How to Build a Futures Trading Plan

Write one sentence that defines the job of the account. Examples include testing one intraday setup for 30 sessions, trading only a specific index contract during liquid hours, or limiting risk while learning execution. “Make money” is an outcome, not an operating objective.

Also record the account equity used for risk decisions, the currencies involved, whether positions may remain open overnight, and the time you can monitor them. Your plan should fit your actual attention and liquidity needs, not an imagined full-time schedule.

CME’s [trade-plan course](https://www.cmegroup.com/education/courses/building-a-trade-plan) frames a plan around objective, methodology, risk management, strategies, and a trader log. Use those headings as a durable outline.

List the contracts you are allowed to trade and why each belongs there. Capture the exchange, symbol, contract month, tick size, tick value, contract multiplier, trading hours, settlement type, and typical spread. How to read futures contract specifications and tick value and contract multiplier help turn a quote into a dollar exposure.

Do not treat a continuous chart as a tradable contract. Before an order, confirm the actual month, last trading day, first notice day when relevant, and the broker’s symbol. A plan that names only “the S&P” is incomplete.

State the conditions that must exist before an entry: market regime, time window, reference level, trigger, invalidation level, and a reason not to trade. Use observable values rather than labels such as “strong momentum.”

For example:

This is a hypothesis to test, not a claim that the setup will work. Record which market conditions are outside the sample.

• Trade only the front liquid contract during the first 90 minutes after the regular equity open
• Enter after a five-minute close above a pre-defined overnight high and a retest that holds
• Cancel the setup if the spread widens beyond the plan’s limit or a scheduled release is imminent
• Place the invalidation level before entry; do not widen it to avoid a loss

Set a maximum loss per trade, a maximum loss per day, and a maximum number of correlated positions. CME’s [position and risk management guidance](https://www.cmegroup.com/education/courses/things-to-know-before-trading-cme-futures/position-and-risk-management) emphasizes choosing contract count from risk scenarios rather than simply using the maximum allowed by initial margin.

A practical starting calculation is:

`contracts = floor(maximum trade risk ÷ (stop distance in ticks × tick value + estimated costs))`

Example: with a $300 trade-risk limit, a 12-tick stop, a $12.50 tick value, and $10 estimated round-trip costs, the risk per contract is 160 USD, so the size is `floor(300 ÷ 160) = 1 contract`. If the result is zero, the trade does not fit the account; switch to a smaller contract or stay flat. Futures position sizing has more examples.

The stop distance is not a guarantee of the final loss. Gaps, fast markets, slippage, rejected orders, and partial fills can make realized loss larger. Add a conservative shock scenario and keep a cash buffer separate from the maximum trade-risk budget.

Initial margin is the collateral required to open a position; maintenance requirements and broker policies can change. It is not the amount you can safely lose. Read margin versus leverage, account equity versus cash balance, and cash buffers before a margin call.

Write a minimum free-cash rule, an overnight rule, and a response to a margin increase. Daily mark-to-market can move cash in or out of the account before you close the trade; [CME mark-to-market](https://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market) explains that settlement flow.

Specify the order type, permitted entry window, maximum spread, price tolerance, and what happens when only one leg fills. Define whether a stop is a stop-market or stop-limit and what risk you accept if a stop-limit does not execute. Link the rules to market versus limit orders, stop versus stop-limit orders, and rejected versus unfilled orders.

Before sending an order, confirm:

1. Correct contract month and quantity 2. Entry, invalidation, and target levels are visible 3. Estimated loss including costs fits the trade and daily limits 4. Margin and free cash remain above the plan’s buffer 5. A news, connectivity, or partial-fill contingency is ready

Never turn a losing trade into an unplanned investment by removing the exit rule.

For every trade, record timestamp, contract month, direction, size, setup version, planned and actual entry, stop, exit, slippage, fees, market regime, screenshot or reference data, and whether each rule was followed. Separate a rule-following loss from a rule-breaking loss.

Review in batches, not after one outcome. Track expectancy, average win and loss, maximum adverse excursion, largest losing streak, slippage by session, and results by setup version. If a change is made, version the rule and mark the date; otherwise the journal cannot tell you what caused a result.

Your plan should contain conditions that pause trading: daily loss limit reached, two consecutive execution errors, data or connectivity failure, unusual spread, margin change, or emotional state outside your stated tolerance. A pause is a risk control, not a forecast about the next candle.

At the end of each session, reconcile fills, fees, realized and unrealized P&L, cash, equity, and open orders. Realized versus unrealized futures P&L helps keep the ledger honest.