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Different Results using Different Session Templates
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Different Results using Different Session Templates

  #1 (permalink)
Elite Member
Vancouver, Canada
 
Futures Experience: Intermediate
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Different Results using Different Session Templates

I have been optimizing a strategy and also doing walk forward optimizations and was using "instrument settings" as the template for this.

I have also been working with a developer who said he uses "default 24/7" as the session template and so started testing using this. The results were much worse.

I don't know why there was such a big difference between using instrument settings and default 24/7. I am testing ZB. Does instrument setting template cover all the hours that ZB trades?

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  #2 (permalink)
Elite Member
Gits (Hooglede) Belgium
 
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rleplae's Avatar
 
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NGtrader View Post
I have been optimizing a strategy and also doing walk forward optimizations and was using "instrument settings" as the template for this.

I have also been working with a developer who said he uses "default 24/7" as the session template and so started testing using this. The results were much worse.

I don't know why there was such a big difference between using instrument settings and default 24/7. I am testing ZB. Does instrument setting template cover all the hours that ZB trades?

It depends on the indicators you use.

I'll give you an example.

1. RTH
The data outside of the RTH (9:30-16:15 NY time) will not be used to calculate averages and any other indicators
you may have. The chart will be a concatenation of RTH periods. The moving average (or any other indicator), may
take a jump at the opening due to a gap-up or down

2. 24/7 which is more of a 24/5 for ZB will take the overnight session into account as well. The time series is a
much more smoother time series with less of gap-up/down at the opening of RTH, but there may be periods of
reduced liquidity and that may be less favorable for your strategy.

A third possibility is to keep the time series 24/7 (or all ticks that happen)
and on top of this put a window where the strategy can only take trades between a certain
time.

hope this clarifies your doubts

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  #3 (permalink)
Elite Member
Vancouver, Canada
 
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Thanks so much rleplae, it makes a lot of sense.

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  #4 (permalink)
Market Wizard
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Correct Sessions

Also, one of the respected trader/programmers on Futures.io has a thread about session times.

What is demonstrated is that even the built-in sessions are sometimes inaccurate so you need to research your chosen market to see when it is open and closed.
Some of the examples have even changed since the thread was created but this thread will give you a good start at figuring it out.

Correct Sessions for Your Charts

Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
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  #5 (permalink)
Elite Member
Houston, TX
 
Futures Experience: Intermediate
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"Use instrument setting" means that it's using the session listed in the instrument menu. You need to edit ZB in the instrument manager to see the actual session that is currently assigned to ZB.

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