Investing: Futures
Status: Scaffolded - Content pending Last Updated: 2025-12-11
How Futures Investing Works
Futures investing in TTG focuses on long-term price structure, major levels, and rollover-aware planning using daily bars.
The Technical Agent focuses on: major trend, multi-month support/resistance, and volume context from the bars.
Data Collection
| Data Type | What We Get |
|---|---|
| Current Price | Real-time snapshot |
| Historical Bars | 730 days of daily candles |
| Bars to AI | 60 most recent daily bars |
| Volume | Yes |
| Market Context | ES direction |
The Rollover Challenge
Futures contracts expire quarterly. For investment-length holds:
| Contract Month | Expiration |
|---|---|
| March (H) | 3rd Friday of March |
| June (M) | 3rd Friday of June |
| September (U) | 3rd Friday of September |
| December (Z) | 3rd Friday of December |
For Long-Term Holds:
- Must plan to roll positions before expiration
- Rollover involves closing front-month, opening back-month
- Each roll has transaction costs and potential slippage
Analysis Flow
1. Data Collection (2 years, daily bars)
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2. Technical Agent analyzes:
- Major trend: Higher highs/lows over months
- Key levels: 1-3 month swing highs/lows
- 52-week high/low
- All-time high/low
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3. Macro Agent checks:
- Economic cycle position
- Fed policy direction
- Global macro factors
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4. Wild Card Agent checks:
- FOMC schedule (multi-month)
- Quarterly economic releases
- Contract rollover dates
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5. Supervisor synthesizes:
- Entry zone
- Stop loss (ATR-based)
- Targets
- Rollover plan
Key Levels We Use
| Level | How We Find It |
|---|---|
| Major Support | Multi-month swing lows |
| Major Resistance | Multi-month swing highs |
| 52-Week High/Low | Annual extremes |
| All-Time High/Low | Historical extremes |
| Trend | Monthly/quarterly higher highs/lows |
Position Sizing
Futures investment requires significant margin:
| Contract | Overnight Margin | Point Value |
|---|---|---|
| ES | ~$15,000-18,000 | $50/point |
| MES | ~$1,500-2,000 | $5/point |
Risk Amount = Account Size × Risk Percent
Stop Distance (points) = 1.5-2x ATR (on daily bars)
Contracts = Risk Amount ÷ (Stop Distance × Point Value)
Example (ES):
- Account: $200,000
- Risk: 1% = $2,000
- Daily ATR: 40 points
- Stop: 2x ATR = 80 points
- Risk per contract: 80 × $50 = $4,000
- Contracts: $2,000 ÷ $4,000 = 0.5 → Cannot do ES
Use MES instead:
- Risk per MES: 80 × $5 = $400
- Contracts: $2,000 ÷ $400 = 5 MES contracts
Rollover Strategy
When holding futures long-term:
- Monitor rollover date — Usually 2nd Thursday of expiration month
- Roll 1-2 weeks before expiration — Avoid low liquidity
- Check contango/backwardation — Affects roll cost
- Plan transaction costs — Each roll has commissions
| Roll Condition | Action |
|---|---|
| Contango | Rolling costs money (back-month higher) |
| Backwardation | Rolling earns money (back-month lower) |
What the Trade Plan Looks Like
Direction: LONG
Contract: ESZ25 (E-mini S&P Dec 2025)
Entry Zone: 5,800.00 - 5,850.00 (multi-month support)
Stop Loss: 5,600.00 - 5,650.00 (200 points below = ~2x daily ATR)
Target 1: 6,100.00 - 6,150.00 (300 points, exit 50%)
Target 2: 6,400.00+ (600 points, exit remaining)
Time Stop: NONE (price action determines exit)
Contracts: 5 MES (equivalent to 0.5 ES)
Max Risk: $2,000 (1% of account)
Rollover Note:
- Current contract expires December 19
- Plan to roll to March (ESH26) by December 12
- Monitor contango/backwardation
Analysis based on long-term structure + trend + volume.
Futures Investing Considerations
| Consideration | Why it matters |
|---|---|
| Rollover planning | Contracts expire quarterly; plan rolls during the hold |
| Margin | Significant capital requirements; confirm broker margin |
| Leverage | Magnifies both gains and losses; size conservatively |
| Contract selection | Prefer liquid front-month contracts; watch volume shifts near rollover |
Alternative: For many long-term exposures, ETFs (SPY, QQQ) can be a simpler option versus managing rolls.