FTSE Taiwan index futures: specs vs TAIEX and backtest notes

Contents

1. What is 富台指, and who lists it?
2. How do point value, tick size and margin compare with TX and MTX?
3. When does 富台指 trade, and how does it settle?
4. How liquid is 富台指, and what fills should a backtest assume?
5. How much 富台指 history can you test, and where does it come from?
6. Can a TX strategy be tested on 富台指?
7. Frequently asked questions
8. References

What is 富台指, and who lists it?

富台指 (Fu Tai Zhi) is the Taiwanese name for the FTSE Taiwan Index futures listed on Singapore Exchange (SGX). It tracks a FTSE Russell index of large and mid-sized Taiwanese stocks, not the TAIEX, and it is priced in US dollars. To test it, use SGX's specifications, SGX session times, cautious slippage and history from this contract only.

富台指指數 (the FTSE Taiwan Index, 富時台灣指數) is a stock index from FTSE Russell that holds the large and mid-sized companies listed in Taiwan, weighted by the part of their shares that investors can actually buy (free float). The TAIEX (加權指數) is the Taiwan Stock Exchange's index of all its listed common stocks, weighted by market value. Both indexes are dominated by the same largest companies, so they usually move in the same direction. They do not move point for point, and their index levels are very different numbers. If your main market is the Taiwan-listed contract, see how a TAIEX futures backtest is set up.

Older traders may remember 摩台指. That was SGX's earlier Taiwan index futures contract, and it tracked the MSCI Taiwan Index. It is a different index and a different contract, so its prices are not the history of 富台指.

Before you test anything, read these fields on the SGX contract page for the FTSE Taiwan Index futures and write them into your notes:

1. Contract size: the US dollar amount per index point.
2. Minimum price fluctuation: the tick size in index points and its dollar value.
3. Trading hours: the day session, the night session and any break between them.
4. Contract months: which months are listed and which one is most traded.
5. Last trading day and final settlement price: when the contract expires and how the settlement price is set.
6. Margin: the clearing house's current initial and maintenance margin.

How do point value, tick size and margin compare with TX and MTX?

TX and MTX share the TAIEX and differ only in size, while 富台指 differs in index, currency and size, so you compare them by notional value, not by points. Point value is the amount of money one full index point is worth for one contract. Tick size is the smallest step the price can move. Notional value is the index level multiplied by the point value. It is the total market exposure that one contract controls.

	TX (台指期)	MTX (小台指)	富台指 (SGX FTSE Taiwan)
Exchange	TAIFEX	TAIFEX	SGX
Underlying index	TAIEX	TAIEX	FTSE Taiwan Index
Currency	New Taiwan dollar	New Taiwan dollar	US dollar
Point value	NT$200 per point	NT$50 per point	See the SGX contract page
Tick size	1 point (NT$200)	1 point (NT$50)	See the SGX contract page
Margin set by	TAIFEX, plus your broker	TAIFEX, plus your broker	SGX clearing, plus your broker
Settlement	Cash	Cash	Cash

The currency matters for the backtest. A 富台指 trade wins or loses US dollars. If your account is in New Taiwan dollars, your result in NT$ also moves with the exchange rate between entry and the day you convert. A backtest that reports US dollars and a backtest that reports NT$ are therefore not directly comparable. Pick one reporting currency and state it.

You can check tick values and the profit or loss of a single trade with the futures contract calculator. For the TAIFEX side, the TAIEX futures margin calculator shows TX, MTX and Micro-TAIEX margin per contract. Margin on both exchanges changes when volatility changes. Set your backtest account size from the margin you would face in a volatile month, not a quiet one.

When does 富台指 trade, and how does it settle?

富台指 follows SGX's session calendar and SGX's expiry rules, so your backtest's session and roll settings must come from SGX, not from TAIFEX. TAIFEX trades TX and MTX in a regular session from 08:45 to 13:45 Taiwan time and an after-hours session from 15:00 to 05:00 the next morning. SGX sets its own day and night sessions for 富台指. Look them up on the SGX contract page, or see them in your own time zone with the futures market hours tool.

Taipei and Singapore both use UTC+8, and neither uses daylight saving time. Exchange times therefore line up all year. Your data file may still be stored in UTC or in your data vendor's own time zone, so open a few bars and check that the first bar of each session sits where SGX says it should.

Three session settings decide how a 富台指 backtest behaves:

1. Session template. Match the session start and end to SGX. If you use TAIFEX times by mistake, daily bars and "end of day" exits fall at the wrong moment.
2. Trading day assignment. Decide whether night-session bars belong to the next trading day or to the calendar date. A daily stop or a "flat by session end" rule depends on this choice.
3. Holiday calendar. SGX and Taiwan publish separate holiday calendars. Compare them, and mark the days when the exchange is open but Taiwan's stock market is closed, because the index cannot update on those days.

All three contracts are cash-settled. No shares change hands, and an open position at expiry is closed at the final settlement price. TX and MTX have their last trading day on the third Wednesday of the contract month. 富台指 has its own last trading day and settlement rule on the SGX page, so its roll dates in a continuous series can differ from TX roll dates. Exchanges can change contract sizes, ticks, hours and margins, so check the exchange's contract page before each new test, not only once.

