Backtest a futures strategy

For your own account: no challenge rules, your contract, your costs. Pick the prices, a rule and its settings, and see every trade it would have taken — against simply holding.

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1Market and prices

Read at each session’s close, traded at the next open or 9:30, held for sessions or weeks — up to 26 years of prices.

Ready-made:

PricesThe ETF that tracks the market, dividends put back, scaled to futures points, financing carry charged. The longest clean history.PeriodThe rules read the sessions before it too, so long averages are ready on its first day.

2The rule

Trend following

Mean reversion

Overnight and day session

Calendar

Volatility breakout

Benchmark

DirectionBuy only, short only, or both.AverageSessions in the average.BandThe close must be this far beyond the average to switch (fewer whipsaws).EnterAt the next session’s open (what an end-of-day reader can do) or at the signal close itself (needs you watching the close).

Long while the close is above the 200-day average, flat below.

The 200-day rule (Faber 2007, "A quantitative approach to tactical asset allocation", with a 10-month average): over a century it earned about what the market did with half the worst fall, by being out of the big bear markets. It pays with whipsaws when the market hovers at the average, which a band around the average reduces.

3Size and costs

Day trades only — every entry is taken at the next 9:30 open and closed by that session’s 4:00 close, so only the day-trading margin is needed ($100 per MNQ instead of $3,542 overnight). The rules that hold the night cannot run this way.

ContractSize each trade byContractsCapital ($)What returns and falls are measured against.Commission a side ($)Per contract, all-in (your broker’s rate; discount brokers charge about $0.80 on a micro).Slippage (ticks a fill)Financing carryCharge the T-bill rate while a position is held (what a futures position really costs against the ETF’s total return).

Margin: $100 a day-trade, $3,542 overnight per MNQ — 1 contract: $3,542 of your $25,000. Broker tables, autumn 2026; they change with volatility.

About Strategy Backtest

The strategy backtest replays one rule from the Library on the market and price series you pick — real futures, a continuous front month or the ETF plus carry — with your contract, fees and sizing: fixed contracts or dollars per ATR.

Stops and targets are set in ATR and checked on each session’s high and low; when both could have been hit the same day the worse is assumed, and a gap fills at the open. Every trade is listed, and a sweep tries nearby settings so you can see whether a result is a plateau or a lucky spike.

Questions

How are stops handled on daily bars?

A stop or target is checked on the session’s high and low. When both could have been hit the same day, the backtest assumes the worse came first, and a gap through the stop fills at the open.

Why sweep the settings?

A rule whose neighbouring settings also made money is more likely to keep working than one where a single setting made it all.

Can I test day trades only?

Yes. The day-trades-only switch turns every rule into in at the next 9:30, out by that 4:00, and shows the day margin it needs.