Futures lot size: how contract count changes a backtest
More contracts multiply dollar profit, costs, margin and drawdown by the same factor and leave the strategy's quality unchanged. Pick the lot count from the drawdown you can sit through, and add slippage once the size gets large.
By Soren Huang · Published · updated · Editorial policy
Contents
- What does 口數 mean, and what changes when you add lots?
- Should you trade a fixed number of lots or scale with account equity?
- How do trading costs change when you add contracts?
- Why do drawdown and margin grow with lots when quality does not?
- How many futures contracts should you trade? (期貨幾口)
- Where does a backtest stop being realistic at large size?
- Frequently asked questions
What does 口數 mean, and what changes when you add lots?
Choose the number of futures contracts (口數) from the drawdown you can live through, not from the profit you hope for. Doubling the lots doubles dollar profit, dollar drawdown, costs and margin. It does not change the strategy's quality: win rate, profit factor and average trade per contract stay the same. At large sizes, slippage also grows.
A lot (口) is one futures contract. The lot size (口數) is the number of contracts in each trade. When a trader asks 期貨幾口, the question is how many contracts to buy or sell on each signal. For sizing a single trade from a stop distance, the free position size calculator turns account risk and stop distance into a contract count. Contract count and the stop loss work as a pair, because stop distance times lots is what one trade can lose.
The main rule for backtests is simple. Lot size multiplies every dollar figure by the same factor and leaves every ratio unchanged.
| Backtest figure | When you double the lots |
|---|---|
| Net profit in dollars | Doubles |
| Maximum drawdown in dollars | Doubles |
| Commission and fees | Double |
| Margin required | Doubles |
| Drawdown as a share of the account | Doubles |
| Number of trades | Stays the same |
| Win rate | Stays the same |
| Profit factor (gross wins ÷ gross losses) | Stays the same |
| Average trade per contract | Stays the same |
| Net profit ÷ maximum drawdown | Stays the same |
Hypothetical example
A strategy makes 300 trades. At one contract, the gross result is $110 per trade, the round-trip cost is $10 per contract, and the net average trade is $100. The table shows the same trades at 1, 2 and 4 contracts. The last row assumes a $50,000 account.
| 1 lot | 2 lots | 4 lots | |
|---|---|---|---|
| Total costs | $3,000 | $6,000 | $12,000 |
| Net profit | $30,000 | $60,000 | $120,000 |
| Maximum drawdown | $6,000 | $12,000 | $24,000 |
| Net profit ÷ drawdown | 5.0 | 5.0 | 5.0 |
| Profit factor | 1.4 | 1.4 | 1.4 |
| Drawdown on a $50,000 account | 12% | 24% | 48% |
Should you trade a fixed number of lots or scale with account equity?
Judge a strategy with a fixed number of lots first, because equity-scaled sizing mixes the strategy's edge with the luck of the trade order.
Fixed-lot sizing is trading the same number of contracts on every signal, whatever the account balance. Equity-scaled sizing is recalculating the number of contracts from the current account equity, so the size grows after gains and shrinks after losses. It is also called fixed-fractional sizing, because each trade risks a fixed fraction of the account. When you weigh fixed-fractional sizing, the Kelly criterion calculator turns a win rate and win/loss ratio into the fraction of the account those numbers would suggest risking.
| Question | Fixed lots | Equity-scaled lots |
|---|---|---|
| Shape of the equity curve | Grows roughly in a straight line if the edge is steady | Curves upward; the last years dominate the total |
| Does the order of trades change the total? | No | Yes; an early losing streak shrinks all later trades |
| Largest dollar drawdown | Depends on the market, not on past profits | Tends to appear late, when the size is largest |
| Small accounts | Simple to follow | Rounding to whole contracts often gives 0 or 1 |
| Best use | Comparing and validating strategies | Planning how size grows in live trading |
Rounding is the problem traders meet first. You cannot trade 0.75 of a contract, so a small account has only a few possible sizes.
Hypothetical example
An account of $30,000 risks 2% per trade, which is $600. The stop costs $800 per contract on a standard contract. The size is 600 ÷ 800 = 0.75, which rounds down to 0 contracts. On a micro contract one tenth the size, the stop costs $80, so the size is 7 contracts (7.5 rounded down).
Even fixed lots do not give constant risk over long histories. When an index rises a lot over many years, one contract moves more dollars per day than it did at the start. Look at results by year before you trust a long fixed-lot curve.
How do trading costs change when you add contracts?
Costs grow in exact proportion to the lot count, so adding contracts never turns a thin edge into a usable one.
Most futures commissions and exchange fees are charged per contract on each side, entry and exit. Normal slippage is also counted per contract. So the round-trip cost per contract stays fixed. With twice the lots you pay twice the cost on twice the gross result. Costs take the same share of the gross profit as before.
This makes one check independent of size: compare the gross average trade per contract with the round-trip cost per contract. In the first example, $110 gross against $10 of cost leaves room for slippage to rise. A strategy with $15 gross against $10 of cost has almost no room, at any lot count. The article on trading costs in backtests explains how to estimate commission and slippage for this test.
A fixed monthly fee, such as a data or platform fee, is spread thinner with more lots. That changes the account's total cost, not the per-contract test.
AlphaPrime (Valynox) evaluates each candidate with fees, slippage and next-bar execution. Its backtesting also respects trading sessions, so the average trade you compare is already net of costs.
Why do drawdown and margin grow with lots when quality does not?
Each extra lot adds the same margin and the same dollar drawdown, so the account carries more risk while the strategy stays exactly as good as before.
Initial margin is the deposit the exchange and broker require before you can open one contract. Maintenance margin is the lower level the account must stay above while the position is open. Both are set per contract, so four lots need four times the margin of one lot.