How liquid is 富台指, and what fills should a backtest assume?

Measure liquidity in your own data, hour by hour, and assume worse fills where volume is thin. An index future usually trades most actively while the stocks in its index are trading, and it trades less in other hours. A backtest that charges the same small slippage at every hour treats the quiet hours as if they were the busy ones.

Slippage means you fill at a worse price than the one the backtest assumed. Set it up in this order:

1. Count volume per bar. Group your 富台指 bars by hour of the day and look at the typical volume. You will see which hours carry the trading and which hours are thin.
2. Set slippage per side in ticks. Start with at least one tick per side for market and stop orders. Use more for the thin hours and for entries right at the session open.
3. Execute on the next bar. A rule that decides at the close of a bar should fill on the next bar. Filling on the same closing price uses a price you could not have traded.
4. Add commission in US dollars. Your broker charges 富台指 commission per contract, usually in US dollars, plus exchange and clearing fees. Use the full round trip.
5. Stress-test. Run the test again with double the slippage. If the result turns negative, the strategy depended on cheap fills.

Then compare the average trade with the round-trip cost, as described in trading costs in backtests: commission, slippage and the average trade. Limit orders cut slippage but may not fill. Filling every limit order the moment price touches it makes a backtest optimistic.

How much 富台指 history can you test, and where does it come from?

The FTSE contract's own history is shorter than the TX history, and you should not lengthen it by joining MSCI Taiwan (摩台指) prices to it. A continuous contract is one long price series built by joining successive contract months. It needs adjustment at each roll, because the old and new month trade at different prices. If you join a different index on top of that, the backtest learns a jump that never happened in any contract you could trade.

Data source	Good for	Not good for
富台指 futures bars (FTSE contract)	The final test: real prices, real sessions, real rolls, realistic costs	Long-term tests, because the history is short
FTSE Taiwan Index cash series	Early signal research on a longer history	Costs, fills, night sessions and roll effects, because it is not a traded contract
TX or MTX futures bars	A long history of a closely related market, for checking that an idea is robust	Direct use: different index, different point levels, different currency
MSCI Taiwan futures bars (摩台指)	Historical study of that contract only	Splicing onto 富台指 history

A short history gives fewer trades and fewer walk-forward windows. It also makes it easier to find a strategy that looks good by luck. Bailey and co-authors showed that the more variants you try on a short history, the more likely the best backtest is a product of chance. With little 富台指 data, test fewer variants, keep the rules simple, and check each one on TX history as a second market. For gaps, bad ticks, time zones and rolls, follow backtest data quality: gaps, bad ticks, time zones and rolls. Walk-forward analysis against thresholds you set is what AlphaPrime (Valynox) runs in strategy validation, so a thin 富台指 history has to clear the same bar as any other market.

Can a TX strategy be tested on 富台指?

Yes, and running the same rules on both markets is a useful robustness check, as long as you convert anything written in fixed points. A stop of 100 points means very different things on the TAIEX and on the FTSE Taiwan Index, because their index levels differ. Express stops, targets and filters as a percentage of price or as a multiple of recent volatility before you move the rules across.

Read the two results side by side. If a rule works on TX and roughly holds on 富台指 after costs, the idea likely reflects how Taiwan's large stocks move, not one contract's quirks. If it works on one and fails on the other, look first at sessions, costs and roll dates before you trust either result. AlphaPrime runs backtesting on your own historical bar data with fees and slippage, next-bar execution and trading sessions, so each contract can be tested with its own sessions, fees and slippage.

What this means if you use AlphaPrime: load 富台指 bars with SGX session times and US-dollar costs, and keep TX as a second market for checking robustness. Treat a strategy that holds up on both, after realistic slippage, as a better candidate than one that shines on a single short history.

Frequently asked questions

Is 富台指 the same as 台指期?

No. 台指期 (TX) is listed on TAIFEX, tracks the TAIEX and is priced in New Taiwan dollars. 富台指 is listed on SGX, tracks the FTSE Taiwan Index and is priced in US dollars. The two usually move in the same direction, but their specifications, hours and expiry dates differ.

What is the 富台指期貨規格 (contract specification)?

The official specification is the SGX contract page for the FTSE Taiwan Index futures. It lists the contract size in US dollars per point, the tick size, trading hours, contract months, last trading day and settlement method. Read it before each test, because exchanges can change these values.

Can I use MSCI Taiwan (摩台指) data to backtest 富台指?

Not as one joined series. 摩台指 tracked the MSCI Taiwan Index, a different index from the FTSE Taiwan Index. Joining the two creates price jumps that no tradable contract ever had. Use FTSE-contract history for the final test.

Do 富台指 and TX expire on the same day?

Not necessarily. TX and MTX have their last trading day on the third Wednesday of the contract month. 富台指 follows its own SGX expiry rule. Set the roll dates for each contract separately in a continuous series.

How do I compare the size of 富台指 with TX or MTX?

Compare notional value: index level times point value, converted to one currency. Use the current index levels, the point value from each exchange's page and today's exchange rate. Comparing points directly does not work, because the two indexes sit at very different levels.

References

• Bailey, D. H., Borwein, J., López de Prado, M., & Zhu, Q. J. (2014). Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance. Notices of the American Mathematical Society, 61(5), 458–471.