Buy and hold ES futures contract

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Buy and hold ES futures contract

edited Jul 1, 2017

Seeking Help Getting Started Futures

I'm still relatively new to Quantopian. I'm just running a little experiment to make sense of a very simple strategy: buy and hold S&P Emini futures. I'm not trying to prove this strategy is anything special (esp not as a hedging strategy), but I'm just trying to see that the results would be somewhat comparable to the SPY benchmark. So I'm just trying to make sense of the results.

When I run the backtest against the SPY benchmark, the result don't make very much sense to me. The total return is about 6.6% (ES) vs benchmark of 115.5% (SPY) - this is period from 2011 to 2017.

Why is there such a large skew in favor of the SPY benchmark? Aren't the Emini's much more highly leveraged than SPY ETFs??? I would have expected the correlation to be similar (SPY and ES are tracking the same thing almost), but I would have expected the ES to have a much higher return since its a much more highly leveraged instrument.

2 responses

Your trading of those 26 futures contracts appear to be greatly profitable -- for the amount invested, a return of 700.37%. The problem is that only 1% of the initial capital was invested ($9,233). This page provides some help in understanding how that can be, and a tool to assist.

Try setting the initial capital field to 9233 and watch what happens.

I'm not familiar with futures yet and apologize in advance if the tools I'm using that led to these conclusions may be throwing a wrench into the works, and appreciate any correction. For example, seeing giant leverage starting 2011-10-04 with no orders and don't know why.

Ahh, right. Thanks. The results make a lot more sense now.

Yes, changing it to 9233 gave 715% returns! (-93.7% drawdown - that's holding a futures contract for ya!)

Thanks again for your response and clarification.

I'll have to study that other tool you pointed out as well.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.