Futures terms in English and Chinese: a glossary for backtesting
Most futures terms map one-to-one between English and Chinese, but the values behind them differ by contract. Learn the words used in settings and reports, then re-enter point value, costs, sessions and roll dates for each market you test.
By Soren Huang · Published · updated · Editorial policy
Contents
期貨 is "futures" in English. A contract is 契約 and is counted in 口 (lots). A tick is the smallest price step, and point value is the money one full point is worth. Margin is 保證金 and settlement is 結算. Backtest settings add slippage, commission and session. Reports add drawdown, profit factor and expectancy.
What are the basic futures contract terms in English?
Six words describe almost every futures contract: contract, lot, tick, point value, margin and settlement. Learn them first, because every backtest setting is built on them.
| English | Chinese (Taiwan) | Definition | Where it matters in a backtest |
|---|---|---|---|
| Futures contract | 期貨契約 (also 合約) | A futures contract is a standard agreement, traded on an exchange, to buy or sell an underlying asset on a later date at a price agreed today. | The symbol and data series you load. |
| Lot | 口 | A lot is one contract, so "buy 2 lots" is 買 2 口. | Position size. US platforms usually say "contracts". |
| Tick | 最小升降單位 (跳動點) | A tick is the smallest price change the exchange allows. | Slippage is often entered in ticks. |
| Point value | 每點價值 (契約乘數) | Point value is the money that a move of one full price point is worth for one contract. | Turns price moves into money in every result. |
| Margin | 保證金 | Margin is the deposit a broker holds while a position is open. It is split into initial margin (原始保證金) and maintenance margin (維持保證金). | Account size and how many contracts you can hold. |
| Settlement | 結算 | Settlement is the exchange's process of fixing a price and moving gains and losses between accounts. It happens daily (每日結算) and finally at expiry (最後結算). | Expiry dates decide when a backtest must roll. |
Two of these are easy to mix up. Tick size is a price step, and tick value is money: tick value equals tick size times point value. Margin is often misread as a cost. It decides how many contracts an account can hold. It does not decide how much a trade earns or loses. Price change times point value decides that.
The free futures contract calculator converts ticks and points into money for a chosen contract.
Hypothetical example
TAIEX futures (TX) rise 20 points. One TX contract is worth NT$200 per point, so the move is worth 20 × 200 = NT$4,000 per contract. The same 20 points on one Mini-TAIEX (MTX) contract, at NT$50 per point, is NT$1,000. The E-mini S&P 500 (ES) rises 10 points. That is 40 ticks of 0.25 points. At US$12.50 per tick, the move is worth US$500 per contract.
Exchanges can change contract values such as margin, fees and trading hours. Check the exchange's contract page (TAIFEX for Taiwan futures, CME Group for ES) before you enter them in a backtest.
What do long, short, open interest and rollover mean?
Long and short describe your own position, open interest describes the whole market, and rollover is the step that keeps a long backtest connected across expiries.
| English | Chinese (Taiwan) | Definition |
|---|---|---|
| Long | 做多, 多單 | A long position is one you opened by buying. It gains when the price rises. |
| Short | 做空, 空單 | A short position is one you opened by selling. It gains when the price falls. In futures, going short needs no borrowing. |
| Open / close a position | 新倉 / 平倉 | Opening creates a position (部位). Closing, also called "flattening", ends it. |
| Open interest | 未平倉量 | Open interest is the number of contracts that are still open at the end of a trading day. |
| Volume | 成交量 | Volume is the number of contracts traded during a period. |
| Front month / back month | 近月 / 遠月 | The front month is the contract with the nearest expiry. Back months expire later. |
| Rollover | 轉倉 (換月) | Rollover is closing a position in the expiring contract and opening the same position in the next contract. |
| Continuous contract | 連續月 | A continuous contract is one price series joined together from many expiring contracts. |
Open interest counts contracts, not traders. Every open contract has one long side and one short side. So "open interest rose" means that new contracts were created. It does not mean buyers beat sellers.
