Handling Different Futures and Options Fees in Backtests

Summary

This short forum exchange addresses how to model a monthly rollover strategy that trades futures and options together. The question is how to configure the backtest engine when the two instrument types have different transaction fees, especially when closing the old combination and moving into a new one each month.

A respondent says the engine may not support separate fee rates and suggests two workarounds: modify the backtest’s fee calculation to accept rates that vary by instrument or time period, or run a separate backtest for each monthly roll and concatenate the results. These are practical suggestions rather than tested instructions; the discussion includes no code, comparison, or evidence that either approach preserves realistic accounting. Splitting and stitching runs may require careful treatment of capital, positions, costs, and continuity at each boundary. The exchange is useful as a modeling issue to investigate, but it does not establish the engine’s actual capabilities or validate the proposed workarounds.

Key ideas

• A combined futures and options strategy may need distinct transaction fee assumptions.
• The example strategy closes and replaces its instrument combination monthly.
• One proposed workaround is to adapt fee calculations for instrument-specific or time-varying rates.
• Another suggestion is to run separate backtests for each roll period and join the outputs.
• The forum does not test either workaround or specify how to preserve accounting continuity.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.