Best Futures to Trade: Why Liquidity Alone Isn’t Enough

When you search online for the “best futures to trade,” the same markets appear on almost every list: the E-mini S&P 500, Nasdaq, Crude Oil, and Gold.

The reason is simple: they are well-known, heavily traded contracts that generally offer good liquidity. But is choosing the most liquid futures with the highest trading volumes enough to achieve good results?

According to Andrea Unger, a four-time World Trading Champion, it isn’t. Throughout his career, Andrea has developed strategies for highly liquid markets such as the S&P 500 and Nasdaq, as well as lesser-known futures such as RBOB Gasoline, Feeder Cattle, and Coffee.

Liquidity remains essential, but it isn’t the only factor to consider. The real question isn’t simply, “Which futures contract is traded the most?” but rather, “Which market allows us to develop and validate a strategy with a statistical edge?”

What Makes a Futures Contract Suitable for Trading?

Before developing a strategy for a particular futures contract, you need to evaluate at least three characteristics: liquidity, volatility, and capital requirements.

Liquidity indicates how easily you can enter and exit a position without significantly affecting its price. A highly liquid market tends to offer tighter bid-ask spreads and more efficient execution. With a thinly traded contract, on the other hand, slippage may be higher and exiting a position may be more difficult.

Volatility measures the size of a market’s price movements. A highly volatile futures contract may offer more opportunities, but it also involves larger fluctuations and greater risk. Stop losses, profit targets, and position sizing must therefore be calibrated to the specific characteristics of the contract.

Capital requirements ultimately determine whether the futures contract is compatible with the size of your account. It isn’t enough to consider the margin required by your broker: you also need sufficient capital to withstand normal drawdowns and potential losing streaks.

These factors help narrow the field to markets you can realistically trade, but they still don’t tell you which one is best for a particular strategy.

Are the Most Heavily Traded Futures Really the Best?

The most liquid and widely traded futures include several categories of instruments:

• Equity index futures, such as the E-mini S&P 500, Nasdaq, and Dow Jones
• Energy futures, such as Crude Oil and Natural Gas
• Metal futures, such as Gold, Silver, and Copper
• Currency futures, such as the Euro and Yen
• Agricultural futures, such as Corn, Soybeans, and Coffee

The most heavily traded contracts often represent a reasonable starting point. They generally provide extensive historical data, tight spreads, and more efficient execution conditions.

However, liquidity doesn’t tell us whether a particular market exhibits a dynamic that can be exploited through a specific strategy.

A futures contract may be extremely liquid but unsuitable for the logic we want to use. Conversely, a less popular market may have characteristics that make it interesting for a particular trading system.

A market’s popularity and its compatibility with a strategy are therefore two different matters.

How to Assess the Liquidity of a Futures Contract

Open interest, which represents the number of outstanding contracts that have not yet been closed or offset, is one of the indicators that can help assess the liquidity of a futures contract.

On its own, however, it isn’t enough. For a more complete picture, you should also consider:

• Actual trading volume
• The width of the bid-ask spread
• Market depth
• The contract expiration being traded
• The hours during which trades will be executed

Liquidity can vary significantly between contract expirations and throughout different periods of the trading day.

A contract may be sufficiently liquid during the main trading session but much less efficient overnight. Liquidity should therefore be assessed for the specific contract expiration and time window in which the strategy is expected to operate.

Why Andrea Unger Prefers to Trade Multiple Markets

Andrea Unger has explained several times that he prefers a portfolio containing strategies that trade different markets, including in this video from a few years ago.

Trading several individual stocks, for example, doesn’t necessarily provide true diversification. During major market moves, seemingly different stocks may respond in the same direction.

Futures, on the other hand, provide access to different asset classes driven by different economic factors, including equity indexes, currencies, metals, energy, grains, and other agricultural products.

This doesn’t mean that all these markets are automatically uncorrelated. Relationships can change over time, and instruments from different asset classes can still move together.

However, the broader range of available markets makes it possible to evaluate different strategies and instruments and potentially build a more balanced portfolio.

Andrea doesn’t avoid the most liquid futures. Instead, he avoids concentrating every strategy in the same instruments simply because they are the most popular.

Futures Trading: Why Strategy Development Matters

In the Unger Method™, choosing a futures contract doesn’t end with consulting a list of the most heavily traded markets.

The process begins by studying the market’s behavior and formulating a simple, testable trading idea. The strategy is then backtested and subjected to a series of checks designed to assess its robustness.

The factors to analyze include:

• The quantity and quality of the available data
• The stability of the results over time
• Whether the backtest includes a sufficient number of trades
• The impact of commissions and slippage
• Validation using out-of-sample data
• Whether the risk is compatible with the available capital
• The strategy’s contribution to the overall portfolio

A positive backtest alone doesn’t guarantee that a strategy will continue to work. However, it can indicate whether the idea has sufficiently promising characteristics to warrant further analysis.

If a strategy doesn’t pass the validation process, the popularity of the futures contract cannot compensate for its weaknesses. If the logic produces sufficiently robust results, however, even a lesser-known market may be worth considering.

