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I got interested in the question "which futures
markets are the trendiest?" I calculated
Wilder's "ADX" indicator (which measures trend
strength) for each day since Jan 1, 1980, and
found the average daily value of ADX for each
market. The idea behind this calculation is:
the trendiest markets will have, on average,
the highest values of ADX. So I ranked markets
according to their average value of ADX.
I did this ranking exercise seven times, for
seven different "lengths" of ADX, ranging from
a 5-day ADX to a 500-day ADX. Seventy five
futures markets were ranked. The results are
shown below (so they will appear in the OL
archives) and also in the attachments in
Excel-friendly .csv format.
There are a few surprises.
Japanese Yen futures don't appear in the top
ten. Yet many people consider JY to be the
single trendiest market of them all.
Crude Oil is in the middle of the pack. But
a lot of people have made a lot of money,
following trends in CL.
The S&P500, considered deadly poison by trend
traders, is slightly below average but not
in the bottom ten.
Non-US markets occupy more than half of the
top ten slots for trendiness, 38 of 70!
(7 ADX lengths times 10 slots equals 70 total
slots). If you don't trade the non-US markets,
maybe you might reconsider.
Naturally, ADX is just a part of the story.
Since it's an indicator, not a trading system,
it doesn't include several important variables.
To name one: the effects of commissions and
slippage are omitted. (They are murder on
markets with a small contract size and/or
with steady but not steep trends. Like
the fei market.) However, as a first-pass
attempt to see which markets have historically
been trendy, ADX may be quite helpful.
Hope you enjoy the table. --Mark Johnson
<<------------ ADX length ------------>>
5 10 20 50 100 200 500
rank days days days days days days days
==============================================
1 fei ff ff ff ff ff ff
2 ff fei lsu con con em con
3 con lsu ebm ebm em sxe em
4 ey em fei lsu ebm con nd
5 lsu ebm con em tu jgb sxe
6 rr con em tu ebl ed jgb
7 ebm ey ed ed ed ebm ed
8 em jgb jgb ebl lsu tu ebm
9 ebl rr tu fei jgb ebl tu
10 jgb ebl ebl jgb fv nd sxx
11 mb ed rr rr sxe lsu lsu
12 sjb tu ey oj fei sxx rl
13 ed fv fv fv rr fv ebl
14 tu sjb pn pn lkd sjb dj
15 fv pn lcc ey sjb lkd ey
16 us ty oj ty pn fei pn
17 dj us sjb ytt oj pa fv
18 ty lcc ty lkd pa ty sjb
19 bo mb fss lco ty lb kc
20 rl fss lco lcc nd pn ty
21 pn oj rl sjb lb rr pa
22 sb rl us fss ytt lcc fss
23 dx bo c pa lcc ytt lco
24 fc kw ytt lb us cu fei
25 c sb sb us cu oj lb
26 ng c kw sb lco gc lcc
27 cgb lco cgb nd gc kc cgb
28 s ng dx rl sb rl sp
29 kw dx mb cu fss fdx lkd
30 lc cgb lkd ct sxx o o
31 fss lh ct mb rl jy fdx
32 lcc cu mp kw jy w mb
33 oj lb lb jy sm fss us
34 lb cl bo sxe mb dj jy
35 pb dj cu cgb fdx sp kw
36 lh fc lh fc fc cgb ng
37 kc mp ng cl cgb us cd
38 cl s cl c w lco fch
39 lco lkd fc dx ey kw gc
40 cu pb pa mp sp mb fc
41 w ct s ng kw sm lh
42 hu ytt jy s ct fch ytt
43 nd sf sf sm sf sf cu
44 si w pb sf kc fc w
45 md hu nd lh s rs hg
46 gc flg sm kc o lh sm
47 sf lc flg bo dx ey rr
48 mp kc w gc lh hg oj
49 ct jy kc sp ng ng si
50 sp ho lc w cl s rs
51 ho nd dj fdx rs mp pl
52 lkd gc bp hg mp ct nk
53 flg sm gc bp bo sb cc
54 sm si lgo o bp pl ct
55 fdx pa ho rs hg cd mp
56 rs bp hu hu fch hu hu
57 cc rs sp pb pl bp md
58 ytt sp rs ytc hu cl dx
59 bp cc hg lc ytc ytc lc
60 jy lgo si flg c lc cl
61 hg hg fdx lgo lc dx sf
62 pa fdx ytc fch dj si lgo
63 cd md cc si si cc ytc
64 lgo cd o sxx pb bo s
65 o ytc sxe ho cd lgo sb
66 ytc o md dj lgo rz pb
67 fch fch cd pl flg pb bp
68 pl pl fch cc cc c ho
69 sxe sxe pl cd rz ho bo
70 ej ad ad md nk flg flg
71 sxx sxx sxx nk ho md ad
72 ad ej nk ad ad nk c
73 sy sy sy rz md ad sy
74 rz nk rz sy ej sy rz
75 nk rz ej ej sy ej ej
ad Australian Dollar
bo Soybean Oil
bp British Pound
c Corn
cc Cocoa
cd Canadian Dollar
cgb Canadian Govt Bond
cl Crude Oil
con Swiss Govt Bond
ct Cotton
cu Euro Currency (CME)
dj Dow Jones
dx US Dollar Index
ebl Euro Bund (eurex)
ebm Euro BOBL (eurex)
ed Eurodollars (CME)
ej Euro/JYen cross rate (FINEX)
em LIBOR (CME)
ey Euroyen (CME)
fc Feeder Cattle
fch CAC-40 stock index
fdx DAXX stock index
fei Euribor
ff Fed Funds
flg Long Gilt
fss Short Sterling
fv Five Year Tnotes
gc Gold
hg Copper
ho Heating Oil
hu Unleaded Gasoline
jgb Japan Govt Bond (TSE)
jy Japanese Yen
kc Coffee
kw Kansas City Wheat
lb Lumber
lc Live Cattle
lcc London Cocoa
lco Brent Crude Oil
lgo London Gas Oil
lh Lean Hogs
lkd London Coffee
lsu London White Sugar
mb Muni Bonds
md Midcap SP-400
mp Mexican Peso
nd Nasdaq
ng Natural Gas
nk Nikkei-225 (CME)
o Oats
oj Orange Juice
pa Palladium
pb Pork Bellies
pl Platinum
pn Propane
rl Russell-2000
rr Rough Rice
rs Rapeseed-Canola (WCE)
rz Euro/CHF cross rate
s Soybeans
sb Sugar
sf Swiss Franc
si Silver
sjb Singapore mini JGB
sm Soybean Meal
sp S&P 500
sxe DJ Euro-Stoxx
sxx DJ Stoxx
sy GBP/JPY cross rate
tu Two Year Tnotes
ty Ten Year Tnotes
us Bonds
w Wheat
ytc Australian 10yr bonds
ytt Australian 3yr bonds
_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-
,ADX of,ADX of,ADX of,ADX of,ADX of,ADX of,ADX of
,5,10,20,50,100,200,500
rank,days,days,days,days,days,days,days
1,fei,ff,ff,ff,ff,ff,ff
2,ff,fei,lsu,con,con,em,con
3,con,lsu,ebm,ebm,em,sxe,em
4,ey,em,fei,lsu,ebm,con,nd
5,lsu,ebm,con,em,tu,jgb,sxe
6,rr,con,em,tu,ebl,ed,jgb
7,ebm,ey,ed,ed,ed,ebm,ed
8,em,jgb,jgb,ebl,lsu,tu,ebm
9,ebl,rr,tu,fei,jgb,ebl,tu
10,jgb,ebl,ebl,jgb,fv,nd,sxx
11,mb,ed,rr,rr,sxe,lsu,lsu
12,sjb,tu,ey,oj,fei,sxx,rl
13,ed,fv,fv,fv,rr,fv,ebl
14,tu,sjb,pn,pn,lkd,sjb,dj
