[AFL] Back-testing systems for futures contracts
http://www.amibroker.com/guide/h_futbacktest.html
Back-testing systems for futures contracts
Introduction
Before you read this article you should read first "Backtesting your trading ideas" section as it gives necessary background of backtesting in general.
When you open long position on stocks you just buy given number of shares at given price, then after some time you sell them and your profit is given by difference between sell and buy price mutliplied by number of shares. If you want to open long position on future contract you pay a deposit - margin - for each contract. The margin(保證金) is just a little part of full contract value (for example 10%). So you can buy 10 contracts paying no more than full value of one contract. This gives you a leverage(槓桿) that makes trading futures more risky than trading stocks. When price of the contract changes your profit/loss changes accordingly. If contract's point value is 1 each 1$ change in contract price represents 1$ profit/loss per contract - like in stocks. But futures can have point value different that 1. If, for example, point value is 5 each 1 point change in price of the contract represents 5$ profit/loss in your equity. When you close position you get the margin deposit back, so your profit/loss is given by number of contracts multiplied by point value mutlipled by difference between sell and buy prices.
//股票的損益算法 = (Sell Price – Buy Price) * Share
//期貨的損益算法 = Contact數 * Point Value * (Sell Price – Buy Price)
Futures mode of the backtester
//注意如果你要使用Futures mode要設定三個地方，第1個在Setting中Futures mode要開，剩的兩個在Symbol Information中要設定保證金(Margin deposit )跟點價值(Point value)
There are 3 futures-only settings in the backtester:
- Futures mode check box (Settings-General page)
- Margin deposit (Symbol-Information page)
- Point value (Symbol-Information page)
Futures mode check box in the settings page (underscored with green line in the picture above) is the key to backtesting futures. It instructs backtester to use margin deposit and point value in calculations.
//如果選擇了Future Mode，這樣bactester才會吃Symbol information中設定的使用保證金(margin deposit )跟點價值(Point Value)來計算
The remaining settings are per-symbol and they are accessible from Symbol->Information window.
Margin deposit
//保證金 : 表示開1個契約所需的錢。
//參數:MarginDeposit 。
// 正數:表示以價格計算保證金
// 負數:表示以百分比計算保證金
// 零:表示以Stcok
The margin is the amount of money required to open single contract position. You can specify per-symbol margin in the Symbol-Information page (picture above). Positive values describe margin value in dollars, while negative express margin value as percentage of contract price. Margin value of zero is used for stocks (no margin). Margin can be also specified in the formula by using MarginDeposit reserved variable:
MarginDeposit = 675;
In the Futures mode margin setting is used to determine how many contacts can be purchased. Let's suppose that your initial equity is set to $50000 and you want to invest upto 20% of equity in single trade and the margin deposit is $675. In that case your "desired" position size is 50'000 * 0.2 = 10'000. Provided that you have set round lot size to 1, the backtester will "buy" 10000/675 = (integer)14.8148 = 14 contracts, and true positon value will be $9450 (18.9% of the initial equity).
//margin setting，表示你可以買到多少契約
//期初金額50,000
//設定可投資在此期貨的金額是期初金額的20%，所以可知Position Size = 50,000*0.2 = 10,000
//保證金是675元，所以可以10,000 / 675 表示可以買到14個契約
// 所以部位價值Position value = 14 * 675 = 9,450
To simulate this in AmiBroker you would need to enter 50000 in the Initial Equity field in the backtester, switch on futures mode, and setup remaining parameters in your formula:
PositionSize = -20; // use 20% of equity
MarginDeposit = 675; // this you can set also in the Symbol-Information page
RoundLotSize = 1; // this you can set also in the Settings page
All further trades will use the same logic but position will be sized according to current cumulated equity instead of initial equity level, unless you specify fixed position size in your formula ( PositionSize = 10000 for example).
Point value
Point-value is per-symbol setting (definable in Symbol-Information window - (picture above)) that determines the amount of profit generated by one contract for a one point increase in price. Example: copper is quoted in cents per pound, a price quote of 84.65 (or 8465) equals 84 cents and 65/100 of a cent per pound. A change of +.37 or 37 represents 37/100ths of a cent you will normally hear it quoted as 37 points. But because of the fact that point value for copper is 2.5 every point change gives $2.5 profit/loss, so in this example profit/loss for the day would be 2.5 * 37 = $92.50.
You can also set it from the formula level using PointValue reserved variable, for example:
PointValue = 2.5;
Note: When you load old database AmiBroker presets point value field to 1 and assumes that by default 1 point represents one dollar so one dollar change gives one dollar profit/loss. This is done to ensure that you get correct results even if you (by mistake) run futures mode test on stocks.
Note 2: Although point value setting affects (multiplies) profits/losses it does NOT affect built-in stops. The stops ALWAYS operate on price movement alone. So you should be aware that setting 10% profit target stop will result in 25% profit on trade exited by this stop when point value is set to 2.5.
//Point value的設定，只影響損益，不影響停損機制。所以要留意，當設定Point value =2.5，且設目標停利為10%時，結果會造成停利是25%，因為目標停利10%是看報價本身。
Simple cases
Points-only test
Points only test is equivalent to trading just one contract. This can be easily accomplished using Futures mode of the backtester and adding the following one line to your formula:
PositionSize = MarginDeposit = 1;
Trading 'n' contracts
In a similar way you can setup your formula so it always trades say 7 contracts. All you need to do is to add the following to your formula:
NumContracts = 7;
PositionSize = NumContracts * MarginDeposit;