S&P 500, RBOB Gasoline, and Feeder Cattle: Three Different Markets

Some of the strategies presented by Unger Academy show how trading systems can be developed for very different futures markets.

A Trend-Following Strategy on the S&P 500

The E-mini S&P 500 is one of the world’s most liquid equity index futures.

We have presented numerous strategies for this market, including a 30-minute trend-following strategy based on pivot points. The system attempts to enter in the direction of the move when the price breaks through specific support or resistance levels.

This example shows that a highly popular and competitive market can still offer opportunities when approached with clearly defined and testable rules.

A Trend-Following Strategy on RBOB Gasoline

RBOB Gasoline futures are tied to the price of gasoline in the United States. This market is less popular among retail traders than equity index futures, but its characteristics may be suitable for trend-following and bias-based strategies.

We have presented several strategies for this market as well, including an intraday strategy on RBOB Gasoline that generated approximately $22,500 across 137 trades over the 365-day historical period analyzed.

The reported results already accounted for estimated commissions and slippage. This is especially important in a less liquid market, where costs and execution efficiency need to be assessed conservatively.

Naturally, these are past results from a specific strategy and do not guarantee future returns.

A Trend-Following Strategy on Feeder Cattle

Another example is a strategy developed by Roberto, an Unger Academy student, on Feeder Cattle futures.

The system operates on a 15-minute time frame and uses a trend-following approach based on breakouts above and below the previous session’s high and low.

Operational filters, stop losses, profit targets, and a maximum trade duration were added to the basic structure.

In the backtest shown, the strategy produced a consistent equity curve and a maximum drawdown of approximately $8,000. Once again, what makes this example interesting isn’t the popularity of the market, but the strategy’s ability to adapt to its characteristics.

These three cases should not be compared directly from a numerical perspective because they involve different periods, samples, and trading systems. However, they show that strategies can be developed for both highly liquid futures and lesser-known markets.

Futures for Small Accounts: The Role of Micro Futures

Micro futures have made certain markets more accessible to traders with less capital.

Some of the best-known micro futures include:

• Micro E-mini S&P 500 (MES)
• Micro E-mini Nasdaq-100 (MNQ)
• Micro Gold (MGC)

The point value and margin required to trade micro futures are lower than those of their larger counterparts. This allows traders to reduce their monetary exposure per contract and apply more gradual position sizing.

However, this doesn’t mean that $100 is enough to trade futures sustainably.

The margin required to open a position is only one part of the capital needed. An account must also be able to withstand the strategy’s normal fluctuations, including losing streaks and drawdown periods.

Furthermore, reducing monetary risk results in a proportional reduction in potential profit. Micro futures offer greater position-sizing flexibility, but they don’t change a strategy’s statistical edge or eliminate risk.

Trading Hours Matter Too

Although many futures are traded for most of the day, it is important to remember that liquidity doesn’t remain constant throughout the entire 24-hour period.

US equity index futures tend to be traded most heavily during the US session. Currency futures may experience higher activity when the European and US sessions overlap. In energy markets, volatility may increase around the release of specific data and reports.

For example, a strategy tested during the main trading session cannot automatically be transferred to overnight hours. The backtest needs to reflect the session, schedule, and conditions in which the system is expected to operate.

The supposed “best futures to trade overnight” therefore depend on the liquidity available during that time window and, above all, on the strategy being used.

How to Choose the Best Futures to Trade

There is no single futures contract that is universally better than all the others.

The most liquid contracts may provide favorable execution conditions, but the choice should also account for:

• Available capital
• Market volatility
• Trading costs
• Trading hours
• The quality of historical data
• The characteristics of the strategy
• The portfolio’s overall risk
• Correlation with other systems already in use

The goal isn’t to choose between liquid markets and lesser-known ones. It is to identify markets that can realistically be traded and that allow for the development of sufficiently robust strategies compatible with your portfolio.

Liquidity is clearly essential, but it cannot replace a proper development and validation process.

Frequently Asked Questions

What Are the Best Futures to Trade?

There is no single best futures contract. The E-mini S&P 500, Nasdaq, Crude Oil, and Gold are well-known and generally liquid markets, but the choice should also depend on your available capital, volatility, costs, and the strategy you intend to use.

Is Liquidity the Most Important Factor When Choosing a Futures Contract?

Liquidity is essential because it affects spreads, slippage, and execution quality. However, it isn’t enough: you also need to determine whether the strategy produces sufficiently robust results in that market.

How Do You Measure the Liquidity of a Futures Contract?

Liquidity can be assessed by examining trading volume, open interest, the bid-ask spread, and market depth. It is important to evaluate these factors for the specific contract expiration being traded and during the hours when the strategy is expected to operate.

Are Micro Futures Suitable for Small Accounts?

Micro futures allow traders to reduce their monetary exposure compared with larger contracts. Even so, an account still needs sufficient capital to withstand losses, fluctuations, and normal drawdown periods.

Can a Less Liquid Market Be Suitable for Systematic Trading?

Yes, provided that it offers sufficient liquidity for the position size being traded and that the strategy realistically accounts for spreads, commissions, and slippage. Being less well known does not automatically make a futures market better or worse: it must be evaluated using appropriate data and testing.