NexusFi: Find Your Edge


Home Menu

 





[ES question] Backtesting cost estimation


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one davidautentico with 4 posts (1 thanks)
    2. looks_two xplorer with 2 posts (0 thanks)
    3. looks_3 kevinkdog with 1 posts (0 thanks)
    4. looks_4 Quick Summary with 1 posts (0 thanks)
    1. trending_up 2,295 views
    2. thumb_up 2 thanks given
    3. group 2 followers
    1. forum 8 posts
    2. attach_file 0 attachments




 
Search this Thread

[ES question] Backtesting cost estimation

  #1 (permalink)
 davidautentico 
madrid/spain
 
Experience: None
Platform: metatrader
Trading: ES
Posts: 8 since May 2016
Thanks Given: 2
Thanks Received: 2

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

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Request for MACD with option to use different MAs for fa …
NinjaTrader
NexusFi Journal Challenge - May 2024
Feedback and Announcements
Looking for an MQL4 MetaTrader programmer/coder
The Elite Circle
Ninja Trader 8 Drawing Tools Wanted
NinjaTrader
ZombieSqueeze
Platforms and Indicators
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
60 thanks
NexusFi site changelog and issues/problem reporting
46 thanks
Battlestations: Show us your trading desks!
34 thanks
GFIs1 1 DAX trade per day journal
31 thanks
What percentage per day is possible? [Poll]
20 thanks

  #3 (permalink)
 
xplorer's Avatar
 xplorer 
London UK
Site Moderator
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Frequency: Never
Duration: Never
Posts: 5,924 since Sep 2015
Thanks Given: 15,417
Thanks Received: 15,231



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

Reply With Quote
  #4 (permalink)
 davidautentico 
madrid/spain
 
Experience: None
Platform: metatrader
Trading: ES
Posts: 8 since May 2016
Thanks Given: 2
Thanks Received: 2


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)

Started this thread Reply With Quote
  #5 (permalink)
 
xplorer's Avatar
 xplorer 
London UK
Site Moderator
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Frequency: Never
Duration: Never
Posts: 5,924 since Sep 2015
Thanks Given: 15,417
Thanks Received: 15,231


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.

Reply With Quote
  #6 (permalink)
 
Tymbeline's Avatar
 Tymbeline 
Leeds UK
Market Wizard
 
Experience: Intermediate
Platform: Tradovate
Broker: Tradovate
Trading: MES, MNQ
Frequency: Several times daily
Duration: Minutes
Posts: 641 since Apr 2015
Thanks Given: 2,322
Thanks Received: 1,049


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.)

Reply With Quote
The following user says Thank You to Tymbeline for this post:
  #7 (permalink)
 davidautentico 
madrid/spain
 
Experience: None
Platform: metatrader
Trading: ES
Posts: 8 since May 2016
Thanks Given: 2
Thanks Received: 2


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

Started this thread Reply With Quote
The following user says Thank You to davidautentico for this post:
  #8 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,644 since Jul 2012
Thanks Given: 1,889
Thanks Received: 7,332


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.

Follow me on Twitter Reply With Quote
  #9 (permalink)
 davidautentico 
madrid/spain
 
Experience: None
Platform: metatrader
Trading: ES
Posts: 8 since May 2016
Thanks Given: 2
Thanks Received: 2


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

Started this thread Reply With Quote





Last Updated on July 28, 2016


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts