Foxconn stock futures: specs, rolls and backtest notes

Contents

1. What are the contract specs of Foxconn stock futures?
2. How is margin calculated for 鴻海期貨?
3. When do Foxconn futures expire, and how do you roll them in a backtest?
4. How do Hon Hai dividends affect the futures price and your backtest?
5. How liquid are Foxconn stock futures, and what does each trade cost?
6. How do you set up a Foxconn futures backtest step by step?
7. Frequently asked questions

Foxconn stock futures (鴻海股票期貨, product code DHF) are TAIFEX contracts on Hon Hai Precision (stock code 2317). Each contract covers two thousand shares and has its last trading day on the third Wednesday of the contract month. A good backtest models the monthly roll, how each cash dividend was handled, a tick size that depends on price, and per-contract costs.

What are the contract specs of Foxconn stock futures?

A one-dollar move in Hon Hai's price changes one futures contract by two thousand NT dollars, because the contract covers two thousand shares. A stock futures contract is an agreement to buy or sell the value of a fixed number of shares at a set price on a future date. The main specs below come from the Taiwan Futures Exchange (TAIFEX) stock futures contract page. Exchanges can change these values, so check the TAIFEX contract page before you set up a test.

Item	Foxconn stock futures
Underlying	Hon Hai Precision Industry common shares (2317)
Product code (鴻海期貨代號)	DHF
Contract size	Two thousand shares
Point value	Two thousand NT dollars per NT$1 move
Contract months	The current month, the next month, and the next three quarterly months (March, June, September, December): five months in all
Last trading day	Third Wednesday of the contract month
Regular trading hours	08:45 to 13:45 Taiwan time; 08:45 to 13:30 on the last trading day
Daily price limit	±10% of the previous day's settlement price

The tick size is the smallest price step a contract can move. For stock futures it changes with the price level, the same way it does for listed stocks. Multiply each tick by two thousand shares to get the value of one tick per contract:

Futures price (NT$)	Tick size	Tick value per contract
Below 10	0.01	NT$20
10 to below 50	0.05	NT$100
50 to below 100	0.1	NT$200
100 to below 500	0.5	One thousand NT dollars
500 to below one thousand	1	Two thousand NT dollars
One thousand and above	5	NT$10,000

The futures contract calculator turns a tick size and contract size into tick value and trade profit or loss. The futures market hours tool shows the TAIFEX session in your time zone.

The futures open 15 minutes before the stock market (09:00 to 13:30 on the Taiwan Stock Exchange) and close 15 minutes after it. During those minutes there is no live stock price, and futures volume is usually thinner. Decide in advance whether your strategy may trade in these minutes.

How is margin calculated for 鴻海期貨?

Margin for stock futures is a percentage of the contract value, so it rises and falls with Hon Hai's share price. Margin is the deposit your broker holds to cover possible losses on an open position. TAIFEX groups stock futures into risk levels and sets an initial and a maintenance margin rate for each level. These rates are reviewed and can change, so read the current level for DHF on the TAIFEX margin page, and check your broker's figure, which can be higher.

For a backtest, this matters in two ways. First, size the position from the contract value and your risk per trade, not from the margin. Second, if you test a fixed number of contracts over many years, the money at risk per contract changes a lot as the share price moves. Results in NT dollars from a low-price year and a high-price year are not directly comparable, so also look at returns relative to contract value.

When do Foxconn futures expire, and how do you roll them in a backtest?

Each contract stops trading on the third Wednesday of its month, so a strategy that holds positions for weeks must roll from one contract to the next. A roll means closing the expiring contract and opening the same position in the next month. If the third Wednesday is a holiday, the last trading day moves to the next business day. The final settlement price is based on the arithmetic average of Hon Hai's stock prices in the last 60 minutes before the stock market closes on that day. Stock futures follow the same third-Wednesday calendar as TAIEX futures, so the TAIEX futures settlement dates calendar also shows the DHF expiry days.

Back-adjusting is shifting all older prices by the price gap at each roll, so the joined series has no artificial jump. The general method for building a continuous series, joining the contract months and back-adjusting older prices, is the same for every Taiwan stock future. The UMC stock futures backtesting guide walks through it. Two points are specific to DHF:

1. Set the roll day from DHF volume. Look at DHF volume and open interest in the TAIFEX daily statistics and note the day when the next month usually takes over from the nearest month. Roll on or before that day, so your test does not trade in the thin final sessions of the expiring contract.
2. Charge each roll at Foxconn's tick size. A roll is a full round trip: two commissions, two tax payments and slippage on both legs. With one tick of slippage per leg and the price between NT$100 and NT$500, the slippage alone is two ticks of one thousand NT dollars each, so two thousand NT dollars per contract per roll. A strategy that holds for months pays this every month.

How do Hon Hai dividends affect the futures price and your backtest?

