Futures trading hours in backtests: sessions, breaks, daily bars
Test the hours you will actually trade. US futures on CME Globex trade nearly 24 hours with a one-hour daily break, and TAIEX futures have a day and a night session. The session you pick changes indicators, gaps, stop fills and the daily bar.
By Soren Huang · Published · updated · Editorial policy
Contents
- Which hours should a futures backtest use?
- What are the CME Globex hours for ES, NQ, CL, gold and Treasury futures?
- What counts as regular trading hours for futures?
- What are the TAIEX futures trading hours (台指期交易時間)?
- How does the session choice change backtest results?
- Where does the daily bar start and end?
- How do time zones and daylight saving shift the hours in Asia?
- How do you check the session settings before a run?
- Frequently asked questions
- References
Which hours should a futures backtest use?
Use the hours you will actually trade. CME Globex futures such as ES, NQ, CL, gold and Treasuries trade from 5:00 p.m. to 4:00 p.m. US Central time, Sunday to Friday, with a one-hour daily break. TAIEX futures have a day session and a night session. Your choice changes indicator values, gaps, stop fills and the daily bar.
A session template is the set of hours a chart or backtest treats as "open" for a market. Bars outside the template are dropped or merged, and the first bar inside it is treated as the start of a new day. Two backtests can use the same rules and the same contract and still give different results because their session templates differ. The template is part of the strategy, just like its entry rule.
What are the CME Globex hours for ES, NQ, CL, gold and Treasury futures?
The major US futures in this article all follow one electronic schedule on CME Globex: Sunday evening to Friday afternoon, nearly 24 hours a day. The daily maintenance break is the one-hour pause each afternoon when the exchange's electronic platform stops trading before the next session opens.
| Contract | Exchange | Electronic hours (US Central time) | Same hours (US Eastern time) | Daily break |
|---|---|---|---|---|
| ES (E-mini S&P 500), NQ (E-mini Nasdaq-100) | CME | Sun–Fri 5:00 p.m. to 4:00 p.m. | Sun–Fri 6:00 p.m. to 5:00 p.m. | 4:00–5:00 p.m. CT |
| CL (WTI crude oil) | NYMEX | Sun–Fri 5:00 p.m. to 4:00 p.m. | Sun–Fri 6:00 p.m. to 5:00 p.m. | 4:00–5:00 p.m. CT |
| GC (gold) | COMEX | Sun–Fri 5:00 p.m. to 4:00 p.m. | Sun–Fri 6:00 p.m. to 5:00 p.m. | 4:00–5:00 p.m. CT |
| ZN (10-year Note), ZB (Treasury Bond) | CBOT | Sun–Fri 5:00 p.m. to 4:00 p.m. | Sun–Fri 6:00 p.m. to 5:00 p.m. | 4:00–5:00 p.m. CT |
So one trading week is five sessions of 23 hours each. Each session opens at 5:00 p.m. CT and closes at 4:00 p.m. CT on the next calendar day. Holidays shorten or cancel some sessions. For the shortened and cancelled sessions, the free stock market holidays tool lists US closures and early closes, so you can mark those days before the test runs.
Exchanges can change hours, breaks and holiday schedules. Before you rely on any value here, check the contract page on the exchange's website. To see these sessions in your own time zone, use the free futures market hours tool. Older history may also follow an older schedule, so check the exchange's notices before you test many years with today's template.
What counts as regular trading hours for futures?
Regular trading hours are a sub-window of the full session, and each data vendor or platform defines them for futures in its own session template. Regular trading hours (RTH) are the daytime hours when the related cash market is open and volume is usually highest. The full session is every hour the exchange's electronic market is open, including the overnight hours.
- ES and NQ: RTH usually means the US stock market session, 9:30 a.m. to 4:00 p.m. ET (8:30 a.m. to 3:00 p.m. CT). Some templates end the futures day session a little later than the stock close. See NYSE close vs futures close in a backtest for how that difference affects bars.
