Do you count after hours data into your moving average?

Does anyone count after hours trading data into your equity moving averages and if so what do you see as the pros/cons?

 

I think after hours data should be counted as less important than actual market data, but still be considered (depending on the volume of course) so if your charting program can take into account a discounting factor that you set you might be onto an overlooked edge.

However is seems like more of an art than a science to analyse such variable data and the best bet might be to observe it and try and see any patterns before plugging it into an indicator.

 

Yes, volume was my concern too, thanks for the insight.

 

Do not use time series. Go for range, volume or tick. This way it is a pure price action, and you do not need to worry much about after hours.

That being said, short term trading should be avoided in after hours unless markets get realty volatile like in late August.

 

For equities, no. For futures, yes. This is with regard to time series. I would only use tick charts during RTH. Never used a range chart and volume is not a part of my trading.

 

Charts can be made from either/both "RTH... Regular Trading Hours", or "All Session"... which includes overnight.

Either is as technically valid as the other. IOW.... some players trade off of the RTH charts. Others trade off of the All Session/or both.

If you're a "tight", like I am, you risk 2-6 ES points regardless. (I don't know how one trades overnight in equities. The markets are very thin for most issues and the spreads are unacceptably wide. I guess if you want to trade a round lot or two with a limit order it would be OK, but bigger positions seem problematical.)

As for "moving averages"... the 2 most important ones are the 50 and 200 day.... more players pay attention to those than others.

 

You should do a test yourself because for each system the impact can be different.

In several packages (like TS, Ninja) you can select: exchange hours or 24 hours.
See what the difference is in results for you and you will find yourself the perfect answer probably.
Nobody can tell you what timeframes you should use, unless you give full details about your system.

 

Thanks, I was kind of thinking this too - futures have so much more overnight participation that I can see why your using that data, compared to equities which are just dead after hours.

 

What do you mean by this, running a tight stop or trading ES tight to an average?

 

Thanks, yes I found it detrimental to equities in just one very very quick look I had over a few days, but I can see how it can be helpful with futures as the market is active all night; just wanted to get everyones opinions to save myself from wasting time going down the wrong path here!