What is day trading futures?

The short answer

Day trading futures means entering and exiting futures contracts within the same trading day. You do not carry a position overnight. Every trade has an entry, a stop, a target, and a time by which it is closed if neither of the other two is hit.

A futures contract is an agreement on the price of an index or a commodity at a set date. The markets on our site are CME Group futures only: the E-mini S&P 500 (ES), the E-mini Nasdaq-100 (NQ), their micro versions (MES and MNQ), and gold (GC, on COMEX).

Day trade

A trade that is opened and closed inside one trading day.

Point

A whole price unit. Its dollar value depends on the contract: $20 on NQ, $2 on MNQ, $50 on ES, $5 on MES and $100 on GC.

Tick

The smallest price move of a contract. On NQ, MNQ, ES and MES it is 0.25 points. On GC it is 0.10 points.

Time stop

An exit at a fixed time. A time stop at 17:00 exits at the close of the 16:59 bar.

A day trade is defined by when it ends. If the rules let a position stay open past the close, they are not day-trading rules.

How the trading day is built

Index futures do not stop at the stock market close. In our runs a full session starts at 18:00 ET and ends at 17:00 ET the next day, which is 23 hours. Regular trading hours run from 09:30 to 16:00 ET, which is 6.5 hours. A day trader picks a window inside that and flattens before it ends.

Every clock time in our runs is America/New_York, including the daylight-saving changes. The page on RTH and ETH sets out the hours in detail.

What a day-trading rule has to say

A rule is only testable when each of these has one reading:

• The market and the bar size.
• The window in which a setup may start, and how long it keeps waiting for its entry.
• The entry trigger, and where the entry fills.
• Where the stop goes and where the target goes.
• The time at which any open position is closed. A time stop at 17:00 exits at the close of the 16:59 bar, the last bar that finishes before the stated time.
• The costs: commission per side and slippage in ticks per fill.

Contract size and tick value

These are the contract specifications our runs use.

• ES: $50 per point. Tick 0.25 = $12.50.
• MES: $5 per point. Tick 0.25 = $1.25.
• NQ: $20 per point. Tick 0.25 = $5.00.
• MNQ: $2 per point. Tick 0.25 = $0.50.
• GC: $100 per point. Tick 0.10 = $10.

Costs weigh more when you trade often

Commissions and fees vary by broker; a backtest should use your own. A rule that trades several times a day pays them each time.

Costs are applied after the run, so they do not move fills, stops or targets.

Risk

Trading futures involves substantial risk of loss. Nothing on this site is investment advice. Simulated results do not represent actual trading, and a test cannot show what happens next.

The futures angle

A day-trading rule can be tested on real 1-minute data before any money is at risk. A backtest shows what the rules did on the history. A replay lets you step through the same history one bar at a time and make each decision yourself. Replay it on real NQ data, free, in the Trade Lab.