US stock market hours vs futures sessions: setting up a backtest
US stocks trade 9:30 a.m. to 4:00 p.m. Eastern Time, while ES and NQ futures trade almost 24 hours with a one-hour daily break. A backtest has to state which of these sessions it uses, in exchange time, with holidays and daylight saving included.
By Soren Huang · Published · updated · Editorial policy
Contents
- What are the US stock market hours?
- How do ES and NQ futures hours differ from stock hours?
- What time does the US market open in Taiwan?
- What happens on US holidays and early-close days?
- Should your backtest use regular hours or the full futures session?
- How do you set the session in a backtest, step by step?
- Frequently asked questions
What are the US stock market hours?
US stocks trade regular hours from 9:30 a.m. to 4:00 p.m. Eastern Time, Monday to Friday, with pre-market and after-hours trading around them. ES and NQ futures trade almost 24 hours, from 6:00 p.m. to 5:00 p.m. ET with a one-hour daily break. In Taiwan time, the stock open is 21:30 in summer and 22:30 in winter.
Think of the stock market as a shop with fixed opening hours and a side door. Most customers come through the front door during opening hours. A smaller number come through the side door before and after those hours.
Regular trading hours are the main session of the New York Stock Exchange (NYSE) and Nasdaq, from 9:30 a.m. to 4:00 p.m. Eastern Time (ET), six and a half hours a day. The opening and closing auctions happen in this session, and the official closing prices come from it. Most of the day's volume trades here.
Extended-hours trading is trading in the same stocks outside regular hours, through electronic venues and brokers that offer it. Many venues run pre-market trading from as early as 4:00 a.m. ET and after-hours trading until 8:00 p.m. ET. Your broker may offer a shorter window. Volume is thinner in these hours and the gap between bid and ask is usually wider, so a backtest that fills extended-hours trades at the last price is more optimistic than a real account.
How do ES and NQ futures hours differ from stock hours?
E-mini S&P 500 (ES) and E-mini Nasdaq-100 (NQ) futures trade almost around the clock on CME Globex, from Sunday 6:00 p.m. ET to Friday 5:00 p.m. ET, with a daily break from 5:00 p.m. to 6:00 p.m. ET.
CME Globex is CME Group's electronic trading platform. CME publishes these hours in Central Time (CT), the time zone of Chicago: 5:00 p.m. to 4:00 p.m. CT, with the break from 4:00 p.m. to 5:00 p.m. CT. If the stock market is a shop with opening hours, the futures market is a 24-hour convenience store that closes for one hour each afternoon to restock.
Three details change how your bars look:
- The futures trading day starts the evening before. The session that CME counts as Monday opens on Sunday at 6:00 p.m. ET. A daily bar labelled Monday therefore includes Sunday evening trading.
- The stock close is not the futures close. At 4:00 p.m. ET, when stocks close, ES and NQ keep trading until 5:00 p.m. ET. A rule that says "exit at the close" needs to name which close. The article on NYSE close vs futures close in a backtest covers this in detail.
- The weekend is the only long pause. From Friday 5:00 p.m. ET to Sunday 6:00 p.m. ET there is no trading, so the largest gaps in ES and NQ data usually appear at the Sunday open.
Exchanges can change trading hours, so check the contract page on the CME Group website for the current ES and NQ schedule. The free futures market hours tool shows the sessions by exchange in your own time zone.
What time does the US market open in Taiwan?
In Taiwan the US stock market opens at 21:30 during US daylight saving time and at 22:30 the rest of the year, because the US changes its clocks and Taiwan does not.
Eastern Time is the time zone of New York. It is UTC−4 in summer, called Eastern Daylight Time, and UTC−5 in winter, called Eastern Standard Time. Daylight saving time is the practice of moving clocks one hour forward in spring and back in autumn. In the US it runs from the second Sunday in March to the first Sunday in November. Taiwan uses UTC+8 all year. The gap between Taipei and New York is therefore 12 hours in the US summer and 13 hours in the US winter.
| Event | Eastern Time | Taiwan time, US summer | Taiwan time, US winter |
|---|---|---|---|
| Stock pre-market (earliest) | 4:00 | 16:00 | 17:00 |
| Stock regular open | 9:30 | 21:30 | 22:30 |
| Stock regular close | 16:00 | 04:00 next day | 05:00 next day |
| After-hours end (latest) | 20:00 | 08:00 next day | 09:00 next day |
| ES/NQ daily break | 17:00–18:00 | 05:00–06:00 | 06:00–07:00 |
| ES/NQ week opens | Sunday 18:00 | Monday 06:00 | Monday 07:00 |
| ES/NQ week closes | Friday 17:00 | Saturday 05:00 | Saturday 06:00 |
The shift matters for a backtest whenever a rule is written in local time instead of exchange time.
Hypothetical example
A trader in Taiwan tests an ES strategy that enters at the US stock open. She sets the entry time as 21:30 Taiwan time. From March to November that is 9:30 a.m. ET, the open. From November to March, 21:30 Taiwan time is 8:30 a.m. ET, one hour before the stock open and the time when many US economic reports are released. About a third of her entries now happen in a different market than the one she meant to test, and the backtest mixes the two without saying so.
What happens on US holidays and early-close days?
US stock exchanges close on about ten holidays a year and close early on a few others, while ES and NQ often trade a shortened session on those days instead of closing completely.
