S&P 500 futures explained: ES vs MES, hours and backtest setup
ES is worth $50 per S&P 500 point and MES $5, both in 0.25-point ticks, both expiring quarterly and trading almost 24 hours. For a backtest, choose the session on purpose, handle the roll and model costs in index points.
By Soren Huang · Published · updated · Editorial policy
Contents
- What are S&P 500 futures, and how do ES and MES differ?
- When do ES and MES expire, and how do you handle the roll?
- What are the S&P 500 futures trading hours in Taiwan time?
- How much do costs and slippage take from ES versus MES?
- Which session should you use in an S&P 500 futures backtest?
- Frequently asked questions
S&P 500 futures are cash-settled CME contracts on the S&P 500 index: ES is worth $50 per point and MES $5, both in 0.25-point ticks. They expire quarterly and trade almost 24 hours, Sunday to Friday. For a backtest, choose the session on purpose, handle the quarterly roll and model costs in index points.
What are S&P 500 futures, and how do ES and MES differ?
ES and MES track the same index and move in the same steps; the only difference is size, and MES is one tenth of ES. A futures contract is an exchange-traded agreement to buy or sell an underlying asset at a set price on a later date. Here the asset is the S&P 500 index, so the contract settles in cash. Nobody delivers 500 stocks.
A tick is the smallest price step a contract can move. For both contracts the tick is 0.25 index points. The money value of that step depends on the multiplier, which is the dollar amount per index point.
| E-mini S&P 500 (ES) | Micro E-mini S&P 500 (MES) | |
|---|---|---|
| Multiplier (value of one index point) | $50 | $5 |
| Tick size | 0.25 index points | 0.25 index points |
| Tick value | $12.50 | $1.25 |
| Settlement | Cash | Cash |
| Contract months | March, June, September, December | March, June, September, December |
Hypothetical example
Suppose the S&P 500 stands at 5,000 points. One ES contract then controls about $250,000 of index exposure (5,000 × $50). One MES controls about $25,000 (5,000 × $5). A 10-point move is $500 on one ES and $50 on one MES.
Ten MES contracts carry the same point exposure as one ES. MES lets you size positions in smaller steps. This matters for testing because a strategy that needs a fractional ES position can be traded close to its intended size with MES. To turn points into dollars per contract, follow how to calculate futures profit: tick value, point value and costs.
When do ES and MES expire, and how do you handle the roll?
Both contracts expire four times a year, so any backtest longer than three months has to join several contracts together. The contract months are March, June, September and December. Their month codes are H, M, U and Z, so ESZ is the December E-mini. Trading in an expiring contract ends at 9:30 a.m. US Eastern time on the third Friday of the contract month. In Taiwan that is Friday 21:30 for the March, June and September contracts and 22:30 for December, because of US daylight saving time.
A roll is the switch from the expiring contract to the next one. Trading volume usually moves to the next contract about a week before expiry. A common convention is to roll eight days before expiry, on the Thursday of the week before the third Friday.
A continuous contract is a single price series built by joining successive contract months at their roll dates. The new contract usually trades at a different price from the old one, so the join leaves a jump. There are two ways to deal with it:
| Series type | What happens at the roll | Point P&L | Price levels |
|---|---|---|---|
| Back-adjusted | Older prices are shifted by the roll gap, so the series has no jump at the roll. | Correct: point moves inside each period stay the same. | Older levels no longer match what traded on the day. |
| Unadjusted | Real prices are kept, so the roll gap shows up as a price jump. | Distorted at the roll: the false jump can trigger a stop or a breakout signal that never happened. | Match the real historical prices. |
For strategies that trade price moves, a back-adjusted series is the usual choice. Check that the roll dates in your data match how you would actually roll. Gaps, rolls and time-zone problems are covered step by step in backtest data quality: gaps, bad ticks, time zones and rolls.
What are the S&P 500 futures trading hours in Taiwan time?
ES and MES trade nearly 24 hours, from Sunday evening to Friday afternoon US Eastern time, with a one-hour break every day. That break falls in the early Taiwan morning. On CME Globex the week opens Sunday at 18:00 Eastern and closes Friday at 17:00 Eastern. Each day trading stops from 17:00 to 18:00 Eastern. The trading day restarts at 18:00, and that new session counts as the next day's session. The futures market hours tool shows these sessions converted to your own time zone.
Taiwan does not use daylight saving time. The US does: summer time starts on the second Sunday of March and ends on the first Sunday of November. So every Taiwan time below shifts by one hour twice a year.
| Event | US Eastern time | Taiwan, US summer time (March–November) | Taiwan, US winter time (November–March) |
|---|---|---|---|
| Week opens | Sunday 18:00 | Monday 06:00 | Monday 07:00 |
| Major US economic data (many releases) | 08:30 | 20:30 | 21:30 |
| US stock market opens | 09:30 | 21:30 | 22:30 |
| US stock market closes | 16:00 | 04:00 next day | 05:00 next day |
| Daily break starts | 17:00 | 05:00 | 06:00 |
| Daily break ends, new session starts | 18:00 | 06:00 | 07:00 |
| Week closes | Friday 17:00 | Saturday 05:00 | Saturday 06:00 |
Regular trading hours (RTH) are the hours when the US stock market is open, 09:30 to 16:00 Eastern. Everything else is the overnight or extended session. CME can change contract specifications and trading hours, so confirm them on the CME contract page for ES and MES; US exchange holidays also shorten or close sessions, so check the CME holiday calendar for the dates in your test.
