Futures models and equities models: why they differ
A stock and a futures contract are different instruments in ways that change what a measurement means. One set of settings across both is a decision, usually an unexamined one.
Both produce a chart of open, high, low, close and volume. Underneath, almost everything that determines how those numbers behave is different.
Gap behaviour
Most US futures trade close to around the clock, so information arrives while the market is open and gets traded through. Equities sit closed for roughly seventeen and a half hours a day, so overnight news prices in at once.
The consequence for range measures is direct. A stock's range is regularly dominated by a gap. A futures contract's usually is not. Anything calibrated on one behaves differently on the other. See gaps and range.
Units and scale
A futures contract has a fixed tick size and a fixed money value per tick, and those never change. A stock trades in cents, and a move of one cent means something entirely different on a $4 stock than on a $600 one.
This is why ATR is not comparable across instruments, and why percentage terms are more natural for equities while point terms are more natural for futures.
What moves them
| Index futures | Individual equities | |
|---|---|---|
| Main driver | Broad macro and rate expectations | Company news, plus the market |
| Single-name shocks | Diluted across the index | Full force |
| Scheduled events | Economic releases | Earnings, guidance, plus releases |
| Corporate actions | None | Splits, dividends, offerings |
Corporate actions deserve a mention because they break charts. A split changes every historical price, and whether your data is adjusted for it determines whether old levels mean anything.
Volume data quality
Futures volume is centralised at the exchange and consistent between platforms. Equity volume is fragmented across venues, and what you see depends on your feed. Any volume-based measure is on firmer ground in futures. See what volume does and doesn't tell you.
Contract mechanics
Futures expire. Activity migrates to the next contract, and a continuous chart is a stitched- together series whose historical prices may have been adjusted. Stocks have no equivalent, and no equivalent artefact. See tick size, contract months, and rollover.
Why this justifies separate models. Not because futures traders and equities traders are different people, but because the same calculation produces differently distributed results on the two. A threshold that is unusual on an instrument that rarely gaps is ordinary on one that gaps weekly. Applying one set of settings to both means one of them is being measured against the wrong baseline.