Hello, i am looking for advice on backtesting ES and NQ emini futures. I use Amibroker for backtesting. When bactesting w/ daily bars, what is considered the the Open and Close? On non-futures securtities, this is easy since the market opens at 9:30 and closes at 4pm. But for futures which can trade nearly 24 hours, what do most futures traders use as the open and as the close for a daily bar? any asisstance or suggestions would be greatly appreciated.
legend - for US traders the 'usual' open is 9:30am EST and close is 4:15pm EST. With that being said, volume usually starts to increase around 8:30am EST, especially on econ release days. So, you can argue that 8:15am'ish - 4:15pm could be the template to use or you can just use 9:30am - 4:15pm. Non-US traders may say otherwise. Sorry... no clear cut answer here I guess...
brownsfan, thanks for the response... So my next question then is what about extended hours trading (my understanding is that the eminis can be traded almost 23 hrs a day)? WHen backtesting the eminis, do traders not usually take into account the extended hour trading? If most do not use extended hour data in their backtesting, then it seems to me that using the a "normal" trading day would probably be best (9.30-4:15 or around that time)?
If you are position trading, you should go with the trading hours of the Cash Index which is the underlying of the instrument. You can enter an exit the market pre-open or during after market hours. In fact, you can take signals off the cash index instead of the futures. Especially if you are using a multiple time frame based system.
ddunbar...so for the ES minis, this would be the trading hours for the S&P500? do traders of emini futures ever really consider data in extended hours within their systems or backtests (i.e 2am-6am)?
legend - I think you will find plenty of traders that look to trade outside of the "normal US hours". I would suggest backtesting multiple timeframes. Without knowing your trading methodology, it's not going to hurt to tell the computer to run different timeframes. You may end up being surprised at the result or you may find that the 9:30-4:15 template is best. You won't know unless you try. My recommendation is to run 9:30-4:15, 8:30-4:15 and something a little earlier maybe 7:00-4:15.
If you read the contract specifications, it is clearly specified. http://www.cme.com/trading/prd/contract_spec_ES702.html A "day" for the ES is "Mon/Thurs 5:00 p.m.-3:15 p.m. & 3:30 p.m.-4:30 p.m.; Shutdown period from 4:30 p.m. to 5:00 p.m. nightly; Sun & Hol 5:00 p.m.-3:15 p.m"