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Calculating ADR of Future indexes......


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Calculating ADR of Future indexes......

  #1 (permalink)
 mdsvtr 
Memphis,TN
 
Posts: 232 since Sep 2010

I was analyzing various indexes, and was trying to come up with an accurate/average ADR for all of the main Indexes. Here are the following ADR's I have from various reading and studying over a period of time, would you say these are accurate or am I way off on any of them......... for the ES i have an ADR of 30 - 40 ticks NQ 80 - 100 ticks TF 20 - 30 ticks YM 300 - 400 ticks GC $40 - $50 CL $3 - $5 Thanks for the insight everyone, I'm just trying to get as accurate of each Indexes ranges as I can - Michael

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  #3 (permalink)
 
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 Fat Tails 
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mdsvtr View Post
I was analyzing various indexes, and was trying to come up with an accurate/average ADR for all of the main Indexes. Here are the following ADR's I have from various reading and studying over a period of time, would you say these are accurate or am I way off on any of them......... for the ES i have an ADR of 30 - 40 ticks NQ 80 - 100 ticks TF 20 - 30 ticks YM 300 - 400 ticks GC $40 - $50 CL $3 - $5 Thanks for the insight everyone, I'm just trying to get as accurate of each Indexes ranges as I can - Michael

@mdsvtr: Just apply the anaCurrentDayOHLV42 indicator (see SessionPivots V42), as it displays the ADR over a selectable lookback period. For example, if you wish to know the ADR for the last 1 month / 3 months, just set the indicator to 20 / 60 business days. Here are the average values for the full session:

ES: 15 - 18 points (60 - 72 ticks)
NQ: 35 - 39 points (140 - 176 ticks)
YM: 125 -150 points (125 - 150 ticks)
GC: 20 - 26 points (200 - 260 ticks)
CL: 1.50 - 1.90 points (150 - 190 ticks)

I do not know, where you got your values from. For the index futures they are probably ten or more years old, as they show only half of today's ranges. For GC and CL the values are ways too high.

Chart attached for CL 12-13.


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  #4 (permalink)
 mdsvtr 
Memphis,TN
 
Posts: 232 since Sep 2010

Thank you Fat Tails for quoting me the current calculations for ADR I was definitely off on my assumptions lol Thanks again

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Last Updated on November 18, 2013


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