NexusFi: Find Your Edge


Home Menu

 





Better relative strength ranking criteria than % from open ?


Discussion in Emini and Emicro Index

Updated
    1. trending_up 1,358 views
    2. thumb_up 5 thanks given
    3. group 2 followers
    1. forum 4 posts
    2. attach_file 0 attachments




 
Search this Thread

Better relative strength ranking criteria than % from open ?

  #1 (permalink)
 brakkar 
Paris + France
 
Experience: Advanced
Platform: SierraChart
Trading: NQ
Posts: 69 since Feb 2014
Thanks Given: 30
Thanks Received: 39

Hello,
I like to rank 4 major US indices futures (ES,NQ,RTY,YM) by relative strength using % from open.

I would like to expand this ranking to include non Indice instruments.
Problem is that those other instruments could have much wider % swings, without really outperforming the indices: instrument can be choppy and zigzaging but still be % from open higher than strongly trending indice.
So % from open ranking is not a good comparison criteria.

What would you suggest as better ranking criteria to overcome this problem?

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Deepmoney LLM
Elite Quantitative GenAI/LLM
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Exit Strategy
NinjaTrader
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
Battlestations: Show us your trading desks!
26 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
  #2 (permalink)
userque
Chicago IL
 
Posts: 180 since Apr 2016
Thanks Given: 573
Thanks Received: 129


brakkar View Post
Hello,
I like to rank 4 major US indices futures (ES,NQ,RTY,YM) by relative strength using % from open.

I would like to expand this ranking to include non Indice instruments.
Problem is that those other instruments could have much wider % swings, without really outperforming the indices: instrument can be choppy and zigzaging but still be % from open higher than strongly trending indice.
So % from open ranking is not a good comparison criteria.

What would you suggest as better ranking criteria to overcome this problem?

Percentage of ATR is one way to do what you're asking.

Reply With Quote
Thanked by:
  #3 (permalink)
 
Tymbeline's Avatar
 Tymbeline 
Leeds UK
Market Wizard
 
Experience: Intermediate
Platform: Tradovate
Broker: Tradovate
Trading: MES, MNQ
Frequency: Several times daily
Duration: Minutes
Posts: 644 since Apr 2015
Thanks Given: 2,342
Thanks Received: 1,054


Current distance above/below some fixed-period moving averages might be another.

Reply With Quote
  #4 (permalink)
userque
Chicago IL
 
Posts: 180 since Apr 2016
Thanks Given: 573
Thanks Received: 129


Tymbeline View Post
Current distance above/below some fixed-period moving averages might be another.

That wouldn't adjust for the different volatilities of the different instruments.

The more volatile instruments, in your case, would always be the furthest away from the average.

They need a way to 'normalize' the data's volatility, so that they can be fairly compared.

I mentioned using a factor of ATR.
Another would be to use the Std. Dev.
Etc.

Reply With Quote
Thanked by:
  #5 (permalink)
 brakkar 
Paris + France
 
Experience: Advanced
Platform: SierraChart
Trading: NQ
Posts: 69 since Feb 2014
Thanks Given: 30
Thanks Received: 39


userque View Post
Percentage of ATR is one way to do what you're asking.

I like the ATR concept. I was already doing something similar with volume.... might as well do it with ATR or just HL range.

Started this thread Reply With Quote
Thanked by:




Last Updated on January 11, 2021


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts