Monday market open time and weekend gaps in futures backtests
US stocks open Monday at 9:30 a.m. ET, but CME stock index futures reopen Sunday at 6:00 p.m. ET. The weekend gap appears at that reopen, so a backtest must fill stops and next-bar orders at the gapped price and should be tested with and without weekend exposure.
By Soren Huang · Published · updated · Editorial policy
Contents
- What time does the US market open on Monday?
- How does a weekend gap show up in daily and intraday bars?
- What happens to a stop order when the market gaps over it?
- How should a backtest fill orders after the weekend?
- How do you test a strategy with and without Monday trades?
- How should you handle session breaks in your data?
- Frequently asked questions
US stocks open on Monday at 9:30 a.m. Eastern Time (ET). CME stock index futures reopen earlier, on Sunday at 6:00 p.m. ET, after closing Friday at 5:00 p.m. ET. The jump between Friday's last price and the reopening price is the weekend gap, and a backtest must fill orders at the gapped price, not at Friday's level.
What time does the US market open on Monday?
The US stock market opens Monday at 9:30 a.m. ET, but futures traders meet the new week about fifteen hours earlier. Regular trading hours (RTH) are the main stock-exchange session, 9:30 a.m. to 4:00 p.m. ET. CME stock index futures such as ES and NQ trade almost around the clock instead: Sunday 6:00 p.m. ET to Friday 5:00 p.m. ET, with a one-hour break from 5:00 to 6:00 p.m. ET on Monday to Thursday.
So for an ES trader, the "Monday open" that matters for gaps is Sunday evening in New York. By 9:30 a.m. Monday, the futures market has already traded for hours and absorbed most of the weekend news.
| Event | New York (ET) | Taiwan, during US daylight saving time | Taiwan, rest of the year |
|---|---|---|---|
| US stock market closes | Fri 4:00 p.m. | Sat 4:00 a.m. | Sat 5:00 a.m. |
| CME stock index futures close | Fri 5:00 p.m. | Sat 5:00 a.m. | Sat 6:00 a.m. |
| CME stock index futures reopen | Sun 6:00 p.m. | Mon 6:00 a.m. | Mon 7:00 a.m. |
| US stock market opens | Mon 9:30 a.m. | Mon 9:30 p.m. | Mon 10:30 p.m. |
US daylight saving time runs from March to November, so the local time of each event moves by one hour twice a year. Exchanges can change trading hours and contract terms, so confirm them on the exchange's contract page. The free futures market hours tool shows current sessions in your own time zone.
How does a weekend gap show up in daily and intraday bars?
The same weekend gap looks different depending on how your bars are built, so you need to know which rule your data uses. A weekend gap is the difference between the last price on Friday and the first price when trading resumes. A session break is any period when the exchange is closed and no trades print. A weekend is the longest regular session break.
Intraday bars. On a full-session futures chart, the gap sits between Friday's last bar before 5:00 p.m. ET and Sunday's first bar after 6:00 p.m. ET. On a chart limited to RTH (9:30 a.m. to 4:00 p.m.), the gap sits between Friday's 4:00 p.m. bar and Monday's 9:30 a.m. bar. That RTH gap combines three moves: Friday's last hour of futures trading, Sunday night, and the early hours of Monday. The RTH gap can be larger or smaller than the Sunday gap, and it is not the price a futures position actually faced on Sunday evening.
Daily bars. CME assigns the Sunday evening session to Monday's trade date. A daily bar built on the exchange's trading day therefore opens at Sunday 6:00 p.m. ET. A daily bar built from RTH opens at 9:30 a.m. Monday. Some data files also use the exchange's settlement price as the daily close, and others use the last trade. Each choice changes the measured gap size.
For full-session and day-only charts in more detail, see night sessions in futures backtests: day-only vs. full-session bars.
What happens to a stop order when the market gaps over it?
A stop that the market gaps over fills at the first available price after the reopen, not at the stop price. A stop order is an order that becomes a market order once price reaches a set level. If Sunday's first trade is already beyond your stop, the order triggers immediately and fills at or near that first trade. The loss can be much larger than the distance you planned.
Hypothetical example
You are long one E-mini S&P 500 contract (ES) from 5,000.00 with a stop at 4,980.00, a planned risk of 20 points. Friday's last trade is 4,992.00. On Sunday the market reopens at 4,962.00. The stop fills at about 4,962.00, a loss of 38 points. At $50 per point that is $1,900 instead of the planned $1,000, before costs. A backtest that fills the stop at 4,980.00 would record $1,000 and understate this one loss by $900.
Use the free futures contract calculator to turn point and tick moves into money for your own contract. The same logic applies to profit targets: a gap through a limit order fills at the better opening price. A backtest that fills at the target price is slightly pessimistic there. That error is less harmful than an optimistic stop fill.
How should a backtest fill orders after the weekend?
An order generated on Friday's last bar should fill at Sunday's first bar, at the gapped price. Next-bar execution is a fill rule where a signal decided at a bar's close is filled at the next bar's open, because the close price is no longer tradable once you know it. On most bars, the next open is close to the last close. After a weekend, the next open can be far away, and the backtest has to record that.
Three details matter here:
- Friday-close signals. A rule that decides at Friday's closing price cannot also be filled at that same price, because the close is only known once trading has stopped. It fills on Sunday, after the gap. Treat any backtest that fills it at Friday's close as optimistic.
