Bang! Margin Weighted DATR (by Trade Flight Plan)

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A couple months ago, we posted our last analysis of the dollarized
daily average true range (DATR) across the most popular futures
instruments.  With the incredible moves in the markets lately, it's time
for another update.

At the suggestion of another sloper (excellent suggestion by the
way), we revised our analysis to reflect margin weighted
dollarized average true range (mwDATR).

We show the mwDATR as a percentage.  This is the return on investment
percent (ROI) possible in a trading day, based on the dollarized
average daily moves of each futures instrument relative to the initial
margin/performance bond requirements set by the exchanges.  Brokers can
differ in their margin requirements, but we use the exchange margin
requirements for a common baseline.

As an additional nifty feature, we now use Google docs to share this
analysis, so you can further slice and dice to your heart's content. 
Liquid futures instruments favored by retail traders are highlighted in

The margin weighted results are interesting, with the most popular
big indexes ranking toward the bottom.  The Euro, oil, gold, and the
Russell are at the top of the list.  For example, oil has been moving an average of more than $2,000 per contract each trading day.

We firmly believe that in putting our capital at risk every day, the
instruments we trade must be worth the effort, must be liquid, and must
respect repeatable trading strategies.  The opportunity exists for
astute traders to make a small fortune each day.  Of course, this
extreme bang for your buck can work both ways.  We cannot stress enough
the discipline, focus, and diligent trading rules required to trade
these instruments.

Click on the image to access the Google docs electronic spreadsheet.

Originally published on