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Buy and hold ES futures contract

I'm still relatively new to Quantopian. I'm just running a little experiment to make sense of a very simple strategy: buy and hold S&P Emini futures. I'm not trying to prove this strategy is anything special (esp not as a hedging strategy), but I'm just trying to see that the results would be somewhat comparable to the SPY benchmark. So I'm just trying to make sense of the results.

When I run the backtest against the SPY benchmark, the result don't make very much sense to me. The total return is about 6.6% (ES) vs benchmark of 115.5% (SPY) - this is period from 2011 to 2017.

Why is there such a large skew in favor of the SPY benchmark? Aren't the Emini's much more highly leveraged than SPY ETFs??? I would have expected the correlation to be similar (SPY and ES are tracking the same thing almost), but I would have expected the ES to have a much higher return since its a much more highly leveraged instrument.

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5956e62eeea6b352ef7fed25
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2 responses

Your trading of those 26 futures contracts appear to be greatly profitable -- for the amount invested, a return of 700.37%. The problem is that only 1% of the initial capital was invested ($9,233). This page provides some help in understanding how that can be, and a tool to assist.

Try setting the initial capital field to 9233 and watch what happens.

I'm not familiar with futures yet and apologize in advance if the tools I'm using that led to these conclusions may be throwing a wrench into the works, and appreciate any correction. For example, seeing giant leverage starting 2011-10-04 with no orders and don't know why.

Ahh, right. Thanks. The results make a lot more sense now.

Yes, changing it to 9233 gave 715% returns! (-93.7% drawdown - that's holding a futures contract for ya!)

Thanks again for your response and clarification.

I'll have to study that other tool you pointed out as well.