Reward Risk of Popular Index Futures

By Paul | Published: February 14, 2008

 ER2 YM ES EMD
10min ATR 2.7 32 4 2.6
Daily ATR 26 341 42 25
$ / point $100.00 $5.00 $50.00 $100.00
Reward/Risk 9.63 10.66 10.5 9.62

I’m using the intra-day ATR as a risk factor because I’m assuming them as noise. I use 10 min. as the basis because that’s about the time period I use. The reward is the max daily swing, which is the daily ATR.

As you can see, the reward/risk is about the same for all the liquid index futures. However, I’m leaning toward YM because of the smaller contract size and it seems more stable lately. I’ll watch the markets closely from now on.

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