Markets
ES futures backtesting
Short answer
To backtest an ES strategy honestly, use front-month CME data, fill after the signal, and charge slippage per side at $12.50 a tick. In BenchAlgo you describe the idea, and the harness runs it on up to 15 years of ES or MES history and scores it out of 10.
ES and MES contract facts
ES is the E-mini S&P 500 future, worth $50 times the index, with quarterly contract months (March, June, September, December). MES is the micro version, one tenth of the size. The prices are the same, so a strategy that works in ticks moves between them by changing only the dollars.
| Contract | Tick | Tick value | 16-tick minimum stop | 3 ticks of slippage, round trip |
|---|---|---|---|---|
| ES | 0.25 | $12.50 | $200 | $37.50 |
| MES | 0.25 | $1.25 | $20 | $3.75 |
What to watch on ES
- The long-term drift. ES has spent most of its history rising, so a long-only rule can look like skill. Compare it with random entries.
- Thin edges. A 3-tick round trip costs $37.50 per contract, and many intraday ES ideas earn less than that per trade once they are filled honestly.
- Regular hours and overnight trade differently. Test the two separately before pooling them.
- Regimes. An idea that only worked in 2020 or 2022 is really one bet on volatility, however many trades it has. Read the results by year.
How the backtest runs in BenchAlgo
- Your strategy gets completed 1-minute bars, one at a time. The plan includes up to 15 years of OHLC bars, from CME Globex data.
- Bars come from one front-month contract per session, never a blend. History is back-adjusted at rolls, so there is no jump at a roll.
- Orders fill at the next bar open at the earliest, and the stop is checked first inside a bar.
- A strategy holds one position at a time, from 1 to 10 contracts, and is flat by 16:10 ET. Nothing is held into the next session.
- You see profit and loss in US dollars, and every trade as a move in ticks from its entry. You never see raw prices.
Read more: Fills, slippage and fees · How scoring works · Results from our own strategies