Reviewing Futures Performance, Costs, and Backtest Alignment
Summary
This annual review examines a futures trading account across asset classes and strategy groups. It compares returns with two benchmarks, reports summary performance statistics, and describes which markets and rule groups helped or hurt during the reviewed year. The author cautions against changing strategy weights based on a single year, especially alongside a much longer backtest, and treats the results primarily as a way to inspect behavior, costs, and live-to-simulation alignment.
The review estimates commissions and slippage, including savings from passive execution, and compares realized costs with the prior year and the backtest estimate. It also proposes comparing backtests of a newer dynamic optimizer using a broader instrument set with an older static system. That comparison is limited: only backtest results are available for the old system, one year is not decisive, instrument selection can flatter static tests, and dynamic optimization creates path dependence. The author recommends preserving historical code and configuration so past systems can be compared consistently.
Key ideas
- A single year of live performance is weak evidence for changing a strategy supported by a long backtest.
- The review separates results by asset class and trading rule to inspect diversification and sources of gains or losses.
- It measures commissions and slippage and considers how passive execution affects trading costs.
- Live results can diverge from simulation when dynamic optimization makes outcomes dependent on starting positions.
- Comparisons across system versions require preserved code, configuration, and awareness of instrument-selection bias.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.