For my own systems, oddly enough the systems I have for full size or mini contracts do not work for the micros. So that is a problem I have on my side. Go figure.

Because of costs or due to other reasons?

Because of costs or due to other reasons?

That is a great question. When I test with @ES and then @MES, I always make sure the Net P/L of @MES is 10% of @ES, if the slippage and commission for @MES is set at 10% of @ES.

If it is, then I adjust @MES slip and comm to actual values.

If there is a mismatch, it is almost certainly a code issue, since most of the @MES history is really scaled @ES history. Either that or your strategy is REALLY sensitive to 1 or 2 tick differences in OHLC prices...

The 10% rule is useful, but the problem with it is that it underestimates commission. This post in my journal is a bit dated (last year), but I looked at costs for ES versus MES last year, when I was trading MES and MNQ (the presentation is a little confusing, but the point is there):

Attack of the Robots - An Algo Journal This is a supplemental entry, but one that reflects how much I do not know. I did a quick search last night for micro e-minis, mainly because I wanted the contract specs for MES (micro e-mini S&P). I ended on the CME micro e-mini page and was stunned: …

I know the micro costs have gone up since I wrote that, but at the time, commission and fees for micro were 150% of the mini. I am guessing, at least in my testing, that this is where my micros are failing.

I understand how the data is built for the micros before inception. As for the code, the code is always identical. The only variables are commission and slippage (and of course, minor price differences between micro and mini). These difference can echo into optimizations for the systems I optimize. I could, in theory, optimize ES and use the same parameters for MES, or vice versa. But that is a topic for another day.

In any case, I don't have much interest in trading them at this point. I will explore the idea @SMCJB inspired, by building a micro portfolio, hopefully sooner rather than later.

The 10% is just to compare MES to ES directly. MES results SHOULD be 10% of ES.

If that is true, then you know that the strategy is set up correctly.

After that check, then you can adjust MES slippage and commission as appropriate.


I didn't explain it well, but doing this 10% exercise identifies/eliminates code issues (like maybe having SetStopLoss(X) instead of a contract size adjusted stop SetStopLoss(Y*BigPointValue).

ha ha ha....

Seems like a trick question, but I'll bite. Assume we are strictly speaking futures, and not equities, options, or any derivatives. I suppose the minimum account size depends upon your trading goals and expectations. I need to trade a portfolio, so $50k is a reasonable starting point... for me. To trade the portfolio I want to trade, $100-150k is more reasonable. If I can pull in 30% returns, that is better than most CTA's. Of course, I want more, but I think that realistically, year in and year out, 30% is a good goal as a starting point.

So 30% on 50k is 15k per year. Pay some taxes on that, then I'm trading 63k, 30% on that is 18.6k. Repeat every year.

$20k is doable, but it limits what you can do, especially if you start with a drawdown, which could very well happen. So if you have a 5k drawdown, you have 15k in trading capital. Do you still have the discipline to stick with your system, or do you pull the plug? I think that if you are a very experienced and disciplined trader, you are okay with that if you trust your backtest (you should trust it if you did it right). If you are a less experience or even less disciplined trader, you pull the plug.

Recently I had a miserable couple weeks with a few of my systems. If I had panicked and pulled the plug, changed my portfolio, or fiddled with anything, I would have missed the subsequent two weeks of good recovery. I trust my systems, they test out well and they all have draw-downs, even my best ones. Earlier in my trading career, I would have interfered.

$20k is tight, because I've done it (I had one account start at $12k, very tight and just about impossible to be profitable with limited trading options). The margin rate for ES is $12,100 with my broker. The more you can start with, the better.