Mini-TAIEX near-month full-session data in backtests
Near-month full-session data is the Mini-TAIEX near-month contract over the full trading day, day session plus night session. It includes night bars and a monthly roll gap, so backtests on it differ from backtests on day-only data.
By Soren Huang · Published · updated · Editorial policy
Contents
小台近全 is a quote label for the Mini-TAIEX futures (小台) near-month contract (近) over the full trading day (全). That means the regular day session plus the after-hours night session. A backtest on 小台近全 includes night bars and switches to the next contract at each monthly roll, so its results differ from a day-only series.
What do 小台, 近 and 全 each mean?
Each character in the label answers one question: which contract, which month, and which hours. 小台 is the Mini-TAIEX futures contract traded on the Taiwan Futures Exchange (TAIFEX), worth NT$50 per index point. 台指 is the full-size TAIEX futures contract, worth NT$200 per index point. 近 means the near month. The near-month contract is the contract that expires next. 全 means 全盤, the full session. The full session is the day session and the after-hours session joined into one series.
So 台指近全 is the same idea for the full-size contract: TAIEX futures, near month, full session. A label without 全, such as 小台近, usually shows the day session only. Software from different brokers uses slightly different words, such as 一般 or 日盤 for the day session and 盤後 or 夜盤 for the night session.
| Label | Contract | Month | Hours shown (Taiwan time) |
|---|---|---|---|
| 小台近 | Mini-TAIEX | Near month | Day session, 08:45–13:45 |
| 小台近全 | Mini-TAIEX | Near month | Night session 15:00–05:00 plus day session 08:45–13:45 |
| 台指近全 | TAIEX futures | Near month | Night session 15:00–05:00 plus day session 08:45–13:45 |
Exchanges can change session hours and contract rules, so check the TAIFEX contract specification page before you rely on them. The futures market hours tool shows the TAIFEX sessions in your own time zone.
A continuous series is a single price history built by joining one contract after another. No single futures contract trades for years, so every long chart of 小台近全 is a continuous series. The quote vendor or the data provider decides how the contracts are joined.
How is 小台近全 different from the day-session-only series?
The full-session series has about four times as many intraday bars per day. Its daily bar also starts the previous afternoon, so most overnight price moves appear inside the bars instead of as a gap at the morning open.
TAIFEX counts trades in the after-hours session toward the next trading day. Many vendors therefore build a full-session daily bar that starts at 15:00 on the previous calendar day and ends at 13:45. Other vendors cut the day at midnight. Check which method your data uses, because it changes the daily open, high and low.
The bar counts follow directly from the session hours. The day session lasts 5 hours. The night session lasts 14 hours.
| On one normal trading day | Day-session series (小台近) | Full-session series (小台近全) |
|---|---|---|
| 5-minute bars | 60 | 228 |
| 60-minute bars | 5 | 19 |
| A 20-bar moving average on 60-minute bars covers | About 4 trading days | About 1 trading day |
| Overnight move appears as | A gap at 08:45 | Mostly night bars, plus a smaller gap between 05:00 and 08:45 |
The same rule gives different signals on the two series. An indicator with a fixed number of bars looks at a much shorter time window on full-session data. A strategy that buys a gap at the 08:45 open sees large gaps on day-only data and small gaps on full-session data. A stop-loss that holds overnight in a day-only test may be hit during the night in a full-session test. When you run the day-only and full-session versions of one rule, the strategy databank in AlphaPrime (Valynox) keeps both result sets so you can search and sort them side by side.
How does the monthly roll shape a 近 series?
A near-month series jumps from one contract to the next once a month, and that jump can create a price gap that no trader could have traded. The last trading day of TAIEX and Mini-TAIEX futures is the third Wednesday of the contract month. After that, the near month is the following month's contract. When the third Wednesday is a holiday, the date moves. The TAIEX futures settlement dates tool lists the actual dates.
A roll means moving from the expiring contract to the next one. In a 近 series, the vendor makes the switch for you. Most quote screens show a plain splice: the old contract's prices end and the new contract's prices begin, with no adjustment. The two contracts usually trade at different prices, so the chart shows a step at the roll. The difference is often larger in the summer dividend season, when later contracts tend to trade further below the index.
Hypothetical example
The expiring Mini-TAIEX contract closes at 22,000 on its last trading day. The next month's contract trades at 21,850 at the same moment. The spliced 小台近全 series shows a drop of 150 points between two bars. For one Mini-TAIEX contract, 150 points × NT$50 = NT$7,500. A long position held across the roll in the backtest loses NT$7,500 that a real trader would not lose. A real trader would close the old contract and open the new one, paying two commissions and two slippages instead.
