Interesting question. Let's look at some of the alternatives before I answer this.

Forex

Very very popular, especially amongst new traders, students. Exceptionally well marketed. But what are you actually trading? What is the underlying thing that you are buying and selling - a currency pair? What is that - is it a physical asset, can you walk into a bank and buy an exchange rate and now have an asset with value, that you can put somewhere in a safe?

It's an Exchange Rate. It is an entry in a book that says today this currency trades at this rate against this currency. There is no physical asset. You are pitched against the professional traders in Brokerage Houses and Merchant Banks all over the globe. Engineers design and build artificial intelligence systems, computer algorithms that does millions of calculations per second, to calculate the odds and then execute transactions in split seconds, no emotion - you are up against all these!
When you buy a currency pair, someone else is selling that to you, if you win, he loses and if they win, you lose. You have to be on top of your game, for the guy on the other side of that transaction most probably is. Its your wits against the market. You beat the market, you win. The market beats you, you lose.

Nowadays I see they break it down into mini-contracts - you can decide the risk you are willing to take, is it $10 per pip, or $1 per pip, even ZAR 1 per pip. How does it work? If you buy a certain amount of currency at a risk of $1 per pip, and at the Commercial Exchange in New York where the actual physical currency is traded in batches of $100,000 per contract - who is supplying the money for the rest of the contract to allow you to enter at a fraction of a contract? Or is your trade actualy just an entry in a book at the Brokerage, there is no physical transaction occurring. There is an entry in a book that says you bought the currency pair at this rate, there is a brokerage that gets subtracted and later there is another entry in the book that you sold the pair again. The difference is settled. But there was no actual physical exchange of money (notes, paper, coins), for your trade-size did not constitute a full contract amount. But the Broker does not mind, he knows sooner or later you are going to lose all your money, if not in brokerage fees, then in small transactions, or maybe you'll be swamped by the one big hit?

I have been there, I've done it. In my opinion the big traders at the big Banks and Brokerage Houses need to continuously make money. For them to make money, someone has to lose money. Their marketing machinery are in overdrive to get as many people as possible into the "trading game" to allow their Traders a continuous inflow of profit. I don't know of a single Bank or Brokerage that has lost. I also do not personally know of a single trader that has made it. I'm sure there are some, but I haven't yet met one. I have met guys that had been very successful, who then lost everything in one big hit.

You don't get Options in Forex. You can't manage the risk, you are up against the best in the world (doing it as a fulltime business). For me...- I can't beat them, I need to be able to reduce the risk, to find something to give me an edge, to be able to turn the odds in my favour. I couldn't find that "something" in Forex.

CFD's (Contracts for Difference)

Same question as for Forex. What is the actual underlying asset - the thing - that you are trading in. When you buy a CFD, what do you actually own? An entry in a book? If you buy a fraction of a contract, who supplies the rest. Who is sitting on the other side of the transaction - if you bought, who sold to you? If you sell, who is buying from you? If the Brokerage goes bust tomorrow, do you ask them "...OK, give me my CFD, let me take it to another Broker, or I'll put it in my safe until I find something to do with it.."? You are still pitched against the professional, full-time trader. You have no way of reducing the risk, or gaining a competitive edge. There are no Options in CFD's. (I have also traded CFD's, for a couple of years after my Forex experience, "spread-trading" they called it, until I burnt my fingers with that as well)

Stocks

YES for certain. This is a viable alternative. You do trade in a physical asset, you do actually own something of value. You get options in stocks and the same principles as what I am using in Commodities to reduce risk applies equally well to the stock-market. There are some drawbacks for me, but they can be overcome. It is certainly an asset class that I will consider. Here's my objections - but note, these are my reasons - they may not apply to you; this is certainly a viable alternative.

Funds

You want to trade in well established companies, dividents paying companies, blue-chip stocks. These generally are expensive stocks. An option is 100 shares. If I get exercised on a $500/share stock, it takes $50,000 out of my trading account that now gets tied up until I sell the shares again. That is a HUGE chunk of money that suddenly gets tied up - in a company you don't mind owning, but still the money is tied up, you lose the ability to speculate. If you don't have that size trading account then you immediately limit the number of stocks you are able to trade in

Return on Margin

Margin requirements are generally high (10% of value of 100 shares). Option prices are a few dollars, thus return on margin is really low - in comparison to commodities. Again, if you own a large trading account and are happy to earn a slow steady return on that, there is nothing wrong with stocks

Data

I don't have data. I don't mean price data - that is easy to get. I need options data, specific options data going back at least a year in time for every strike price over the entire range of prices for every stock. I don't have that. I can't trade in the dark, I need to analyse. And there are literally thousands of stocks from how many different exchanges all over the world.

Diversification

If the stock market crashes, all stocks crashes. Although I may be investing in different companies, a crash affects them all..- it is like having all of my eggs in one basket.

Commodities

Which brings us to Commodities. I am trading in a physical asset, for which there is supply of the stuff and there is demand for the stuff. And the "stuff" are not something obscure, they are things I use in my day to day life - I eat Cornflakes (Corn) in the morning, or bacon (Lean Hogs) and eggs, bread (Wheat) with my Organge Juice or Coffee. Sugar. My car takes Gasoline, which we distill from Crude Oil; we trade in physical currency (British Pound or Canadian Dollar). We wear Cotton; beef (Cattle) or Soybeans in my hamburger patty. Copper in electrical wires, my wife loves Gold, my daughter Silver. These are all stuff we interact with and use every day ...- now I build a business trading in these!

Prices are influenced by supply and demand. If it is a bad year and the harvest is not good, prices will go up. If there is an oversupply prices will go down - but Corn can't go BUST, prices cannot drop to zero, the price of Oil may go low, but Oil does not stop to exist. While if prices are to high, then people stop buying. There are some predictability to prices.

They are truly diversified. I can tell you that Hogs does not care about who the next US president is, or whether there is a border wall with Mexico or whether the British exits the EU under favourable conditions or not. They don't care, they eat and grow fat. And people will continue to drink Coffee and eat their corn flakes whether trade talks with China are successful or not. While Crude Oil may be sensitive to the next OPEC meeting, Cattle does not care. While Orange Juice may be sensitive to sudden cold weather or an approaching hurricane, Cocoa or Gold is not affected. In other words: I have a true diversification of asset class. By spreading my investment over a couple of commodities, I achieve diversification where any sudden catastrophe hitting a specific market has no influence on my other positions.

Margin requirements are generally low (in comparison to stocks) and options premiums are expensive - the return on margin is healthy. There are only about 40 commodities we are looking at. Obtaining data is no problem.

The ability to trade options gives you a competitive edge, at least levelling the playing field; if you are willing to do your homework, you have a real chance to outwit your opponent and make money. You don't have to stare at a computer screen whole day, you can easily trade of the daily charts, your trading becomes relaxed, or if not relaxed, at least you can do it from home, after hours - it does not affect your daytime job

So for me the biggest advantage trading commodities: I can build a profitable trading business that suits my lifestyle!