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[ES question] Backtesting cost estimation


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[ES question] Backtesting cost estimation

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  #1 (permalink)
 davidautentico 
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Hi all,

I'm very new to futures trading. I want to backtest something using ES data and my question ies : how many ticks do you use as transaction costs ? 1, 1.5,2 ticks ?

Thanks,
David

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  #3 (permalink)
 xplorer 
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davidautentico View Post
Hi all,

I'm very new to futures trading. I want to backtest something using ES data and my question ies : how many ticks do you use as transaction costs ? 1, 1.5,2 ticks ?

Thanks,
David

Hola David

Personally I've never heard of people using ticks as transaction costs.

I believe it would be a matter of factoring transaction costs separately, as generally commissions don't necessarily match the instrument's tick value.

How come are you thinking about using tick as transaction cost?


Hasta pronto

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  #4 (permalink)
 davidautentico 
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xplorer View Post
Hola David

Personally I've never heard of people using ticks as transaction costs.

I believe it would be a matter of factoring transaction costs separately, as generally commissions don't necessarily match the instrument's tick value.

How come are you thinking about using tick as transaction cost?


Hasta pronto

I trade forex (EURUSD) and normally the spread is around 0.2-1.0 points and then you have commissions around $3.5 per said than translated in points terms is around 0.75 pips, 1.0+0.75 = 1.75 pips per trade

if 1 tick in ES is $12,50 and I assume 1 tick slippage/spread + $4 round trip commission I have = $12.50+$4 = $16.50 which is 16.50 / 12.50 = 1.32 ticks. So I need at least 2 ticks to be profitable regarding backtesting.

I have found this article that explain what I wanted to know E-Mini Player: EMini S&P 500 Futures Trading Education and Analysis: Cost of Trading the E-Minis (Spread + Commission)

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 xplorer 
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davidautentico View Post
I trade forex (EURUSD) and normally the spread is around 0.2-1.0 points and then you have commissions around $3.5 per said than translated in points terms is around 0.75 pips, 1.0+0.75 = 1.75 pips per trade

if 1 tick in ES is $12,50 and I assume 1 tick slippage/spread + $4 round trip commission I have = $12.50+$4 = $16.50 which is 16.50 / 12.50 = 1.32 ticks. So I need at least 2 ticks to be profitable regarding backtesting.

I have found this article that explain what I wanted to know E-Mini Player: EMini S&P 500 Futures Trading Education and Analysis: Cost of Trading the E-Minis (Spread + Commission)

Okay, I see how you're using 'ticks'. You use calculations like 1.32 ticks and then you round it up to 2 ticks to provide an indicative figure.


I may be wrong but certain platforms (e.g. NinjaTrader) allow you to perform backtesting by also factoring in the commission cost that your broker provides, and probably you can include slippage too.

I say 'probably' because I have NinjaTrader but I use it as secondary platform so I don't know it that well.

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 Tymbeline 
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davidautentico View Post
I want to backtest something using ES data and my question ies : how many ticks do you use as transaction costs ? 1, 1.5,2 ticks ?


With ES, for most backtesting purposes, 1.5 ticks will be a reasonable average of commission + slippage, David.

(Whatever resuts you get won't necessarily be the same as "forward-testing", of course, but I think you already know this.)

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 davidautentico 
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Tymbeline View Post
With ES, for most backtesting purposes, 1.5 ticks will be a reasonable average of commission + slippage, David.

(Whatever resuts you get won't necessarily be the same as "forward-testing", of course, but I think you already know this.)

thanks.

You're correct I know that

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 kevinkdog   is a Vendor
 
 
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davidautentico View Post
Hi all,

I'm very new to futures trading. I want to backtest something using ES data and my question ies : how many ticks do you use as transaction costs ? 1, 1.5,2 ticks ?

Thanks,
David

I usually assume 2 ticks round trip slippage for ES, plus commission. It might be a little on the high side, but I like to be conservative when backtesting.

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  #9 (permalink)
 davidautentico 
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kevinkdog View Post
I usually assume 2 ticks round trip slippage for ES, plus commission. It might be a little on the high side, but I like to be conservative when backtesting.

Yep, it seems realistic. Thanks

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