Why Short-Term Futures Returns Do Not Establish Expected Performance
Summary
The document examines whether a short run of profitable manual trades in equity-index futures can support expectations of unusually high annual returns. The responses caution that a small number of recent trades is weak evidence for persistent skill, and that results can differ sharply between small and large accounts because a strategy’s capacity may be limited. A cited example of a highly successful fund is contrasted with the possibility of losses, underscoring the wide range of outcomes rather than offering a forecast for a new trader.
The discussion also puts the investor’s historical stock returns in context: the sample began after much of the financial-crisis decline and included concentrated holdings in stocks that performed exceptionally well. One answer suggests more modest long-run expectations for US equities, while another invokes market efficiency and the need for a genuine edge after fees. These are opinions and broad cautions, not a tested return model or a reliable estimate for Nasdaq or S&P futures scalping.
Key ideas
- A few weeks of profitable scalping do not establish a durable expected return.
- Historical buy-and-hold results depend on the starting period and security selection.
- Trading capacity and account size affect whether returns can scale.
- Active trading must overcome fees and requires a persistent edge to outperform passive investing.
- The document offers cautions and opinions rather than a quantified futures return estimate.
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Full text
# Expected returns for scalping futures # Expected returns for scalping futures I've been an investor for about 12 years now. My annual return, November 2008 until today, is 25.77% on my stock portfolio, which is heavy on AAPL, BRK.B and recently TSLA. Mostly buy and hold, hardly any trades. I'm starting to expand my financial endeavors into day trading, specifically scalping futures on equity indexes. With about 50 trades or so, I made over 25% in less than a month now, that would be 14x p.a. OK it might beginner's luck, I don't expect these kinds of returns to persist. I did all these trades manually, and am transitioning to automated trading using IBKR and Pyhton. I'm reading what experts say about expected returns in day trading. Andreas Clenow prouds himself with a track record of 20% in trading futures (trend following) over the past few decades. This all seems really low to me - why do people go through all the hassle of trading if buy and hold gives equal or better returns? I would love to get some real life examples about what kind of returns I can expect with trading futures on the Nasdaq100 or S&P500? ## Answer by Bob Jansen (score 3) https://quant.stackexchange.com/a/54388 Renaissance Technologies averaged 66% a year since 1998. The worst funds will lose all their capital and then some. A small time investor like you can expect to make not more than than buy and hold before fees. I advise you to read up on the efficient-market hypothesis, when you have digested that and you've come to the conclusion that it doesn't hold for you because you have a special edge, the next step could be a book about active portfolio management. ## Answer by Chris Taylor (score 2) https://quant.stackexchange.com/a/54401 Note that your buy and hold returns of 25% are extremely atypical, partly because you started at a very good time (right in the middle of the credit crisis so you missed the majority of the 2008 drawdown, and just before the biggest bull market for US stocks in history). You also appear to have got lucky with stock selection, with overweights in Apple and Tesla which both did very well over this period. You should not expect your buy and hold returns to be this good in the future - personally I think upper single digits is a reasonable expectation for buy and hold US stocks. ## Answer by TommyF (score 1) https://quant.stackexchange.com/a/54403 What hasn't been mentioned so far is the investment size which plays a big factor here as well. A multi year buy & hold can accommodate a very large position, whereas your scalping was probably done with very few contracts and could not be expanded to similar position size. TLDR: 20% on a small account is not the same as 20% on a large account.
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