ES futures: the E-mini S&P 500

What the research record says about ES

ES has the deepest order book on the screening menu, and it is still one of the dearer index contracts to trade in risk terms. At the menu's 0.8-ATR stop on 30-minute bars, a round trip costs 0.053 R on ES against 0.012 R on NQ. The reason is the tick: a $12.50 tick of slippage is a larger share of a typical ES stop than a $5 tick is of an NQ stop, because a 30-minute range is worth more dollars on NQ.

ES and NQ move together at about +0.92 on matched intraday returns. Running the same idea on both is close to holding one position at twice the size. The useful job for the second contract is as a confirming tape for a signal traded on the first.

The opening half hour produces the most signals and the least information: opening-range breaks taken before 10:00 ET have not survived their costs on the record, while the same trigger after 10:00 has on some tapes.

Screening an idea on ES

An idea on ES is written in the Strategy Language on its own bars, in the regular session or the whole Globex session: time bars from one minute to a week, or bars that are not time bars. Those are point-and-figure, kagi and line break, drawn from 1-minute closes at any size, and ES’s 4- and 8-tick range, 4- and 8-tick Renko, 10,000-contract volume and 233-, 500-, 1,000- and 1,500-trade tick bars, built from the tick data, in the regular session; their signals come from the bars and their fills from the underlying 1-minute prices.

It can read 62 indicators (moving averages; oscillators such as RSI, Stochastic, MACD and CCI; volatility measures and bands such as ATR, Bollinger and Keltner; volume studies with VWAP; trend studies such as ADX and Supertrend; and community lines in their non-repainting versions); session levels such as the opening range and the prior day's high and low, and the overnight range; and the clock and the calendar of scheduled releases; it enters at the market, on a stop or at a limit, and exits by its stop, its target, a trailing stop, a time limit or a condition.

Held overnight on day or week bars of the whole Globex session, a rule on ES is a swing screen, read on ES’s daily tape from September 1997 and graded candidate, promising, doubtful or dead rather than judged gate by gate. A position held overnight can open beyond its stop, so a loss can be larger than the stop you set.

The cost figures on this page are the menu's, at a 0.8-ATR stop on 30-minute bars: a screen written in the Strategy Language pays the same round trip for every contract it enters, and what that is in R depends on the stop you write, or on the ATR of its bars when you write none.

The menu, which the desk still offers beside the language, builds an idea on ES from the tape's own order-flow delta or close location in range, or one of 66 external legs in 8 families.

• Market breadth 16
• Up / down volume 8
• Relative breadth 5
• Participation 2
• Volatility term structure 2
• Scheduled events 3
• Contract roll phase 3
• Technical indicators 27