Three questions decide how much the roll affects your test:
- Does the strategy hold positions across the roll? A day-trading strategy that is flat every afternoon is barely affected. A swing strategy that holds for days crosses a roll every month.
- Is the series adjusted? A back-adjusted series shifts older prices so the gaps disappear. It keeps price changes correct but changes old price levels. A plain splice keeps true price levels but adds false gaps.
- On which bar does the switch happen? Vendors differ. Some switch when the old contract stops trading. Some switch at the start of the settlement day. Find the step near each third Wednesday and note the exact bar.
For a strategy that holds across rolls, either use adjusted data or model the roll as a real exit and re-entry with costs. Roll gaps are one of several data problems covered in the guide to backtest data quality: gaps, bad ticks, time zones and rolls.
Which series should a night-session strategy use?
A strategy that trades at night needs a full-session series, because a day-only series contains no night bars at all. The remaining choice is whether the strategy's indicators should also see day-session prices.
| Approach | What the indicators see | When it fits |
|---|---|---|
| Full series, trades limited to night hours by a time rule | Day and night bars | The signal depends on what happened during the day session |
| Night-only series | Night bars only | The signal should react only to night trading |
| Full series, trades allowed in both sessions | Day and night bars | The strategy is meant to run around the clock |
Three more points matter for night strategies. First, the TAIFEX after-hours session started in 2017, so older full-session history is day-only even if the label says 全. Start the night test where night data really begins. Second, night liquidity is usually thinner than in the day session, so test with higher slippage for night fills. The article on the Mini-TAIEX night session: hours, liquidity and how to backtest it covers costs and liquidity in detail. Third, decide what happens at 05:00. A position held past the night close is exposed to the gap before 08:45.
A day-only strategy can still use full-session data, but the test then differs from what the day-only chart shows. The trade-offs for both cases are set out in night sessions in futures backtests: day-only vs. full-session bars.
How do you check that your chart and your backtest use the same series?
Compare a few specific bars between the chart and the backtest data; if they match on contract, sessions, roll and time zone, the series are the same. Signals found on a 小台近全 chart and tested on a different series are signals on different data. Follow these steps once for each new data source:
- Confirm the contract. Mini-TAIEX and TAIEX futures near-month prices are almost identical, so it is easy to mix them. Check the volume, and check that profit uses NT$50 per point for Mini-TAIEX and NT$200 per point for TAIEX futures.
- Count bars on one normal day. On 5-minute data, a full-session day has 228 bars and a day-only day has 60. A different count means different sessions or missing data.
- Check the first bar's time and time zone. Taiwan time is UTC+8 with no daylight saving time. The night session starts at 15:00 Taiwan time, which is 07:00 UTC. If the first bar shows 07:00, the data is in UTC.
- Check the bar time label. Some sources label a bar by its start time, others by its end time. The first day-session 5-minute bar may read 08:45 or 08:50.
- Check one roll. Pick one settlement week. Compare the closes of the bars just before and after the switch. The step should fall on the same bar in both sources.
- Spot-check three closes. Pick one night bar, one day bar and one daily close. They should match exactly, or differ only by an adjustment you know about.
What this means if you use AlphaPrime: AlphaPrime runs on your own historical bar data, so export 小台近全 or the day-only series deliberately and run the six checks before the first search. AlphaPrime's backtesting scope covers trading sessions, data resolution, next-bar execution, fees and slippage, so set the session to match the series you chose.
Frequently asked questions
What does 小台近全 mean?
小台近全 means Mini-TAIEX futures (小台), near-month contract (近), full session (全). The full session joins the night session, 15:00–05:00 Taiwan time, with the day session, 08:45–13:45. It is a continuous series that moves to the next contract after each monthly expiry.
What is the difference between 小台近 and 小台近全?
小台近 usually shows only the day session from 08:45 to 13:45 Taiwan time. 小台近全 also includes the night session. The full series has more bars per day, smaller morning gaps and different indicator values, so the same strategy can give different results on each.
What does 台指近全 mean?
台指近全 is the full-size TAIEX futures contract, near month, full session. It follows the same sessions and the same monthly roll as 小台近全. The prices are almost the same, but one point is worth NT$200 instead of NT$50.
When does the near-month series roll to the next contract?
TAIEX and Mini-TAIEX futures stop trading on the third Wednesday of the contract month, or on a shifted date when that day is a holiday. The near-month series then switches to the next month's contract. The exact bar of the switch depends on the data vendor, so check it in your own data.
Is there night-session data for Mini-TAIEX before 2017?
No. The TAIFEX after-hours session started in 2017, so earlier data in a full-session series contains day-session bars only. A night-session strategy can only be tested from the date night trading began.