- CL, gold and Treasuries: there is no single standard RTH. Templates often follow older daytime floor hours that end near the daily settlement. Read the template's start and end times instead of assuming them.
What are the TAIEX futures trading hours (台指期交易時間)?
TAIEX futures (TX, 台指期) trade in two sessions on the Taiwan Futures Exchange (TAIFEX), and the night session belongs to the next trading day. All times below are Taiwan time, which does not use daylight saving.
| Session | Hours (Taiwan time) | Length | Trade date it counts toward |
|---|---|---|---|
| Day session (一般交易時段) | 8:45 a.m. to 1:45 p.m. | 5 hours | The same day |
| Night session (盤後交易時段) | 3:00 p.m. to 5:00 a.m. the next morning | 14 hours | The next trading day |
On its last trading day, the expiring contract stops trading at 1:30 p.m. A trade date is the business day an exchange assigns a trade to for settlement and margin, which is not always the calendar date on the clock. For TAIFEX, a trade at 9:00 p.m. on Monday belongs to Tuesday's trade date.
How does the session choice change backtest results?
The session you test decides which bars your rules see, so the same rules can take different trades. Match the session in the backtest to the hours when your orders will be working. Two differences matter most:
| What changes | Day session only (RTH) | Full session |
|---|---|---|
| Indicator window (example: 20 bars of 30 minutes on ES) | 13 bars per day, so 20 bars cover about 1.5 days | 46 bars per day, so 20 bars cover less than half a day |
| Stop and target fills | Only checked during the day | Can trigger overnight, when the market is often thinner |
The window difference also reaches volatility measures. A daily Average True Range (ATR) built from full-session bars measures a different range than one built from day-only bars. Any stop or position size based on it shifts too.
Hypothetical example
A long ES position is entered at the day-session close, with a stop 20 points below the entry. Overnight, price falls 30 points, then recovers to 15 points below the entry by the next day-session open. On day-only bars, the backtest sees the next bar open 15 points lower. The stop is never touched, and the trade stays open. In live trading, the stop order is working overnight and fills 20 points below the entry (plus slippage) during the night. Same rules, same market, two different trades.
For the full comparison of day-only and full-session bars, see night sessions in futures backtests: day-only vs. full-session bars.
Pick the session for a reason before you look at results. If you try many session templates and keep the one with the best backtest, the session becomes one more parameter you have fitted to the past. Bailey, Borwein, López de Prado and Zhu (2014) show how each extra trial makes the best backtest look better than it really is.
Where does the daily bar start and end?
A daily bar should start when the exchange's trade date starts, not at midnight on some clock. For CME Globex futures, the exchange's day runs from 5:00 p.m. CT to 4:00 p.m. CT, so Sunday evening trading belongs to Monday's bar. For TAIEX futures, a full-session daily bar runs from 3:00 p.m. on the previous day to 1:45 p.m.
Data sources build daily bars in three common ways:
- Exchange trade date: one bar per trading session. This matches how the exchange counts days and is usually the best choice.
- Day session only: one bar from the RTH open to the RTH close. Overnight trading is missing, so the open and the previous close have a gap between them.
- Calendar day in one time zone: midnight to midnight. This splits one session into two bars and can create a short extra bar on Sunday for US futures, or cut the TAIEX night session at midnight.
The daily close is a second question. The exchange's settlement price is set in a short window during the US afternoon, earlier than the 4:00 p.m. CT end of the Globex session. A daily bar that closes at 4:00 p.m. CT therefore usually has a close that differs from the settlement price. Decide which one your rules use.
How do time zones and daylight saving shift the hours in Asia?
