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Session for Backtesting

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Session for Backtesting

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Experience: Advanced
Platform: Multicharts
Broker: IB
Trading: RB, GC, CL, ES, US, S
Posts: 26 since Jul 2017
Thanks: 9 given, 2 received

Hi, I'm new here in this forum and also new to automated Trading.

I want backtest some markets on Multicharts, but first I have to create continuous contracts. (IQFeed)
Unfortunately I already fail on basic settings like the trading session.

For example Soybeans (ZS). The Trading Hours shown on CME is:

Sunday Friday, 7:00 p.m. 7:45 a.m. CT and
Monday Friday, 8:30 a.m. 1:20 p.m. CT

If I remember correctly Soybeans session changed the session in 2013 and before that date market open was at 5 p.m.

So if I want to backtest Soybeans without a cut in the history I have to take: So 5.p.m. - Fr 1:20 p.m. as session template.

Are there other markets which changed the trading session in the past and how to get this information?
How do you do this when you make your backtest?

I hope someone has a solution for this problem, or maybe already a list with the right trading session.


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Last Updated on October 26, 2017

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