TAIEX futures settlement day: dates, final price and backtests
TAIEX futures settle on the third Wednesday of the contract month, or the next trading day if the market is closed. The final price is a 30-minute average of the index, so a backtest should roll before settlement and check its results with settlement days removed.
By Soren Huang · Published · updated · Editorial policy
Contents
- When is TAIEX futures settlement day?
- What happens on settlement day, hour by hour?
- How is the final settlement price calculated?
- How do weekly contracts differ from the monthly contract?
- How should a backtest handle settlement-day bars and rolls?
- How do you test whether results depend on settlement days?
- Frequently asked questions
- References
TAIEX futures (台指期) settle on the third Wednesday of the contract month. If the market is closed that day, settlement moves to the next trading day. The final settlement price is the simple average of the TAIEX index over the last 30 minutes of stock trading. A backtest should roll before settlement and test its results without settlement days.
When is TAIEX futures settlement day?
TAIEX futures settlement day (台指期結算日) is the third Wednesday of the contract month, and it is also that contract's last trading day. Settlement day is the day an expiring futures contract stops trading and every open position is closed in cash at the final settlement price. Because the first Wednesday of any month falls between the 1st and the 7th, the third Wednesday always falls between the 15th and the 21st. You can find any month's date in a few seconds with that rule.
The date moves only when the market does not trade on that Wednesday:
| Situation on the third Wednesday | Last trading day and settlement day |
|---|---|
| Normal trading day | The third Wednesday |
| Public holiday, for example during the Lunar New Year break | The next trading day |
| Market closed for another reason, such as a typhoon closure | The next trading day |
February is the month most often affected, because the Lunar New Year break can cover the third week. Check the February date every year before you build the roll calendar. The summer months, such as June, July and August, follow the normal rule. What makes them special is the price gap between contract months, which is covered in the backtest section below. On the trading day after settlement, a new contract month is listed and starts trading.
Hypothetical example
Suppose the third Wednesday of February falls inside the Lunar New Year break and the market reopens on the following Monday. The February contract then keeps trading until that Monday, and that Monday becomes its settlement day. A backtest calendar that still marks the Wednesday as settlement day would roll on a day with no trading.
The free TAIEX futures settlement dates tool lists each month's settlement day with these shifts already applied. TAIFEX can change contract rules, so the TAIEX Futures contract specifications page on the TAIFEX website is the authoritative source. People also search for "台股結算日" when they mean this day. Ordinary stock trades in Taiwan settle on their own T+2 cycle, which is a separate process.
What happens on settlement day, hour by hour?
On settlement day the expiring contract trades only until 13:30, while the other contract months trade to the normal 13:45 close. The times below are Taiwan time:
- 08:45 The TAIFEX day session opens. The expiring contract trades alongside the later months.
- 09:00 The Taiwan Stock Exchange opens, and the TAIEX index starts updating.
- 13:00 to 13:30 The index values in this window are the inputs to the final settlement price.
- 13:30 The stock market closes, and the expiring futures contract stops trading.
- 13:45 The day session closes for the remaining contract months.
- 15:00 The after-hours session opens. It counts as part of the next trading day, and only the remaining months trade.
The futures market hours tool shows the TAIFEX day and after-hours sessions in your own time zone.
How is the final settlement price calculated?
The final settlement price is the simple arithmetic average of the TAIEX index values published in the last 30 minutes before the stock market closes on settlement day. Written as one formula:
Final settlement price = sum of index values from 13:00 to 13:30 ÷ number of those values
"Index values" means the TAIEX spot index, not the futures price. "Number of those values" is how many index values were published in that window. Averaging over 30 minutes makes the final price less sensitive to a single trade near the close. The same final settlement price applies to Mini-TAIEX futures and to the monthly TAIEX options of the same month.
Hypothetical example
You hold one long TAIEX futures contract (NT$200 per index point) bought at 20,100. On settlement day the index drifts from 20,120 at 13:00 down to 19,990 at 13:30, and the average of all values in that window is 20,050. Your position closes at 20,050, not at the 13:30 index close of 19,990. The result is 20,050 − 20,100 = −50 points, and −50 × NT$200 = −NT$10,000 before costs.
How do weekly contracts differ from the monthly contract?
Weekly contracts expire every week, while the monthly TAIEX futures contract expires once a month. A weekly contract is a short-dated contract that expires on a set weekday within a few weeks, instead of in a named calendar month. TAIFEX lists weekly contracts on the TAIEX, best known as weekly TAIEX options (週選). Which weekly products exist, and on which weekday they expire, has changed over the years, so take the current list from the TAIFEX product pages.
| Monthly TAIEX futures | Weekly TAIEX contracts | |
|---|---|---|
| Expiry | Third Wednesday of the contract month | Each week, on the weekday TAIFEX sets for that product |
| Months listed | Six: the next three months plus the next three quarterly months (March, June, September, December) | A few short-dated weekly series |
| Settlement events per year | 12 | Many, one per weekly series |
| Role in a TAIEX futures backtest | Build the continuous price series from these | Keep out of the price series; mark their expiry days separately |
For a strategy that trades monthly TAIEX futures, only the monthly settlement changes which contract you hold. Weekly expiries matter in one way: if you test whether expiry days affect your results, treat monthly settlement days and weekly expiry days as two separate groups. Mixing them hides which of the two events is driving the effect. Results for monthly settlement days and weekly expiry days can be classified into separate batches in the strategy databank, so you can search and sort each group on its own.