Rollover matters in a backtest because a ten-year history has to be built from many short-lived contracts. The next contract usually trades at a different price, so the joined series can jump on the roll day. A back-adjusted series shifts older prices to remove that jump. An unadjusted series keeps the jump, and a backtest can read it as a real profit or loss.
Which terms will you meet in backtest settings?
Backtest settings use cost and time words such as commission, slippage and session, and each one changes the result before a single trading rule is tested.
| Setting | Chinese (Taiwan) | What it controls | Common mix-up |
|---|---|---|---|
| Commission | 手續費 | Commission is the broker's charge per contract for each trade. | Per side (單邊) or round turn (來回, entry plus exit). |
| Tax and exchange fees | 期交稅 (期貨交易稅) | In Taiwan, futures transaction tax is charged on contract value. In the US, exchange and regulatory (NFA) fees are added to commission. | A tax charged on contract value grows as the index level rises. A fixed amount per contract does not. |
| Slippage | 滑價 | Slippage is the difference between the price the backtest assumes and the price you would actually get. | Ticks per side or ticks per round turn. |
| Session | 交易時段 | A session is the block of hours whose bars the backtest uses. | Day session only, or day plus night session. |
| Bar, timeframe | K棒, 週期 | A bar is one candle that covers a fixed period, such as a 5-minute bar (5分K). | Bar time stamps at the start or at the end of the bar. |
| Next-bar execution | 下一根K棒成交 | Next-bar execution (N+1) means a signal at the bar's close is filled on the next bar. | Filling on the same close uses a price you could not have traded. |
In AlphaPrime (Valynox), backtesting covers data resolution, next-bar execution, fees and slippage and trading sessions. AlphaPrime applies the same settings to every candidate strategy, so the results can be compared with each other. To set the session correctly, look up each exchange's hours in your own time zone with the free futures market hours tool.
Which terms will you meet in a backtest report?
Reports use a small set of words, and three of them, drawdown, profit factor and expectancy, tell you the most about the size and shape of a strategy's edge. Expectancy tells you the edge, and the risk of ruin calculator shows how win rate, win/loss ratio and risk per trade turn that edge into the chance of losing a chosen part of the account.
| English | Chinese (Taiwan) | Definition |
|---|---|---|
| Net profit | 淨利, 淨損益 | Net profit is the total result of all trades after costs. |
| Gross profit / gross loss | 總獲利 / 總虧損 | Gross profit is the sum of all winning trades. Gross loss is the sum of all losing trades. |
| Drawdown | 回撤 (also 拉回) | Drawdown is the fall in account equity from its highest point to the low that follows. |
| Maximum drawdown | 最大回撤 (MDD) | Maximum drawdown is the largest such fall in the whole test. |
| Profit factor | 獲利因子 | Profit factor is gross profit divided by gross loss. |
| Expectancy | 期望值 | Expectancy is the average result per trade, after costs, over all trades. |
| Win rate | 勝率 | Win rate is the share of trades that closed with a profit. |
| Equity curve | 權益曲線 (資金曲線) | An equity curve is the line of account value after each trade or each bar. |
| In-sample / out-of-sample | 樣本內 / 樣本外 | In-sample data was used to build the rules. Out-of-sample data was kept aside to test them. |
Profit factor has one formula:
Profit factor = gross profit ÷ gross loss
Gross profit is the money from all winning trades added together. Gross loss is the money from all losing trades added together, written as a positive number. A value above 1 means the winners brought in more than the losers took away. Both numbers should include commission and slippage. Otherwise the ratio describes price movement, not a tradable result.
Hypothetical example
A test has 100 trades after costs. 40 winners average NT$3,000, so gross profit is NT$120,000. 60 losers average NT$1,500, so gross loss is NT$90,000. Profit factor is 120,000 ÷ 90,000 = 1.33. Net profit is NT$30,000, and expectancy is 30,000 ÷ 100 = NT$300 per trade. The win rate is only 40%, yet the result is positive, because the average win is twice the average loss.
