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Slippage and Commission Amounts Needed For Accurate Back Testing of Futures Strategies

Slippage and Commission Amounts Needed For Accurate Back Testing of Futures Strategies

It is very important to enter accurate commissions & slippage costs when doing your back testing on any strategy. Here is what you do from your trading platform menu --> format strategies --> properties for all --> Position Slippage field --> Enter the dollar amount of 1 tick per side listed below --> check the box "per Share/Contract" now your strategy performance report will be more accurate. Make sure to fill in the commission field with the correct commission charges too.

Make sure to do the above 2 steps before you do any optimization on a strategy and before you look at the performance report to insure you are get accurate results.


Futures Resources

Futures Rollover Schedule Per Futures Symbol

This spreadsheet is vital to know when futures contract rollovers occur.
Simply mouse click on the link to download .xls file.

TradeStation Futures Commission Costs Per Futures Symbol

https://www.tradestation.com/pricing

Exchange Fee Costs Per Futures Symbol

https://www.tradestation.com/pricing/exchange-execution-fees

Futures Margin Requirements Per Futures Symbol

http://www.tradestation.com/products/futures/margin-requirements

Futures Trading Events Calendar

https://www.tradestation.com/en/products/futures/futures-knowledge-center/calendar

CME Futures Contract Specs

https://www.tradestation.com/products/futures/futures-knowledge-center/contract-specifications

How Much Money Is Recommended To Trade Each Futures Symbol

I recommend using the following formula:
Conservative Recommended Capital(CRC) = ( Margin * Max_Number_Of_Contracts) + (Max_DrawDown * 2)

Key:
Margin = Use the Futures Margin Requirements Per Futures Symbol link provided above to find initial margin requirements
Max_Number_Of_Contracts = Look at your strategy performance report for the highest number of contacts held in any single trade
Max_DrawDown = Look at your strategy performance report Max. Drawdown (Intra-day Peak to Valley) amount


Futures Cost

The list below will provide you a quick reference source for the commission cost, dollars cost per tick and margin cost per contract. (The above website links will provide the most up-to-date amounts since that is the actual TradeStation charges). We recommend inserting the commission cost and slippage cost into the proper place under "properties for all" when you format your strategies. This is very important to do before you look at a trading performance report so it is more accurate.



Symbol Name Exchange Commission Slippage Margin
Currencies:
DX U.S. Dollar ICE $3.90 $10.00 $1,320.00
EC EURO CME $4.40 $12.50 $4,725.00
BP British Pound CME $4.40 $6.25 $2,025.00
AD Australian Dollar CME $4.40 $10.00 $3,375.00
SF Swiss Franc CME $4.40 $12.50 $6,210.00
CD Canadian Dollar CME $4.40 $10.00 $2,295.00
JY Japanese Jen CME $4.40 $12.50 $4,050.00
E7 eMini EURO CME $4.40 $6.25 $2,363.00
J7 eMini Japanese Jen CME $4.40 $6.25 $2,025.00
ED Euro Dollar CME $4.40 $6.25 $1,485.00
Grains:
S Soybeans CBOT $5.10 $12.50 $1,215.00
YK Mini Soybeans CBOT $3.26 $1,013.00
W Wheat CBOT $5.10 $12.50 $3,038.00
YW Mini Wheat CBOT $3.26 $608.00
C Corn CBOT $5.10 $12.50 $2,363.00
YC Mini Corn CBOT $3.26 $473.00
BO Soybean Meal CBOT $5.10 $12.50 $1,350.00
SM Soybean Oil CBOT $5.10 $1.00 $2,700.00
RR Rough Rice CBOT $5.10 $6.00 $1,350.00
Energies:
CL Crude Oil NYMEX $4.10 $10.00 $6,885.00
QM eMini Crude Oil NYMEX $3.60 $12.50 $3,443.00
RB Gasoline NYMEX $4.10 $8.40 $7,425.00
QU eMini Gasoline NYMEX $3.60 $2.10 $3,713.00
HO Heating Oil NYMEX $4.20 $6,480.00
NG Natural Gas NYMEX $4.10 $10.00 $3,375.00
Stock Indexes:
SP S&P 500 CME $2.50 $21,875.00
ES eMini S&P 500 CME $3.52 $12.50 $4,375.00
TF eMini Russell ICE $3.80 $10.00 $6,600.00
DJ Dow CBOT $10.00 $6,250.00
YM eMini Dow CBOT $3.52 $5.00 $3,125.00
NQ eMini NASDAQ CME $3.52 $25.00 $2,500.00
EMD eMini S&P Midcap 400 CME $3.52 $10.00 $5,625.00
VX VIX Volatility Index CFE $3.60 $50.00 $5,775.00
VM Mini Volatility Index CFE $3.60 $5.00
NK Nikkei CME $5.76 $5.00 $3,750.00
Financials:
US 30 Year Bonds CBOT $2.50 $31.25 $3,780.00
TY 10 Year Notes CBOT $2.50 $15.63 $1,485.00
FV 5 Year Notes CBOT $2.50 $7.81 $878.00
TU 2 Year Notes CBOT $2.50 $15.63 $371.00
ED Euro Dollars $25.00 $439.00
TB T-Bills $25.00
EY EuroYen $53.00
Metals:
GC Gold COMEX $4.10 $10.00 $9,113.00
QO eMini Gold COMEX $2.70
SI Silver COMEX $4.10 $25.00 $16,875.00
QI eMini Silver COMEX $2.70
HG Copper COMEX $4.10 $12.50 $5,400.00
QC eMini Copper COMEX $2.70
PA Palladium NYMEX $4.10 $5.00 $3,850.00
PL Platinum NYMEX $4.10 $5.00 $3,300.00
UX Uranium NYMEX $4.10
Softs:
KC Coffee ICE $5.20 $18.75 $4,125.00
CC Cocoa ICE $5.20 $10.00 $1,375.00
SB Sugar #11 ICE $5.20 $11.20 $1,540.00
OJ Orange Juice ICE $5.20 $1.50 $1,925.00
CT Cotton ICE $5.20 $5.00 $2,750.00
LB Lumber $11.10 $1,650.00
Meats:
FC Feeder Cattle CME $5.26 $12.50 $2,430.00
LC Live Cattle CME $5.26 $10.00 $1,620.00
LH Lean Hogs CME $5.26 $10.00 $1,688.00
PB Pork Bellies CME $5.26 $10.00