Stock index futures after hours: ES and NQ times and backtests
ES and NQ trade on CME Globex from 6:00 p.m. to 5:00 p.m. ET, Sunday to Friday, with a one-hour break from Monday to Thursday. A backtest should use the session your orders will actually be live in, and assume wider slippage overnight.
By Soren Huang · Published · updated · Editorial policy
Contents
- When do ES and NQ futures trade after the stock market closes?
- Why do stock index futures keep trading when the stock market is closed?
- How do after-hours bars change signals, gaps and drawdown?
- Should a backtest use regular hours or the full session?
- How much slippage should you assume after hours?
- What should you check in your data before the first run?
- Frequently asked questions
- References
ES and NQ futures trade on CME Globex nearly 24 hours a day. The session runs from 6:00 p.m. to 5:00 p.m. New York time, Sunday evening to Friday afternoon, with a one-hour maintenance break at 5:00 p.m. from Monday to Thursday. A backtest must choose between regular-hours bars and full-session bars, and it should assume wider slippage overnight.
When do ES and NQ futures trade after the stock market closes?
ES and NQ keep trading for one more hour after the 4:00 p.m. ET stock close, pause for one hour, and then trade through the night until the next afternoon. The US stock market's regular session runs from 9:30 a.m. to 4:00 p.m. Eastern Time (ET). The futures session covers almost the whole day around it.
| Time (ET) | Stock market (NYSE, Nasdaq) | ES and NQ on CME Globex |
|---|---|---|
| Sunday 6:00 p.m. | Closed | Week opens |
| Monday–Friday 9:30 a.m.–4:00 p.m. | Regular session | Trading |
| Monday–Friday 4:00 p.m.–5:00 p.m. | Regular session closed | Trading |
| Monday–Thursday 5:00 p.m.–6:00 p.m. | Closed | Daily maintenance break |
| Monday–Thursday 6:00 p.m. to next day | Closed | Overnight trading |
| Friday 5:00 p.m. | Closed | Week closes until Sunday 6:00 p.m. |
So "after hours stock market futures" is not a separate product. It is the same ES or NQ contract, trading in the part of the Globex session when stocks are closed. US holidays shorten or cancel some sessions, and New York's daylight-saving changes shift these hours in other time zones. The futures market hours tool shows the sessions in your own time zone. Exchanges can change their hours, so confirm them on the CME contract specification page for each contract before you set up a backtest.
Why do stock index futures keep trading when the stock market is closed?
Futures keep trading because they are contracts on an electronic exchange, and that exchange sets its own hours, independent of the stock exchanges. An index future is a contract to buy or sell the value of an index at a set date. To trade it, nobody needs to buy the 500 or 100 underlying stocks at that moment, so the contract can trade while the stocks cannot.
Traders want it open for practical reasons:
- News arrives outside stock hours. Many companies report earnings after 4:00 p.m. ET. Major US economic reports often come out at 8:30 a.m. ET, before the stock open.
- Other markets are open. Asian and European sessions happen during the US night. Traders there use ES and NQ to express a view on US stocks.
- Risk can be adjusted at any time. A fund holding stocks can hedge with futures overnight, instead of waiting for the 9:30 a.m. open.
The official index value is published during the regular stock session. Outside that session, the futures price is the main live estimate of where the market stands. That is why people watch "stock futures after hours" for a hint about the next open.
How do after-hours bars change signals, gaps and drawdown?
Including or excluding the overnight hours changes almost every number a backtest produces: indicator values, daily bars, gaps, fills and drawdown. A gap is a jump between one bar's close and the next bar's open, with no trading in between. The overnight hours decide where those gaps appear.
- Signals. A 20-bar moving average on 15-minute bars covers 5 hours of clock time. On full-session data, those 5 hours may be mostly night trading. On regular-hours data, they are always day trading. The same rule then fires at different times.
- Daily bars. A full-session daily bar starts at 6:00 p.m. the evening before. Its open, high and low differ from a regular-hours daily bar. Rules based on yesterday's high or today's open change with the session.
- Gaps. With regular-hours data, the whole overnight move shows up as one gap at 9:30 a.m. With full-session data, that move is spread over the night's bars. The large gaps then sit mainly at the Sunday open. For weekend gaps in detail, see Monday open and weekend gaps in futures backtests.
- Fills. With next-bar execution, a signal on the last regular-hours bar fills at the next morning's open, gap included. On full-session data, the same signal fills right away at the open of the 4:00 p.m. bar, before any overnight move.
- Drawdown. If a strategy holds positions overnight, regular-hours data cannot see the night's price path. Losses that happened and recovered overnight never appear, and stops that would have triggered are never tested. The drawdown calculator measures the maximum drawdown and recovery time from the full-session equity series.
Hypothetical example
A strategy buys one ES contract at 5,000 near the 4:00 p.m. ET close, with a stop at 4,980 (20 points below). During the night ES falls to 4,960, then recovers and opens the stock session at 4,995. ES is worth $50 per point.
Regular-hours backtest: the next bar it sees opens at 4,995. The stop was never touched in its data, so the trade stays open with a small loss of 5 points.
Full-session backtest: the stop triggers during the night at 4,980. With 2 ticks of slippage (0.50 point), the fill is 4,979.50. The loss is 20.5 points, or $1,025.
