Nasdaq 100 futures NQ and MNQ: specs, sessions and backtest costs

NQ, the E-mini Nasdaq-100 future, moves in ticks of 0.25 index points worth $5.00 each. MNQ, the Micro E-mini, uses the same tick worth $0.50. Both trade on CME Globex 23 hours a day, with a one-hour daily break, from Monday morning to Saturday morning Taiwan time. They expire every quarter, and a backtest must set costs per tick.

What are the NQ and MNQ contract specs?

NQ and MNQ are the same market at two sizes: MNQ is exactly one tenth of NQ. Both are futures on the Nasdaq-100 index, which holds 100 of the largest non-financial companies listed on the Nasdaq stock market. Both are listed by CME Group and are settled in cash.

A tick is the smallest price step a futures contract can move. The tick value is the money one contract gains or loses on a one-tick move. The multiplier is the dollar amount for one full index point.

Because both contracts track the same index in the same ticks and trade at virtually the same price, one price history can serve both. Only the dollar value of each point and the costs per contract change.

For setup steps that NQ shares with the S&P 500 future, see ES and NQ futures backtesting: five things to set first.

When do Nasdaq 100 futures trade in Taiwan time?

Nasdaq 100 futures trade from Monday early morning to Saturday early morning in Taiwan. The exact hours shift by one hour twice a year, because the United States uses daylight saving time and Taiwan does not.

The CME Globex session runs from 6:00 p.m. to 5:00 p.m. US Eastern Time (ET), Sunday evening to Friday afternoon, with a one-hour break each day. Regular trading hours (RTH) are the hours of the US cash stock market, 9:30 a.m. to 4:00 p.m. ET. Most of the day's volume and the largest moves usually fall inside RTH.

US summer time starts on the second Sunday of March and ends on the first Sunday of November. During those weeks, every event in the table happens one hour earlier in Taiwan time.

Then decide which hours the strategy should see. A strategy that only trades the cash session can use RTH bars. A strategy that holds positions overnight needs full-session bars, because overnight moves change its stops and its drawdowns. The trade-offs are covered in night sessions in futures backtests: day-only vs. full-session bars. US holidays also close or shorten the session, so check that your data shows those days the way the exchange traded them.

How do quarterly rolls affect a backtest?

Each NQ and MNQ contract is the front, most-traded contract for only about three months, so a backtest over several years must join many contracts into one series without creating fake price jumps.

A roll is the switch from the expiring contract to the next one. A continuous contract is a single price series built by joining successive contracts at their roll dates. The next contract usually trades at a slightly different price from the expiring one. If you join the raw prices, that difference appears as a jump that never happened in any single contract. A strategy can "profit" from that jump in a backtest but could never trade it.

Build or check your continuous series in this order:

1. Choose a roll rule. Trading volume moves to the next contract in the days before expiry. Roll when the next contract trades more than the expiring one, or a fixed number of days before the third Friday.
2. Back-adjust the history. Shift older contracts up or down by the price difference at each roll so the series has no gap. Difference adjustment keeps point moves correct, which matters because tick values and costs are counted in points.
3. Inspect each roll date. Plot the bars around each roll. A single bar with a move far larger than its neighbours usually means a missed adjustment.
4. Charge the roll in the backtest. A position held across a roll is closed in one contract and opened in the next in real trading. That costs commission and slippage on both legs.

Settlement does not use the last trade. The final settlement price is a special opening quotation of the index on the morning of the third Friday. Trading in the expiring contract stops at 9:30 a.m. ET that day. Strategies built on a continuous contract have normally rolled before then.

How much do costs and slippage take from an NQ or MNQ trade?

Costs take a larger share of each MNQ trade than of each NQ trade. Per-contract commission and exchange fees on MNQ are usually more than one tenth of NQ's, while the point value is exactly one tenth.

Slippage is the difference between the price a backtest assumes and the price an order actually fills at. On NQ and MNQ, one tick of slippage costs $5.00 or $0.50 per contract per side. Slippage tends to grow at the cash open, around 8:30 a.m. ET data releases and in the thin hours after the cash close.

A useful stress test is to rerun the backtest with double the slippage. If the result collapses, the strategy depends on fills you may not get. The method is explained step by step in trading costs in backtests: commission, slippage and the average trade. In AlphaPrime (Valynox), fees and slippage are part of the backtesting settings, together with trading sessions and next-bar execution. Every candidate is therefore ranked after costs.

How is NQ different from TAIEX futures?

For a Taiwan trader, the main differences are the expiry cycle, the session layout, the currency and the daylight saving shift. A TAIEX setup copied to NQ will be wrong in at least one of these.

Three practical results follow from the table:

• Rolls are less frequent. A TAIEX continuous series rolls twelve times a year and an NQ series four times. Roll handling matters for both, but NQ positions can stay in one contract longer.
• The busiest NQ hours fall in the Taiwan evening and night. The busiest TAIEX hours fall in the Taiwan morning. One trader can run both markets, but the bar times in the data are not aligned.
• Results come in different currencies. Convert at a fixed rate when you compare NQ and TAIEX results, so currency moves do not hide or create differences between the strategies.

The TAIEX side of this comparison has its own setup list in backtesting TAIEX futures: five settings to check first.

What should you set before the first NQ backtest?

Set the contract, the session, the roll handling and the costs before the first run. Otherwise the search ranks strategies on assumptions you would never trade.

1. Pick the contract you will trade, NQ or MNQ, and enter its point value and tick size.
2. Load a back-adjusted continuous series and check every roll date for gaps.
3. Set the time zone to exchange time and choose RTH or full-session bars.
4. Enter commission, fees and at least one tick of slippage per side for that contract.
5. Use next-bar execution for rules that decide on the bar close.
6. Generate and test candidates with these settings fixed. When you define rules, parameter ranges and search constraints in strategy generation, keep the session and cost settings the same for every batch so results stay comparable.

What this means if you use AlphaPrime: load your own NQ or MNQ bar data in exchange time, set the session, fees and slippage for the contract you will trade, and every strategy the search produces is then measured under those conditions.