Tag Archives: EMD

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 [...]
Posted in Futures, Quantitative Analysis | Also tagged er2, ES, YM | Leave a comment