- Slippage on the reopen. The first minutes after the Sunday reopen often trade with thinner liquidity than the US day session. If your strategy enters or exits there often, use a larger slippage value for those bars, or test with doubled slippage to see whether the result survives.
- Volatility indicators. True range is the largest of three distances: the bar's high minus its low, the high minus the previous close, and the previous close minus the low. The first bar after a weekend includes the whole gap in its true range. An ATR-based stop or position size will widen for several bars after a big gap. That is correct behaviour, but you should know it is happening.
AlphaPrime (Valynox) evaluates every candidate strategy with fees, slippage and next-bar execution. Its backtesting also lets you set the trading sessions, so the weekend break and the Sunday reopen are part of every result, not a correction made afterwards.
How do you test a strategy with and without Monday trades?
Run the same strategy in a few variants and compare them; the difference shows how much of the result depends on weekend gaps. The weekend is a small number of events: 52 per year, or about 520 over ten years. A strategy that only holds some weekends sees far fewer. A handful of large gaps can make or break the whole backtest, which is exactly what you want to find out.
| Variant | Rule | What it tells you |
|---|---|---|
| All trades | No change | The baseline result |
| Flat over the weekend | Exit every position on the last bar before Friday's close | How much the result needs weekend holding, after the extra exit and re-entry costs |
| No entries at the reopen | Skip new entries from the Sunday reopen until a time you choose on Monday | Whether reopening bars produce poor signals or poor fills |
| Weekend trades only | Keep only trades that were open across a weekend | The gap's own contribution, and how concentrated it is |
Hypothetical example
A strategy shows a net result of $60,000 after costs over 400 trades. Of those, 60 trades were open over a weekend and produced $36,000. The other 340 trades produced $24,000. The flat-over-the-weekend version makes $20,000, less than $24,000, because it pays an extra round trip each Friday and cuts some trades short. Inside the weekend group, the two largest gaps contributed $22,000. More than a third of the total profit comes from two weekends.
Read a result like this as a gap bet more than a trading edge. You might still choose to hold over weekends, but you would size the position for the worst gap you have seen, not for the planned stop distance. If the flat version keeps most of the result, weekend exposure is a choice you can make freely. In both cases, list the largest weekend trades and check what share of total profit they make up.
AlphaPrime's Performance Report includes the trade list, so you can find the trades that were open over a weekend and add up their share of the total yourself.
How should you handle session breaks in your data?
Build bars around the exchange's real sessions and leave closed periods empty instead of filling them with invented prices. Most weekend problems in backtests come from data preparation, not from the strategy logic. Work through these checks in order:
- Set the session to the exchange's hours. For CME stock index futures, use Sunday 6:00 p.m. to Friday 5:00 p.m. ET with the weekday break. Decide whether you test the full session or RTH only, and use the same choice in every run.
- Leave the weekend without bars. Repeating Friday's close until Sunday creates fake bars with zero range. These bars shrink volatility measures and shift every lookback that counts bars.
- Anchor intraday bars to the session start. The first Sunday bar should begin at 6:00 p.m. ET. If bars are cut from midnight or from a fixed clock grid, the first bar of the week can be a short fragment.
- Pick one daily-bar rule. Use either the exchange trading day (Sunday evening belongs to Monday) or RTH, and know whether the close is the settlement or the last trade.
- Check time stamps and time zones. If your data is stored in UTC or in your local time, the reopen moves by one hour when US daylight saving time starts or ends. A fixed session filter will then cut off or include an extra hour.
- Mark holidays and long weekends. A Monday holiday closes US stocks for three days. Futures often trade a shortened schedule on such days. See market holidays in backtests.
- Check contract rolls. If a continuous contract switches months over a weekend without back-adjustment, the price difference between contracts is added to the weekend gap.
What this means if you use AlphaPrime: set the trading session and realistic slippage before the first search, so every strategy AlphaPrime evaluates already pays for weekend gaps through next-bar fills. Then review the weekend trades of your best candidates before you trust their results.
Frequently asked questions
What time does the stock market open on Monday?
The NYSE and Nasdaq open their regular session at 9:30 a.m. Eastern Time on Monday and close at 4:00 p.m. ET. Some brokers offer extended-hours trading before 9:30 a.m., with times set by the broker and the trading venue. On US market holidays that fall on a Monday, the stock market stays closed.
When do futures open on Sunday?
CME stock index futures such as ES and NQ reopen on Sunday at 6:00 p.m. ET after closing Friday at 5:00 p.m. ET. Other exchanges and products have their own hours. Check the exchange's contract page or a market hours tool for the contract you trade.
Do weekend gaps make futures backtests unreliable?
No, as long as the backtest fills orders at the price after the gap. The usual errors are stops filled at the stop price instead of the opening price, and Friday signals filled at Friday's close. Fix those two rules and weekend gaps become a measured part of the result.
Does a day trading strategy need to care about weekend gaps?
A strategy that is flat at the end of each session never holds a position through the weekend gap. Its indicators still see the gap, though. ATR and other volatility measures jump on the first bar of the week. The Sunday reopen bars can also have thinner liquidity, which affects entries made there.
Should I close futures positions before the weekend?
Test both versions and compare them after costs. If the weekend trades carry most of the profit, the strategy depends on a few gaps, and its position size includes the worst one. If the flat version keeps most of the result, closing on Friday removes gap risk at a small cost.
What AlphaPrime does here
AlphaPrime's backtesting applies fees, slippage, next-bar execution and your trading sessions to every candidate. Strategy generation lets you set the entry and exit conditions and search constraints you want to test.