I'm backtesting Corn continuous futures (C2_0_10B in the TradingBlox data set) and using a Point Value of 50 and margin of $3700 in the Symbol Information window. 2 questions-
1) I get very different performance results (order of magnitude) if i use a position size of
(a) fixed $value of $5000 (higher than daily margin) and
(b) 1 contract,
Is it not recommended to use fixed $ value for futures backtesting?

2) The Buy&Hold performance from May 16, 2007-Apr 30, 2013 for 1 contract should be the difference in the index X Point Value = (625-419)*50 = $10,300. I'm getting
(a) $2091 for fixed $ value position
(b) $189 for 1 contract position.
- neither are correct.

What's the recommended position sizing futures (i'd imagine it's # of contracts), so that we get reliable performance results of backtesting?

thanks
Kiran

625 - 419 - 16 (i.e. default Fidelity commission for a roundtrip) = $189 for 1 contract.

Which means that your symbol is not being treated as a futures contract, i.e. point value is not applied. It could happen for two reasons:

1. Either Futures mode is disabled, or, since it's on by default -
2. You typed in the futures symbol incorrectly. It's context-sensitive, so for example, c2_0_10b would not work.

EDIT.

Yes, you did type it incorrectly. It's not C2_0_10B, it's C2_0_I0B. Consider copying and pasting symbols from the Data Manager instead of typing in - that's error prone.