US futures hours stay fixed in US Central time, so for traders in Asia they move by one hour twice a year. The US switches to daylight saving time on the second Sunday in March and back on the first Sunday in November. Taiwan does not change its clocks. The Globex session therefore opens one hour earlier in Taiwan time during the US summer.
| Event (US Central time) | Taiwan time, US summer (daylight saving) | Taiwan time, US winter (standard time) |
|---|---|---|
| Globex session opens, 5:00 p.m. CT | 6:00 a.m. the next day | 7:00 a.m. the next day |
| Daily break starts, 4:00 p.m. CT | 5:00 a.m. | 6:00 a.m. |
| ES RTH, 8:30 a.m. to 3:00 p.m. CT | 9:30 p.m. to 4:00 a.m. | 10:30 p.m. to 5:00 a.m. |
The Asian daytime is the quiet overnight part of the US session. For a trader in Taiwan, Asia futures trading hours in the morning include both the TAIEX day session and the low-volume early part of the Globex session.
The same shift appears in your data. If the timestamps are stored in exchange time (US Central for CME), the session times stay constant all year. If they are stored in UTC or in Taiwan time, the break moves by one hour in March and November. A fixed session template then cuts off one hour of trading or includes one hour of the break for part of the year. Also check whether each bar is labelled by its start time or its end time. Find the first bar after the daily break: its timestamp tells you the convention. Backtest data quality: gaps, bad ticks, time zones and rolls covers more checks of this kind.
How do you check the session settings before a run?
Five checks, done once per market, prevent most session mistakes:
- Choose the session from your trading plan. Decide when your orders will be live, then choose day-only or full-session data to match.
- Confirm the data's time zone. Look at the bars around the daily break and around the March and November clock changes.
- Confirm the bar label. Check whether a bar's timestamp marks its start or its end.
- Confirm the daily bar's start. It should begin at the exchange's session open: 5:00 p.m. CT for Globex, and 3:00 p.m. or 8:45 a.m. Taiwan time for TAIEX, depending on the session you use.
- Look at one week of bars by hand. Count the bars per day and compare the count with the session length. For example, 60-minute TAIEX bars should give 5 day-session bars and 14 night-session bars.
In AlphaPrime (Valynox), trading sessions are a setting of backtesting, together with fees and slippage; backtesting always uses next-bar execution.
What this means if you use AlphaPrime: set the trading session once per market to match the hours you will really trade, before you start a strategy search. Every strategy AlphaPrime finds is then built and ranked on the same bars your orders will meet.
Frequently asked questions
What are the CME Globex hours for ES futures?
ES trades on CME Globex from Sunday to Friday, 5:00 p.m. to 4:00 p.m. US Central time (6:00 p.m. to 5:00 p.m. Eastern time). Each afternoon there is a one-hour break from 4:00 to 5:00 p.m. CT. The regular trading hours most traders use for ES are the US stock market hours, 9:30 a.m. to 4:00 p.m. Eastern time.
What are the TAIEX futures trading hours (台指期交易時間)?
TAIEX futures have a day session from 8:45 a.m. to 1:45 p.m. Taiwan time and a night session from 3:00 p.m. to 5:00 a.m. the next morning. The night session counts toward the next trading day. On its last trading day, the expiring contract stops trading at 1:30 p.m.
Should I backtest futures with regular trading hours or the full session?
Use the hours when your orders will be working. If stops and targets stay live overnight, test on full-session data, because day-only data hides overnight moves that would fill those orders. If you only trade during the day and close before the session ends, day-only data can fit, but include the opening gaps.
Does daylight saving change US futures hours in Taiwan time?
Yes. US futures hours are fixed in US Central time, and Taiwan does not use daylight saving. From the second Sunday in March to the first Sunday in November, the Globex session opens at 6:00 a.m. Taiwan time. The rest of the year it opens at 7:00 a.m.
Why does my daily bar differ between two data sources?
The two sources probably start the day at different times or in different time zones. One may follow the exchange's session (5:00 p.m. CT for CME), one may use the day session only, and one may cut at midnight. Use the same start time, end time and time zone in both sources before you compare highs, lows or closes.
References
- Bailey, D. H., Borwein, J., López de Prado, M., & Zhu, Q. J. (2014). Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance. Notices of the American Mathematical Society, 61(5), 458–471.