Markets
Gold futures (GC) backtesting
Short answer
To backtest a gold strategy honestly, test each session on its own, fill stops at the gap price, and read your worst days around scheduled data. In BenchAlgo the harness runs the idea on up to 15 years of GC or MGC history and scores it out of 10.
GC and MGC contract facts
GC is the gold future, 100 troy ounces a contract, with a tick of $0.10 per ounce. MGC is the micro version, 10 troy ounces. A tick is worth $10.00 on GC and $1.00 on MGC.
| Contract | Tick | Tick value | 16-tick minimum stop | 3 ticks of slippage, round trip |
|---|---|---|---|---|
| GC | 0.10 | $10.00 | $160 | $30.00 |
| MGC | 0.10 | $1.00 | $16 | $3.00 |
What to watch on gold
- Sessions. Gold trades nearly around the clock, and Asia, London and New York behave differently. An idea that works in one often fails in another, so test them apart.
- Scheduled data. US releases such as CPI and the jobs report can move gold sharply in one bar, and a stop can fill far from where it was placed. Read your worst days and see what they have in common.
- Wide daily ranges. Gold has had long quiet spells and fast trends. Check the results year by year so that one trend does not carry the whole curve.
- Costs on the full contract. A 3-tick round trip costs $30 on GC. MGC costs a tenth of that, but its commission takes a larger share of each trade.
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