The free win rate and expectancy calculator does the expectancy arithmetic from your own numbers. The free drawdown calculator finds maximum drawdown and recovery from an equity series. AlphaPrime's Performance Report shows equity, drawdown, trades, periodic performance and long and short analysis.
How do the terms differ between TAIEX futures and US futures such as ES?
The English words are the same for both markets, but the numbers and habits behind them differ, so settings copied from an ES backtest into a TAIEX backtest can be wrong in several places.
| Term | TAIEX futures (TX) | E-mini S&P 500 (ES) |
|---|---|---|
| Exchange | TAIFEX | CME Group (CME Globex) |
| Point value | NT$200 (MTX NT$50, TMF NT$10) | US$50 (Micro MES US$5) |
| Tick | 1 index point (NT$200 on TX) | 0.25 index point (US$12.50 on ES) |
| Contract months | Three consecutive near months plus three quarterly months | Quarterly: March, June, September, December (month codes H, M, U, Z) |
| Last trading day | Third Wednesday of the contract month | Third Friday of the contract month |
| Settlement | Cash settled | Cash settled |
| Sessions | Day session (日盤) 08:45–13:45 and night session (夜盤) 15:00–05:00 the next day, Taiwan time | Sunday to Friday, 6:00 p.m. to 5:00 p.m. ET the next day, with a daily break from 5:00 to 6:00 p.m. ET |
| Cost words | 手續費 plus 期交稅 | Commission plus exchange and NFA fees |
Two session details often catch traders who switch markets. TAIFEX counts night-session trades as part of the next business day. A Monday evening bar therefore belongs to Tuesday's trading day. For ES, the daily break falls at 05:00–06:00 Taiwan time during US daylight saving time and at 06:00–07:00 in the US winter. Many traders also say RTH (regular trading hours) for the US stock market hours, 9:30 a.m. to 4:00 p.m. ET, and ETH (extended trading hours) for the rest.
Chart and data names differ too. Taiwanese names such as 小台近全 combine the month (近 = near month) and the session (全 = all sessions). US contract symbols join the root, the month letter and a year digit, such as ESZ plus a digit for a December contract.
When you move a backtest from one market to the other, re-enter these four settings:
- Point value and currency. NT$200 per point and US$50 per point give very different money results for the same point move.
- Cost structure. In Taiwan, add the transaction tax to commission. For US futures, add exchange and regulatory fees.
- Session definition. Choose day only or full session, and use the correct time zone.
- Roll schedule. TX near-month data rolls every month. ES rolls four times a year.
What this means if you use AlphaPrime: AlphaPrime supports TAIEX futures and other futures markets. Enter each market's own fees, slippage and trading session before a search, and read drawdown and trades in the Performance Report using the terms above.
Frequently asked questions
How do you say 期貨 in English?
期貨 is "futures" in English. It is usually plural, as in "futures market" or "futures trading". One contract is "a futures contract", and 一口 is "one contract" or "one lot". 台指期 is called "TAIEX futures".
What is 滑價 in English, and how much should I enter?
滑價 is "slippage", the gap between the price a backtest assumes and the price you actually get. Many traders start with at least one tick per side for liquid futures traded with market or stop orders, and more for less liquid contracts. The guide to trading costs in backtests shows how to compare slippage with the average trade.
What is 保證金 in English, and is it a trading cost?
保證金 is "margin". 原始保證金 is "initial margin" and 維持保證金 is "maintenance margin". Margin is a deposit, not a cost, but it limits how many contracts an account can hold. The TAIEX futures margin calculator shows margin per contract for TX, MTX and TMF.
What does MDD mean in a backtest report?
MDD stands for maximum drawdown, 最大回撤 in Chinese. It is the largest fall in account equity from a peak to the low that follows it, during the whole test. It tells you how much loss the account had to carry before it made a new high.
Why does my continuous futures chart jump on roll day?
The expiring contract and the next contract trade at different prices, and the joined series switches from one to the other on the roll date. An unadjusted series shows this difference as a jump. A back-adjusted series removes it. The article on roll gaps in continuous backtests explains which version to use.