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Trading ccy futures with strategies backtested on spot fx

  #6 (permalink)

Vancouver, Canada
Trading Experience: None
Platform: T4
Favorite Futures: Futs
Posts: 46 since May 2013
Thanks: 3 given, 42 received

kc0793 View Post
Thank you Conorcoen. I am only interested in 15min and above timeframe, so I guess that shouldnt be too much of an issue. When you say 'execution quality', what do you mean by that?

With FX markets being fragmented you'll find that spreads vary slightly among venues, and depending on the venue your data was collected from it will differ from the spread on the futures contract. Not a huge factor when trading 15M and up time frames but still something to keep in mind.

kevinkdog View Post
Depending how your strategy is set up, it could invalidate things. For example, futures are $12.5 per tick, but fx is $10 per pip (normal $100K size). Could this make a difference - possibly.

You best bet is to test before you leap into trading. You might find something that works in fx does not work in futures. Or, maybe it works better...

Tick size varies among currency futures, they're designed to emulate a standard '1 lot' of spot, they're not all $12.50. I agree with you to test both, there are 'asymmetries' between the two such as limit up/down restrictions, multiple venues etc. that can influence results.

On a side note if you're trading 'micro' futures I'd definitely go with spot instead, cheaper liquidity in spot for that size.

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