How should a backtest handle settlement-day bars and rolls?
A backtest should switch to the next contract month a fixed number of trading days before settlement, remove the price jump at the switch, and charge the cost of each switch. A continuous contract is a single price series built by joining consecutive contract months end to end. Rolling is closing the position in the expiring month and opening the same position in the next month. A back-adjusted continuous contract is a series in which older prices are shifted by the price gap at each roll, so the joined series has no artificial jump.
The gap matters most in summer. Many Taiwan companies pay dividends between June and September, so contracts that expire after the main ex-dividend period usually trade below contracts that expire before it. Without back-adjustment, the roll in those months shows up as a sudden drop that no trader experienced. That drop can trigger false signals and add false losses or profits.
Use this order when you prepare TAIEX futures data:
- Get the settlement calendar first, including holiday shifts, so that every roll lands on a real trading day.
- Fix one roll rule, for example "roll at the close two trading days before settlement". A date rule gives the same result every time you rebuild the data.
- Back-adjust the joined series for indicators and signals. Keep the unadjusted prices too if you need real price levels, for example for round-number levels.
- Check the settlement-day bars. After 13:30 on settlement day and in that evening's after-hours session, every bar must come from the next contract month.
- Charge each roll as a trade. A position held through a roll pays one extra exit and one extra entry, with commission and slippage on both.
- Tag settlement days in the data so you can filter or group trades later.
The article on backtest data quality: gaps, bad ticks, time zones and rolls covers more roll and gap checks. In AlphaPrime (Valynox), backtesting uses the trading sessions, fees and slippage you set, and fills orders on the next bar. If you import your own TAIEX futures bars, the roll rule and the back-adjustment are choices you make when you build that file.
How do you test whether results depend on settlement days?
A strategy depends on settlement days when a small share of its trades, all near settlement, produces a large share of its profit. A year has 12 monthly settlement days in roughly 240 to 250 trading days, so about one day in twenty is a settlement day. Run these checks:
- Tag every trade as entered on a settlement day, exited on one, held through one, or none of these.
- Compare shares: the percentage of trades in each group against its percentage of net profit.
- Rerun with no new entries on settlement days, and once more with settlement-day bars removed.
- Move the roll date to one, three and five trading days before settlement, and compare the results.
- Check each year separately to see whether any settlement-day effect appears in most years or only in one or two.
Hypothetical example
A strategy makes 400 trades over ten years with a net profit of NT$1,000,000. Twenty of those trades, 5% of the total, were entered on settlement days, and they made NT$450,000, 45% of the profit. Without those twenty trades, the average trade drops from NT$2,500 to about NT$1,447. The strategy is mostly a settlement-day strategy, whether or not that was the plan.
| Check | Good sign | Bad sign |
|---|---|---|
| Profit share of settlement-day trades | Close to their share of trades | Several times their share of trades |
| Without settlement-day entries | Average trade changes a little | Average trade falls toward the cost per trade |
| Roll date moved earlier or later | Similar net result and drawdown | Result swings strongly with the roll date |
| Year by year | Any effect appears in most years | Effect comes from one or two years |
Decide on these checks before you run them, and run all of them. Testing many calendar filters and keeping only the one that looks best is data snooping (White, 2000), and it produces filters that worked only on past data. To see whether a settlement effect holds on unseen data, look at the out-of-sample windows described in walk-forward analysis: why one backtest is not enough. AlphaPrime's strategy validation includes walk-forward analysis with thresholds you set, so you can run a strategy on each version of your data under the same standard.
What this means if you use AlphaPrime: build your TAIEX futures data with one fixed roll rule and settlement days tagged, then run the same strategies on a version with settlement days excluded. Keep the strategies whose results stay similar on both versions.
Frequently asked questions
When is the February TAIEX futures settlement day?
The February contract settles on the third Wednesday of February, which falls between the 15th and the 21st. If that day falls inside the Lunar New Year break or the market is closed for another reason, settlement moves to the next trading day. Check the TAIFEX calendar or a settlement dates list for the exact day each year.
What time does the expiring TAIEX futures contract stop trading?
On settlement day the expiring contract stops trading at 13:30 Taiwan time, when the stock market closes. The other contract months keep trading until the normal 13:45 close of the day session. The after-hours session that opens at 15:00 belongs to the next trading day.
Is the TAIEX futures final settlement price the same as the index close?
No. The final settlement price is the simple average of the TAIEX index values over the last 30 minutes before the stock market closes on settlement day. It can differ from both the index close and the last futures trade, especially when the index moves sharply near the close.
Do Mini-TAIEX futures settle on the same day as TAIEX futures?
Yes. Mini-TAIEX futures have the same last trading day, the third Wednesday of the contract month with the same holiday shift. They also use the same final settlement price method. Only the contract size differs.
Should a backtest exit before settlement day?
A backtest on a continuous contract should roll a fixed number of trading days before settlement and charge the cost of each roll. If a strategy is meant to hold a position to expiry, the exit price must be the final settlement price, which most bar data does not contain.
References
- White, H. (2000). A Reality Check for Data Snooping. Econometrica, 68(5), 1097–1126.