If the live stop rests at the exchange overnight, the full-session result is what the account would actually see.
Should a backtest use regular hours or the full session?
Use the session in which your orders will actually be live. A session template is the setting that tells the backtest which hours count as trading time and how to build bars and daily boundaries from them. Regular hours (RTH) match the 9:30 a.m.–4:00 p.m. ET stock session; the full session (ETH) is the whole Globex day, explained in detail in night sessions in futures backtests. For ES and NQ, the choice follows from how you will trade:
| How you will trade | Session template | Why |
|---|---|---|
| Day trading only in stock hours, flat by 4:00 p.m. | Regular hours | Indicators and daily levels match the bars you watch. Night bars would only add noise to the signals. |
| Holding overnight with stops resting at the exchange | Full session | Stops and drawdown must be checked through the night. |
| Trading the overnight session itself | Full session | The trades happen in those hours. |
| Signals from day bars, but positions held overnight | Regular hours for signals, full session to check stops and drawdown | The signal logic stays the same, and the risk is measured on the full price path. |
Decide the template from your trading plan before you look at results. If you run both templates and keep the one that looks better, you add another selection on top of all your parameter choices. Every extra selection makes the best backtest look better than the strategy really is (Bailey et al., 2014).
How much slippage should you assume after hours?
Assume more slippage overnight than in the stock session, because fewer orders wait at each price. Slippage is the difference between the price the backtest assumes and the price you actually get. Overnight, the order book is thinner: fewer contracts rest at each price level. A market or stop order then moves through more price levels before it is filled. Around overnight news and the 8:30 a.m. ET reports, this gets worse.
- Use your own fills if you have them. Split them by hour and compare each fill with the signal price.
- Set slippage for the hours you trade. If most trades fill overnight, apply the overnight figure to all trades. One blended number that comes mostly from day fills understates the cost.
- Stress-test. Rerun with double the slippage. A strategy that only survives cheap overnight fills depends on fills you may not get.
- Compare cost with the average trade. The average trade should be several times the round-trip cost. The method is in trading costs in backtests.
Hypothetical example
Your own fills on NQ show about 1 tick of slippage per side in stock hours and about 2 ticks per side overnight. One NQ tick (0.25 point) is worth $5.00. A round trip then costs $10 in slippage by day and $20 at night.
The strategy makes 400 trades a year, and 280 of them fill overnight. Real slippage: 120 × $10 + 280 × $20 = $6,800. A backtest using the day figure for all trades would assume 400 × $10 = $4,000, which understates the cost by $2,800 a year.
What should you check in your data before the first run?
Check that the data contains the hours you plan to test, in a time zone you know. A full-session test needs historical bar data that includes the overnight hours. A regular-hours file cannot be turned into full-session data afterwards.
- Time zone of the timestamps. CME publishes ES and NQ hours in Central Time, one hour behind ET: the daily break is 4:00–5:00 p.m. CT. Your session template must use the same time zone as your data.
- The daily break. On a 1-minute chart, every Monday to Thursday should show no bars between 5:00 and 6:00 p.m. ET. Bars inside the break point to a time zone or data problem.
- Holiday sessions. Shortened sessions create short daily bars. These can distort rules that use daily ranges.
- Bar boundaries. Confirm whether a 60-minute bar starts at 9:00 or at 9:30. Signals change with the bar boundaries.
What this means if you use AlphaPrime (Valynox): AlphaPrime's backtesting evaluates every candidate with the trading session, fees, slippage and next-bar execution you set. Choose the session template from your live plan and set slippage for the hours you will trade. Then read the drawdown and the trade list in the Performance Report to see how the overnight hours affect the result.
Frequently asked questions
What time do ES futures open on Sunday?
ES futures open on CME Globex at 6:00 p.m. ET on Sunday. That is 5:00 p.m. Central Time, the time zone CME uses on its contract pages. The week's trading then runs until Friday at 5:00 p.m. ET, with a one-hour break each day from Monday to Thursday.
Do Nasdaq futures trade after hours?
Yes. NQ and MNQ follow the same Globex schedule as ES. They trade until 5:00 p.m. ET, pause for one hour, and reopen at 6:00 p.m. ET for the overnight session. Liquidity is usually thinner at night than during stock market hours.
Do stock futures after hours predict the next day's open?
They show where traders are pricing the index right now, so the stock open often starts near the overnight futures level. The futures price differs slightly from the index level because of interest and expected dividends. This difference is called the basis. Compare the futures change since the close with the index change, not the raw price levels.
Should I backtest ES on regular-hours or full-session data?
Use regular-hours data if you only trade during stock hours and are flat by the close. Use full-session data if your positions or stop orders stay live overnight. The backtest should cover exactly the hours in which your orders can be filled.
Why does my ES daily bar look different on two platforms?
The two platforms probably use different session templates. A full-session daily bar starts at 6:00 p.m. ET the evening before, while a regular-hours bar starts at 9:30 a.m. ET. Different open, high and low values change any rule that uses daily levels.
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.
What AlphaPrime does here
AlphaPrime's backtesting applies your trading sessions, fees, slippage and next-bar execution to every strategy it evaluates. The Performance Report shows equity, drawdown, trades and long and short analysis for each result.