Annual return and Spread ?

I’m using Futures,  have Capital at 25K, Position sizing is 1 Lot and get Net annual profit is $2000.

 

1) I’m seeing strange Annual Return % numbers such as 170,000%

 – How is Annual Return calculated?  Shouldn’t it be Annualized Net Profit/Capital = 2000/25000 = 8% in this case?

 – Since AnnRet/Max DD% is one of my Fitness functions, i guess it messes up my evolution metric too.

 

2) Also, default Spread for symbols is 3pips, which seems high for liquid Futures – e.g. ES probably has a spread of 1 tick.

 – How is the Spread used in backtests and in the Results?  My data is based on Last Price, and i’ve added a 1pip slippage – should i use Spread=0?

 

3) Also, is fractional Lots (e.g. 0.1 Lot) position sizing applicable for futures?  I thought 1 contract is minimum and only whole numbers 

 

 

Hello,

 

1) can you provide more details like screenshot or STR file for this? There could be an issue or bug with the stat. We have had a similar report recently

2) you can use spread set to 0 or 1 for highly liquid markets like ES or NQ. Its added when using market orders and stop-loss with the strategy

3) not possible. You can only play 1 contract or its multiples

Attached is screenshot showing unusally high Annual Return.  My initial capital is 25K (for 1-contract position size) and Net Profit over a 12 month backtest is 21K, so Annual Return is 21/25 = 80%.

The reported Annual Return is 1875%

 

Also, how do i paste a screenshot/image on this forum.  I had to save the screenshot as a file and attach, wondering if there’s an easier way of copy/paste screenshots.

 

Hi,

 – Any update on the Annual Return issue?  Isn’t everyone seeing this with Futures?

 – Also, i understand Spread is added to Market and Stop Loss orders (but not Limit orders).  How about Slippage (i have each at 1 tick) – is Slippage added to all 3 order types (in addition to the Spread of 1 tick)?  

 – Where in the Reports can i see the cost of Slippage and Spread during a backtest? 

 

thanks

Kiran

unfortunately, there seems to be a bug in Annual Return in % in SQ3, at least on some asset classes.

 

– yes, Spread should be added only to Market and Stop Orders, slippage is added to all three types

 

– there is no extra field to see Spread+Slippage, it is already incorporated into the trade opening price