The NYSE holidays are New Year's Day, Martin Luther King Jr. Day, Washington's Birthday, Good Friday, Memorial Day, Juneteenth, Independence Day, Labor Day, Thanksgiving and Christmas. On some days near holidays, such as the day after Thanksgiving, stocks close early at 1:00 p.m. ET. CME publishes its own holiday schedule each year, and on many US stock holidays equity index futures trade an abbreviated session. The free stock market holidays tool lists holidays and early closes by exchange.
These days change a backtest in specific ways:
- Time-based exits can miss. An exit at 15:55 ET never triggers on a 1:00 p.m. close. The position is carried into the next session unless the rule uses the actual session end.
- Daily bars are short. A half-day bar has a smaller range. Volatility filters based on daily ranges read it as a quiet day.
- Futures bars exist when stocks are closed. A regular-hours session template may produce no bars or only a few on a stock holiday, while full-session data shows a thin, short trading day.
Should your backtest use regular hours or the full futures session?
Use the session in which the strategy's signals and fills would really happen, because the choice changes which bars exist, where gaps appear and what the indicators calculate.
A session template is the set of start and end times that tells the backtest which bars belong to a trading day. Many charting platforms offer a day-session template for ES and NQ that starts at the 9:30 ET stock open, and a full-session template that follows the Globex hours. Check where the day template ends, because futures keep trading after 4:00 p.m. ET.
| Question | Regular hours only | Full futures session |
|---|---|---|
| 30-minute bars per full day | 13 | 46 |
| Opening gap at 9:30 ET | Visible on the chart | Absorbed by overnight bars |
| Indicator inputs | Daytime bars only | Includes thin overnight bars |
| Positions held overnight | Price jumps from close to open | Every overnight move is a bar |
| Typical fill quality | Highest liquidity of the day | Thinner liquidity at night |
The same price history can produce different signals on the two templates.
Hypothetical example
ES trades at 5,000.00 at 4:00 p.m. ET on Monday. Overnight it rises slowly and reaches 5,020.00 by 9:30 a.m. ET on Tuesday. On a regular-hours chart, Tuesday's first bar opens 20 points above Monday's last bar: a gap. On a full-session chart the price moved there bar by bar during the night, and there is no gap. A rule that buys when the market opens 15 points or more above the previous bar triggers on the first chart and never on the second.
Night sessions bring their own questions about liquidity and slippage. The article on day-only vs full-session bars in futures backtests goes through them.
How do you set the session in a backtest, step by step?
Set the session before the first run, in exchange time, and keep the same template from the backtest to the live chart.
- Choose the session the strategy trades. Regular hours if it trades the stock-market day, full session if it trades or holds positions overnight.
- Confirm the time zone of your data. Check whether the bar timestamps are in Central Time, Eastern Time or your local time, and whether a timestamp marks the start or the end of the bar.
- Write the session and all time-based rules in exchange time. This keeps 9:30 ET at the open in every season.
- Decide what happens at the session end. Either the strategy exits before the close you named, or it holds through the daily break and the weekend. Both are valid; the backtest has to know which one.
- Check holidays and early closes. Look at the bars around Thanksgiving, Christmas and Independence Day and confirm that exits and filters behave as intended.
- Use the same session on the trading platform. The chart that runs the strategy needs the same session template, or the signals will differ from the backtest.
AlphaPrime (Valynox) puts the session into the research settings. AlphaPrime's backtesting includes trading sessions together with data resolution, next-bar execution, fees and slippage, so every candidate in a search is tested on the same session. When you move a strategy to MultiCharts, TradingView, TradeStation or NinjaTrader through platform export, set the chart there to the same session you tested.
What this means if you use AlphaPrime: choose the session and its times in exchange time before you start a search, and check holiday bars once in your data. Every strategy AlphaPrime evaluates then uses the same market hours you will trade.
Frequently asked questions
What time does the US stock market open in Taiwan?
The regular session opens at 21:30 Taiwan time from the second Sunday in March to the first Sunday in November. The rest of the year it opens at 22:30. The change comes from US daylight saving time, because Taiwan does not change its clocks.
Is the US stock market open 24 hours?
No. Regular trading runs from 9:30 a.m. to 4:00 p.m. ET, and extended hours at many venues run from 4:00 a.m. to 8:00 p.m. ET. US stock index futures such as ES and NQ trade almost 24 hours, from Sunday 6:00 p.m. to Friday 5:00 p.m. ET, with a one-hour break each day.
Do ES and NQ futures trade on US stock market holidays?
On many US stock holidays, ES and NQ trade a shortened session instead of closing completely. The exact hours differ by holiday and year. CME Group publishes the holiday schedule on its website.
What is the difference between RTH and ETH in futures charts?
RTH means regular trading hours and usually follows the stock-market day starting at 9:30 a.m. ET. ETH means extended or electronic trading hours and covers the full futures session. The same strategy can give different signals on the two, because the bars, gaps and indicator values differ.
Does daylight saving time change the futures trading hours?
In exchange time, no: ES and NQ keep the same hours in Central and Eastern Time all year. In Taiwan time, every US session moves one hour when the US changes its clocks. Rules written in exchange time stay correct through the change.
What AlphaPrime does here
AlphaPrime's backtesting lets you set trading sessions, data resolution, next-bar execution, fees and slippage once, and applies them to every strategy it evaluates.