I trade the ES and while I don't trade it 24 hours/day, I do track what would have happened if I did trade every instance of my set-up, with the rationale that if I ever went fully automated, I'd like to know what to expect outside of the hours I do trade, which are 6AM to 6PM ET. Also, if a trade started in the off hours and is "in progress" once 6AM rolls around, I wait for that trade to complete before taking another trade in that same direction, to avoid taking a "trade within a trade", which can happen. Anyway, over the past year, I've had about 100 trades that occurred during the hours I trade and 100 outside of those hours. That's apples-to-apples trades as much as possible, i.e. they exhibit approximately the same characteristics relative to the parameters in my model. In 97 trades during the core hours, the average trade was a gain of 4.97 points, stdev of 8.55. In 92 trades during the off hours, the average trade was a loss of 0.33 points, stdev of 7.09. I've known about this for a while and I've known to just stop trying to get into trades past 6PM, but I just can't understand why the exact same algorithm would be so successful for 12 hours and then a net loser for the next 12 hours. Statistics would say there is basically no probability that these two sets of trades have the same average outcome, so what gives? My best guess is that the traders from whom I take those ~5 points per trade are just not in the market overnight. This makes sense to me because the day session has many more retail traders than the overnight session and I would assume that those traders are the net losers in the market. Even that leads to the unanswered question of why I am able to take those points from those traders when they do show up and why those points aren't taken from those traders by the same traders who would take that 0.33 points from me in the overnight session. It's all just a bit odd, at least to me.