Calculation of indicators over session gaps.

Discussion in 'Automated Trading' started by Craig66, Aug 13, 2008.

  1. Craig66


    If I have an ATS which say trades the ES for the NY session, would you include the out of session time data when calculating indicators? (or not).
  2. If you had an ATS, then you would have tested it...

    It depends on the system, though...

    If it's an outright intraday swing model, then I would generally include it. If it's an scalping or a pairs/arb type model using Tick to Bid/Ask data then I wouldn't.

    The trading style of the model, timeframe, product... and etc..... there is no right answer but to test, test, and more test.
  3. Bowgett


    On some systems I include half of session gaps. This way some indicators start getting back to normal ranges earlier.