Auditing Overnight Financing in Index CFD Backtests
Summary
This article explains how overnight swap charges affect multi-day index CFD strategies and why raw swap settings cannot be compared directly across brokers. It describes converting charges in different MetaTrader 5 swap modes into an annualized percentage of position notional, then comparing long and short financing across brokers. A read-only scanner is presented as a way to inspect symbol specifications and estimate comparable rates.
A long-only swing strategy provides a case study: the deal records show gross trading profit, booked swap, and net profit, with financing accounting for a substantial portion of gross profit. The article also highlights a symbol whose financing charges greatly exceed its gross profit. It explains that optimizer results can obscure swap costs, that swap specifications may be applied across historical data from a present-day snapshot, and that tester reports do not foreground the contribution of financing.
The figures are specific to the tested broker, symbols, strategy, and period; they do not establish that the strategy is profitable or that the same financing applies elsewhere. The article recommends checking broker specifications and historical rates before relying on backtest results.
Key ideas
- Compare broker swap charges by converting them to annualized rates against position notional.
- Points-based and interest-based swap modes represent different financing conventions.
- Deal-level swap costs can materially reduce a swing strategy’s gross profit.
- Aggregate tester results can hide symbols whose financing costs overwhelm their trading profit.
- Current swap specifications may not accurately represent financing throughout a historical test.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.