15,fv,pn,lcc,ey,sjb,lkd,ey
16,us,ty,oj,ty,pn,fei,pn
17,dj,us,sjb,ytt,oj,pa,fv
18,ty,lcc,ty,lkd,pa,ty,sjb
19,bo,mb,fss,lco,ty,lb,kc
20,rl,fss,lco,lcc,nd,pn,ty
21,pn,oj,rl,sjb,lb,rr,pa
22,sb,rl,us,fss,ytt,lcc,fss
23,dx,bo,c,pa,lcc,ytt,lco
24,fc,kw,ytt,lb,us,cu,fei
25,c,sb,sb,us,cu,oj,lb
26,ng,c,kw,sb,lco,gc,lcc
27,cgb,lco,cgb,nd,gc,kc,cgb
28,s,ng,dx,rl,sb,rl,sp
29,kw,dx,mb,cu,fss,fdx,lkd
30,lc,cgb,lkd,ct,sxx,o,o
31,fss,lh,ct,mb,rl,jy,fdx
32,lcc,cu,mp,kw,jy,w,mb
33,oj,lb,lb,jy,sm,fss,us
34,lb,cl,bo,sxe,mb,dj,jy
35,pb,dj,cu,cgb,fdx,sp,kw
36,lh,fc,lh,fc,fc,cgb,ng
37,kc,mp,ng,cl,cgb,us,cd
38,cl,s,cl,c,w,lco,fch
39,lco,lkd,fc,dx,ey,kw,gc
40,cu,pb,pa,mp,sp,mb,fc
41,w,ct,s,ng,kw,sm,lh
42,hu,ytt,jy,s,ct,fch,ytt
43,nd,sf,sf,sm,sf,sf,cu
44,si,w,pb,sf,kc,fc,w
45,md,hu,nd,lh,s,rs,hg
46,gc,flg,sm,kc,o,lh,sm
47,sf,lc,flg,bo,dx,ey,rr
48,mp,kc,w,gc,lh,hg,oj
49,ct,jy,kc,sp,ng,ng,si
50,sp,ho,lc,w,cl,s,rs
51,ho,nd,dj,fdx,rs,mp,pl
52,lkd,gc,bp,hg,mp,ct,nk
53,flg,sm,gc,bp,bo,sb,cc
54,sm,si,lgo,o,bp,pl,ct
55,fdx,pa,ho,rs,hg,cd,mp
56,rs,bp,hu,hu,fch,hu,hu
57,cc,rs,sp,pb,pl,bp,md
58,ytt,sp,rs,ytc,hu,cl,dx
59,bp,cc,hg,lc,ytc,ytc,lc
60,jy,lgo,si,flg,c,lc,cl
61,hg,hg,fdx,lgo,lc,dx,sf
62,pa,fdx,ytc,fch,dj,si,lgo
63,cd,md,cc,si,si,cc,ytc
64,lgo,cd,o,sxx,pb,bo,s
65,o,ytc,sxe,ho,cd,lgo,sb
66,ytc,o,md,dj,lgo,rz,pb
67,fch,fch,cd,pl,flg,pb,bp
68,pl,pl,fch,cc,cc,c,ho
69,sxe,sxe,pl,cd,rz,ho,bo
70,ej,ad,ad,md,nk,flg,flg
71,sxx,sxx,sxx,nk,ho,md,ad
72,ad,ej,nk,ad,ad,nk,c
73,sy,sy,sy,rz,md,ad,sy
74,rz,nk,rz,sy,ej,sy,rz
75,nk,rz,ej,ej,sy,ej,ej
Abbrev,Full Name
ad,Australian Dollar
bo,Soybean Oil
bp,British Pound
c,Corn
cc,Cocoa
cd,Canadian Dollar
cgb,Canadian Govt Bond
cl,Crude Oil
con,Swiss Govt Bond
ct,Cotton
cu,Euro Currency (CME)
dj,Dow Jones
dx,US Dollar Index
ebl,Euro Bund (eurex)
ebm,Euro BOBL (eurex)
ed,Eurodollars (CME)
ej,Euro/JYen cross rate (FINEX)
em,LIBOR (CME)
ey,Euroyen (CME)
fc,Feeder Cattle
fch,CAC-40 stock index
fdx,DAXX stock index
fei,Euribor
ff,Fed Funds
flg,Long Gilt
fss,Short Sterling
fv,Five Year Tnotes
gc,Gold
hg,Copper
ho,Heating Oil
hu,Unleaded Gasoline
jgb,Japan Govt Bond (TSE)
jy,Japanese Yen
kc,Coffee
kw,Kansas City Wheat
lb,Lumber
lc,Live Cattle
lcc,London Cocoa
lco,Brent Crude Oil
lgo,London Gas Oil
lh,Lean Hogs
lkd,London Coffee
lsu,London White Sugar
mb,Muni Bonds
md,Midcap SP-400
mp,Mexican Peso
nd,Nasdaq
ng,Natural Gas
nk,Nikkei-225 (CME)
o,Oats
oj,Orange Juice
pa,Palladium
pb,Pork Bellies
pl,Platinum
pn,Propane
rl,Russell-2000
rr,Rough Rice
rs,Rapeseed-Canola (WCE)
rz,Euro/CHF cross rate
s,Soybeans
sb,Sugar
sf,Swiss Franc
si,Silver
sjb,Singapore mini JGB
sm,Soybean Meal
sp,S&P 500
sxe,DJ Euro-Stoxx
sxx,DJ Stoxx
sy,GBP/JPY cross rate
tu,Two Year Tnotes
ty,Ten Year Tnotes
us,Bonds
w,Wheat
ytc,Australian 10yr bonds
ytt,Australian 3yr bonds
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