Drawdown and margin draw on the same cash. A drawdown reduces the equity that supports the open positions. With many lots, a normal losing streak can push equity below maintenance margin. The broker then asks for more money or closes positions, often near the worst point of the drawdown. The strategy then stops trading just before a possible recovery. A one-lot backtest does not show this.
Return on the account rises with lots, but drawdown on the account rises by the same factor. In the first example, the ratio of net profit to drawdown stayed at 5.0 at every size.
How many futures contracts should you trade? (期貨幾口)
Trade the number of lots at which a drawdown deeper than the backtest's worst would still be one you can sit through, with margin fitting on top.
Sizing from hoped-for profit ("I want this much per month, so I need N lots") picks the size from the number a backtest is least able to promise. Drawdown is a better anchor, because you can decide in advance how much loss you can accept. Follow these steps:
- Run the backtest at one contract with realistic costs. Note the maximum drawdown per contract. AlphaPrime's Performance Report shows equity, drawdown and trades; for your own equity series, the free drawdown calculator finds the maximum drawdown and recovery.
- Decide the dollar drawdown you accept for this strategy before you look at its profit.
- Multiply the backtest drawdown by a safety multiple. The backtest shows one path through history, and the future can be deeper. Many traders plan for 1.5 to 2 times the historical worst.
- Divide the accepted drawdown by the result and round down.
- Check margin: the margin for all lots plus the accepted drawdown must fit inside the account, with cash left over.
- If the answer is below 1, use a smaller contract or a different strategy.
The calculation in steps 3 and 4 is one formula:
Contracts = D ÷ (M × S), rounded down. D is the dollar drawdown you accept. M is the backtest's maximum drawdown for one contract. S is the safety multiple, for example 2.
Hypothetical example
An account of $100,000 accepts a $20,000 drawdown on one strategy. The backtest's maximum drawdown is $4,000 per contract. With a safety multiple of 2, that is $8,000 per contract. 20,000 ÷ 8,000 = 2.5, so the size is 2 contracts. With an assumed margin of $6,000 per contract, margin is $12,000. Margin plus the accepted drawdown is $32,000, which fits in the account. Sized from profit instead, wanting $5,000 a month from a backtest that averaged $1,000 a month per contract gives 5 contracts. The planned drawdown is then 5 × $8,000 = $40,000, or 40% of the account.
Smaller contract versions make the steps finer. Each version below has the same price movement but a smaller value per index point.
| Contract | Value per index point | Equal to one large contract |
|---|---|---|
| TAIEX futures (TX) | NT$200 | 1 TX |
| Mini-TAIEX futures (MTX) | NT$50 | 4 MTX |
| Micro TAIEX futures (TMF) | NT$10 | 20 TMF |
| E-mini S&P 500 (ES) | US$50 | 1 ES |
| Micro E-mini S&P 500 (MES) | US$5 | 10 MES |
Exchanges can change contract values, margins and fees, so confirm them on the exchange's contract page before you size a live account. The free futures contract calculator shows tick size, tick value and point value, and converts a price move into profit or loss.
Where does a backtest stop being realistic at large size?
Once your order is a noticeable part of the volume traded at that moment, a backtest that fills every lot at the same price and slippage is too optimistic.
Think of a small shop: one customer buys at the posted price, but a customer who wants the whole shelf pushes the price up. Market depth is the number of contracts waiting to trade at each price near the current price. A small market order trades at the best price. A large one uses up the contracts at the best price and fills the rest at worse prices. Stop orders in a fast market and orders in thin hours, such as night sessions and days around holidays, meet less depth.
Check a planned size in this order:
- Compare your lot count with the typical volume per bar at your usual entry and exit times, using your own historical data. Your order should be a small part of that volume.
- Rerun the backtest with slippage per contract raised for that size, for example double and then triple your normal estimate.
- Look at the trades where price gapped through a stop. Large positions lose the most in exactly those moments.
- Prefer strategies whose gross average trade per contract is several times the round-trip cost. They keep their edge when slippage rises.
What this means if you use AlphaPrime: compare and validate strategies on their after-cost results per contract, which do not depend on lot size. Then choose the lot count from the drawdown in the Performance Report, and raise slippage when the planned size is large.
Frequently asked questions
What does 期貨口數 mean?
口 is one futures contract, and 口數 is the number of contracts in a trade or position. One lot of a large contract and one lot of a mini or micro contract are very different sizes. For example, one TAIEX future (TX) has the same point value as four Mini-TAIEX (MTX) or twenty Micro TAIEX (TMF) contracts. Compare sizes by value per point, not by lot count.
How many futures contracts should a beginner trade?
Size from drawdown, not from a profit goal. Take the backtest's maximum drawdown for one contract, multiply it by a safety multiple such as 2, and divide the drawdown you accept by that number. If the answer is below one, the smallest contract version is the natural starting point.
Does trading more contracts change win rate or profit factor?
No. With costs charged per contract, more lots multiply wins, losses and costs by the same factor, so win rate, profit factor and average trade per contract stay the same. The exception is large size, where real slippage rises and the live results become worse than the backtest.
How much money do I need to trade one futures contract?
Initial margin is only the minimum needed to open the position. Add a cash buffer for the drawdown you expect, ideally deeper than the backtest's worst, so a normal losing streak does not trigger a margin call. Margin levels change, so check your broker and the exchange's contract page.
Should a backtest use fixed lots or compounding?
Use fixed lots to evaluate and compare strategies, because the result does not depend on the order of trades. Use equity-scaled sizing afterwards to see how size and drawdown would grow in live trading. Ranking strategies on compounded profit rewards lucky trade sequences.