How much do costs and slippage take from ES versus MES?
Measured in index points, trading costs usually take a larger share of the move on MES than on ES. Commissions for micros are lower per contract, but usually not one tenth of the ES commission. Slippage is the difference between the price your backtest assumes and the price you would actually get. With market or stop orders, a common starting assumption is one tick per side in a liquid contract during US regular hours. Use more ticks for thin overnight hours and around data releases.
To compare the two contracts fairly, convert costs into index points, the same unit your strategy earns in:
Round-trip cost in points = commission ÷ point value + 2 × slippage ticks × 0.25
Here "commission" is your total broker and exchange fees for one entry plus one exit, in dollars. "Point value" is $50 for ES or $5 for MES. "Slippage ticks" is how many ticks you assume to lose on each side. The 0.25 converts ticks into index points.
Hypothetical example
Assume all-in fees of $4.00 per round trip on ES and $1.00 on MES, and one tick of slippage on each side for both.
ES: $4.00 ÷ $50 = 0.08 points, plus 0.50 points of slippage, gives 0.58 points per round trip ($29).
MES: $1.00 ÷ $5 = 0.20 points, plus 0.50 points of slippage, gives 0.70 points per round trip ($3.50).
A strategy whose average trade gains 1.0 point before costs keeps 0.42 points per trade on ES but only 0.30 points on MES. Same signals, same market, about 29% less net edge on the smaller contract.
Put your own broker's fees into this formula before choosing a contract. Then rerun the test with double the slippage to see how much margin the strategy has. The method is explained in more detail in trading costs in backtests: commission, slippage and the average trade.
Which session should you use in an S&P 500 futures backtest?
Use the session your strategy will really trade, and build your bars and indicators on that same session. The session setting changes more than trading times. It changes the bars themselves.
- Decide when the strategy may hold a position. If it holds overnight, or you plan to trade during the Taiwan evening, you need full-session data. Overnight gaps and fills are part of the result.
- Choose the bar session to match. A daily bar built on the full session starts at 18:00 Eastern the evening before. A daily bar built on RTH starts at 09:30. Their opens, highs, lows and closes differ, so a signal based on them differs too.
- Check indicators that reset or count bars. VWAP (volume-weighted average price) is the average price of the session weighted by how much traded at each price, and it restarts each session. A moving average or a VWAP calculated on full-session bars includes quiet overnight prices, and the same settings on RTH bars give different values.
- Set different slippage by time of day if you can. Spreads are usually tightest during US regular hours and wider in thin overnight hours.
- Handle the daily break and the weekend. Make sure no trade fills inside the 17:00–18:00 Eastern break. Price can open away from Friday's close on Sunday evening, so stops do not always fill at the stop price.
| Session choice | Taiwan time (US summer / winter) | Fits strategies that… |
|---|---|---|
| Full session | 06:00–05:00 next day / 07:00–06:00 next day | hold overnight, or trade any time of day |
| RTH only | 21:30–04:00 / 22:30–05:00 | enter and exit within the US stock market day |
| Taiwan evening window | for example 20:00–24:00 / 21:00–01:00 | you can only watch in your evening; includes 08:30 Eastern data and the US open |
The difference between day-only and full-session bars, with more examples, is in night sessions in futures backtests: day-only vs. full-session bars. In AlphaPrime (Valynox), backtesting lets you set the trading session, fees and slippage, and next-bar execution for each research run. That way the session choice is part of the search, not added afterwards.
What this means if you use AlphaPrime: load your ES or MES bars with a known time zone and roll method, set the session your strategy will trade, and enter costs for the contract you will actually use. Then the strategies you search and compare already reflect how you would trade them from Taiwan.
Frequently asked questions
What time do S&P 500 futures open in Taiwan?
The trading week opens Sunday 18:00 US Eastern, which is Monday 06:00 in Taiwan during US summer time and Monday 07:00 during US winter time. Each weekday the market also restarts at the same Taiwan time after the one-hour break. The US stock market part of the day starts at 21:30 or 22:30 Taiwan time.
Is MES the same as ES?
MES tracks the same S&P 500 index with the same 0.25-point tick and the same quarterly months. It is one tenth the size: $5 per point instead of $50, so one tick is $1.25 instead of $12.50. Fees per point are usually higher on MES, so test with the contract you will trade.
Do S&P 500 futures trade after hours?
Yes. ES and MES trade nearly 24 hours, Sunday evening to Friday afternoon US Eastern time, with a daily break from 17:00 to 18:00 Eastern. Hours outside the US stock market day are the overnight session. It is usually thinner, so many traders assume more slippage there.
How much is one point on ES futures worth?
One S&P 500 index point is worth $50 on ES and $5 on MES. The smallest move is 0.25 points, worth $12.50 on ES and $1.25 on MES. Multiply your strategy's result in points by these values to get dollars per contract.
When should I roll ES or MES to the next contract?
Volume usually moves to the next contract about a week before expiry. A common convention is to roll eight days before expiry, on the Thursday of the week before the third Friday. The expiring contract stops trading at 9:30 a.m. US Eastern time on the third Friday. In a backtest, use a continuous series whose roll dates match the roll you would actually make.
What AlphaPrime does here
AlphaPrime evaluates strategies in batches with its backtesting, with your trading session, fees and slippage, and next-bar execution set for each run, so ES and MES research uses the conditions you will trade under.