A Hon Hai cash dividend reaches a futures backtest in one of two ways, through the futures price or through a TAIFEX contract adjustment, and which one applies depends on the TAIFEX adjustment rules in force for that ex-dividend date. The ex-dividend date is the first day the stock trades without the right to the coming dividend; on that day the stock price drops by about the dividend. Check the TAIFEX contract adjustment announcements for each ex-dividend date in your history, and record which way each dividend was handled.

When no contract adjustment applies, the futures holder does not receive the dividend, so the futures price already includes the expected drop before the ex-date. Think of it like buying a house when the tenant's next rent payment still goes to the seller: you pay less for the house by about that amount. In plain words, the fair futures price is then roughly:

Futures ≈ Stock + Carry − Dividend

Here Stock is the current share price, Carry is the interest cost of holding the shares until expiry, and Dividend is the cash dividend expected before expiry.

When TAIFEX adjusts the contract for a dividend instead, the adjustment announcement sets out the changed contract terms from the ex-dividend date. In that case the futures price does not carry the dividend as a discount in the same way, and your data around that date must follow the adjusted contract. Other corporate actions, such as stock dividends or capital changes, can also lead TAIFEX to adjust existing contracts, and these appear in the same announcements.

One more dividend point matters. If you develop signals on dividend-adjusted stock data and then trade the futures, the two price series differ around every ex-date, so test on the futures series you will trade.

How liquid are Foxconn stock futures, and what does each trade cost?

For a stock future, slippage of one tick usually costs far more than the commission and the tax, so the tick size drives the cost model. Slippage is the difference between the price your backtest assumes and the price you actually get. Liquidity also varies by month and time of day, so check your own data for the nearest contract's bid and ask before you choose a slippage figure.

The cost items per side (entry or exit) are:

• Broker commission, a fixed amount per contract that your broker sets; exchange fees are usually part of it.
• Futures transaction tax, 0.002% of the contract value for stock futures, under Taiwan's Futures Transaction Tax Act.
• Slippage, in ticks, valued at the tick size for the price level.

A strategy that worked when the price sat below NT$100 can lose its edge above it, because each tick costs a larger share of the move. Rerun the test with double the slippage. If the result turns negative, the strategy depends on cheap fills. The guide to trading costs in backtests explains the average-trade check in more detail. Periodic performance in the performance report of AlphaPrime (Valynox) shows the periods above NT$100 apart from the ones below it, so you can see whether the edge faded as the price rose.

How do you set up a Foxconn futures backtest step by step?

Set the contract, the session, the roll and the costs before the first run, so every result already reflects a tradable version of the strategy. In AlphaPrime, the backtesting setup covers data resolution, fees and slippage, and trading sessions; next-bar execution is always on.

1. Load back-adjusted DHF bars with a fixed roll rule, and plot the joins around each expiry and ex-dividend period. Mark the ex-dividend dates where TAIFEX adjusted the contract.
2. Set the point value to two thousand NT dollars per NT$1 move.
3. Set the session to 08:45 to 13:45 Taiwan time, and decide whether the 15 minutes outside stock market hours are allowed for entries.
4. Enter costs per contract: commission, the 0.002% tax, and slippage in ticks at the tick size of the price level you trade.
5. Next-bar execution is a fixed rule in AlphaPrime: a signal at a bar's close always fills on the following bar.
6. Split the results by price level, for example years below NT$100 and years above it, and check that the strategy holds in both.

What this means if you use AlphaPrime: enter the DHF point value, the TAIFEX session and per-contract fees and slippage once, and AlphaPrime evaluates every candidate strategy with those costs and next-bar execution. Review the results by period in the Performance Report to see whether the strategy held up on both sides of the NT$100 tick change.

Frequently asked questions

What is the product code for 鴻海期貨?

The TAIFEX product code for Foxconn (Hon Hai) stock futures is DHF. The underlying stock trades on the Taiwan Stock Exchange under code 2317. Broker platforms add a month and year suffix to the code for each contract month, so check how your platform writes it.

How many shares does one Foxconn stock futures contract cover?

One standard contract covers two thousand Hon Hai shares. A one-dollar move in the futures price therefore changes the position value by two thousand NT dollars per contract. The value of one tick depends on the price level, for example one thousand NT dollars when the price is between 100 and 500.

When do Foxconn stock futures expire?

The last trading day is the third Wednesday of the contract month, or the next business day if that Wednesday is a holiday. On that day the contract trades until 13:30. The final settlement price is based on the average stock price in the last 60 minutes before the stock market close.

How are Hon Hai cash dividends handled in Foxconn stock futures?

A cash dividend is reflected either in the futures price or through a TAIFEX contract adjustment, depending on the TAIFEX adjustment rules in force for that ex-dividend date. Without an adjustment, the futures holder does not receive the dividend and the futures price trades lower by about the expected dividend. Check the TAIFEX contract adjustment announcements for each ex-dividend date in your backtest history.

Can I backtest Foxconn futures on Hon Hai stock data instead?

You can use stock data for ideas, but the results will differ from the futures around every ex-dividend date and at the session edges. The futures also trade 15 minutes before and after the stock market. Test the final strategy on back-adjusted DHF bars with futures costs.