How to calculate futures profit: tick value, point value and costs

How do you calculate profit on a futures contract?

To calculate futures profit, multiply the price move in points by the contract's point value and the number of contracts, with the sign flipped for a short. Then subtract commission, exchange fees and slippage for both entry and exit. The result is the net profit or loss your account actually sees.

For a quick answer, the free futures contract and profit calculator does this arithmetic for ES, NQ, MES, MNQ and TAIEX futures: pick the contract, enter the entry and exit price and the number of contracts, and it shows the ticks, the tick value and the result after commission. The steps below show how it works, so you can check any number yourself.

The gross part fits in one line:

Gross P&L = (exit price − entry price) × point value × contracts × direction

• Exit price and entry price: exit price is the price that closed the trade and entry price is the price that opened it, both in index points.
• Point value is the money gained or lost when price moves one full point on one contract. Many traders call it the multiplier.
• Contracts is how many contracts you traded.
• Direction is +1 for a long trade and −1 for a short trade. A short profits when the exit price is lower than the entry price.

You can also count ticks instead of points. Tick size is the smallest price step a contract is allowed to move. Tick value is the money gained or lost when price moves one tick on one contract. Number of ticks times tick value gives the same gross result as points times point value.

Every futures calculator, whether it is a website, a spreadsheet or a backtest engine, does this same arithmetic. The answers differ only when the inputs differ: the wrong point value, missing costs or a fill price you could not have received.

What are the tick size, tick value and point value for ES, NQ, MES, MNQ and TAIEX futures?

The CME equity index contracts move in quarter points, so four ticks make one point, while the Taiwan index futures move in whole points, so one tick equals one point. The table lists the exchange specifications.

Two relationships are worth memorising. A micro CME contract is one tenth of its E-mini: MES is one tenth of ES, and MNQ is one tenth of NQ. On TAIFEX, 大台 is four times 小台, and 小台 is five times 微台.

Exchanges can change contract specifications, so take the current values from the CME or TAIFEX contract page each time you set up a calculation. For the other settings an index futures test needs, see five things to set first for ES and NQ backtesting.

What does a full calculation look like, from gross to net?

A full calculation has four steps, and the gross profit is only the first one. Work through them in this order:

1. Count the move. Exit price minus entry price, in points. Flip the sign for a short.
2. Convert to money. Points × point value × contracts. This is the gross result.
3. Subtract fixed costs. Commission and fees per contract, for entry and exit.
4. Subtract slippage. Slippage is the difference between the price you planned or tested at and the price you actually got. Count it in ticks per side and convert with the tick value.

Commission on micro contracts is usually lower than on the full-size contract, but it is seldom one tenth as low. Costs therefore take a larger share of each tick on MES and MNQ. A strategy that clears its costs on ES can fail to clear them on the micro version of the same trade.

Which costs do you subtract to get the net result?

Subtract every charge that is paid per contract, on both entry and exit, plus the price you lose to slippage. The list depends on the market:

Three more items change what you take home, even though they are not trading fees:

• Currency conversion. ES and NQ settle in US dollars. If your account is in NT$, your result also depends on the exchange rate and the conversion spread your broker charges.
• Rolling contracts. Holding a position into the next contract month means closing one contract and opening another. That is a second round trip with full costs.
• Margin is not a cost. Margin is the deposit the exchange requires to hold a position. It does not change the profit of a trade. It changes the capital you need, and therefore your return on that capital.

For a deeper look at how costs compare with the average trade, read trading costs in backtests: commission, slippage and the average trade.

How do you calculate profit and loss on TAIEX futures?

The method is the same, but the Taiwan contracts add a transaction tax that grows with the index level, so the cost is not a fixed amount per contract. Because one tick equals one point on TX, MTX and TMF, you can skip the tick-to-point conversion.

The tax is charged on contract value, so it rises as the index rises. A test that covers many years should apply it as a percentage, not as a fixed amount taken from today's index level. The TAIEX futures backtest checklist covers the other Taiwan-specific settings, such as day and night sessions.

How do you make a backtest report the same profit your account would see?

A backtest is a futures profit calculator run over thousands of trades, so it reports realistic profit only when it uses the same contract specs and costs you used by hand. Set these inputs before the first run:

AlphaPrime (Valynox) includes the settings that matter here, fees and slippage, next-bar execution and trading sessions, in the research scope of its backtesting. The Performance Report lists the individual trades next to equity and drawdown, so the three-trade hand check takes a few minutes. Matching specs make the report a correct record of the past. They do not make it a forecast.

What this means if you use AlphaPrime: enter the point value, commission and slippage of the exact contract you will trade before you start a search, so every candidate is ranked on net results. Then confirm a few trades by hand in the Performance Report before you trust the totals.