Back-test in TS (pit vs composite)

For those using continuous contracts to back-test in TradeStation, which do you find give better results: .P (pit) or .C (composite)?

 

From what i know, Pit is just the Pit session hours, while C is pit and overnight session for any markets that have a night session as well.

@sp.p is just the pit session(day session) for S&P500
@sp is just the night session for S&P500
and @sp.c is the combined day and night session for S&P500

So the real question is, does your strategy work better when you factor in night session versus just the day session

 

I agree with Aaron, it depends on your strategy parameters. Obviously, if volume is a driver of your strategy, then using SP.C would not be prudent as extended hours see less than market hours average volumes. Of course, if your strategy is a daily direction play that identifies the day's trend, then 0600 CST data might be necessary.
It is all about the strategy and what entry and exit criteria are driving the testing.

 

Thanks for the help.

 

The continuous (.C) contract is back-adjusted, whereas the pit(.P) contract is not.

It is not a question of which gives 'better results' but rather which will most accurately reflect your backtesting in the real world.

That depends on the type of strategy you are using.

 

Test it in both. If it works with both, it's relatively more robust.