The calculation
result = (exit − entry) × direction × multiplier × contracts − fees
No currency conversion and no pip conventions — futures settle in points, and one point is worth the contract multiplier. Two ES contracts moving 14.25 points is 14.25 × 50 × 2 = $1,425 gross.
The multiplier is the whole story of the instrument. Same chart, same tick, and ES pays $50 a point while MES pays $5.
The fee hurdle is the row worth watching
Round-trip costs on futures are small in absolute terms and large relative to a small stop.
A $4.50 round trip on MES is 0.9 points — the price must move nearly a point before the trade is at zero. If your target is 5 points, fees are 18% of it. The same $4.50 on ES is 0.09 points, effectively nothing.
This is why a strategy that backtests well on ES can lose money traded on MES: the fee is per contract and does not shrink with the multiplier, so scaling down the instrument scales up the cost as a share of the result. Anyone moving to micros to manage risk is also, without noticing, multiplying their cost ratio by ten.
Points, ticks and handles
Three words, two things, and mixing them is a sizing error rather than a vocabulary one:
- A tick is the smallest increment — 0.25 on the index futures.
- A point or handle is one whole index unit, so four ticks.
A stop "eight ticks" and a stop "two points" are the same on ES. Treating eight points as eight ticks is a four-fold error, and it happens most when a plan written in one vocabulary is executed in the other. The tick value calculator covers that conversion directly.
What this does not include
Overnight financing does not exist on futures — the cost of carry is already inside the price of the contract, which is part of why the instrument is efficient for holding leverage.
Slippage is not here and is often larger than the fee. Market orders in the minutes around a release routinely fill a tick or two away, and on a micro that is a meaningful share of the trade.
Rollover matters for anything held near expiry: the position must be moved to the next contract month, which costs a spread and produces two trades rather than one in your record.