the DAX (Obviously this is just an example). Any insight would be appreciated. Thanks.

@isty12,

it looks like you're using nt. take @Fat Tails current day ohl indicator and you can compare the average daily range. I used 10 and 50 days in my example.

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isty12 View Post
Does anyone know the tic to tic ratio of the DAX to the E-S Mini (S&P)? For example if there are 100 tics on the E-mini, that is about 10 tics on the DAX (Obviously this is just an example). Any insight would be appreciated. Thanks.

@isty12: This depends on the time of day. During the European morning the FDAX leads the ES and shows a higher volatility, during the US morning news from the US dominate the European markets. After 5h30 PM CET the FDAX is tired and its volatility is further reduced.

To determine the ratio create a session template for the period that you want to analyze and apply the anaCurrentDayOHL indicator.


Tic-to-tic ratio 2:00 AM - 8:00 AM EST

last 20 days based on range: (81.0*2)/(5.75*4) = 7.04
last 10 days based on range: (66.0*2)/(4.75*4) = 6.95
last 20 days based on noise: (20.0*2)/(3.25*4) = 3.08
last 10 days based on noise: (15.0*2)/(2.50*4) = 3.00

During the European morning, the tic-to-tic ratio between the FDAX and ES takes a high value near 7.0. The comparatively low tic-to-tic ratio based on noise shows that the FDAX produces fewer whipsaws compared to the ES and that it has more pronounced trends during the European morning.


Tic-to-tic ratio 8:00 AM - 12:00 PM EST

last 20 days based on range: (69.5*2)/(11.00*4) = 3.16
last 10 days based on range: (65.5 *2)/(11.25*4) = 2.91
last 20 days based on noise: (17.5*2)/(2.50*4) = 3.50
last 10 days based on noise: (16.5*2)/(2.50 *4) = 3.30

This gets you an average value close to 3.00 during the US morning, see chart attached.


Tic-to-tic ratio 11:30 AM - 4:00 PM EST

last 20 days based on range: (33.5*2)/(8.75*4) = 1.91
last 10 days based on range: (27.0*2)/(7.25*4) = 1.86
last 20 days based on noise: (8.5*2)/(2.25*4) = 1.89
last 10 days based on noise: (6.5*2)/(2.50*4) = 1.30

The European markets are closed and the tic-to-tic ratio falls below 2.


Summary

During the European morning the tic-to-tic ratio FDAX/ES is close to 7, during the US morning it falls to a value around 3, and after the close of the European stock markets around 11:30 AM EST the tic-to-tic ratio falls below 2.


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