On September 20, 2015, index futures and NYMEX traded instruments changed their trading times to close at 4:00 PM Central, 15 minutes earlier than previously. Generally, we want to adapt our NinjaTrader session templates to the contractual trading times of the market. However, when market hours change, we need consider which is the appropriate session template. This will in part depend on your trading style:
- If you are a discretionary scalper, and do not use charts with a lookback period greater than 5 days, you should use a transition template for 5 days and then switch to the new template
- If you are a discretionary swing trader and typically use charts with a lookback period of 100 days, you should use a transition template for the first 100 days after the change.
- If you are a system trader and relying on backtests going three years back, you should use a transition template for the next 3 years.
The Transition Template:
The proper solution would be to use the old session template for all price data prior to September 20, 2015 and then use the new session template for all data after September 20, 2015. However, NinjaTrader does not allow for using different session templates within the same chart. Therefore you need to settle for a single session template which covers the entire chart or backtest. This is the transition template.
The transition template is a compromise session template, which works reasonably well with both the old and the new market hours.
When you set up this template, your main priority is to have all trade data displayed on the chart. Now let us consider the old and new trading times:
- Old: 5:00 PM – 8:30 AM, 8:30 AM – 3:15 PM, 3:30 PM – 4:15 PM
- New: 5:00 PM – 8:30 AM, 8:30 AM – 3:15 PM, 3:30 PM – 4:00 PM
It is easy to see that the best choice is to use the old session template during the transition period. If we use the new session template, all trade data between 4:00 PM and 4:15 PM is lost, leaving us with an incomplete chart.
Disadvantages by using the old session template?
The answer is no. NinjaTrader will display exactly the same bars as when using the new template. We could not find a single reason to switch to the new session template at this time. However, as mentioned, there is an important reason NOT to switch to the new template: All chart data prior to September 20 will be incomplete (=false).
Conclusion:
By keeping your current session templates the LizardTrader session indicators
- will work with the past trading hours (important for accurate backtest results)
- will work with future trading hours (as all available data will be recorded)
Accordingly, to maintain accurate backtest results, we will keep the old session template for the next few years. We do NOT recommend changing your session templates at this point because it will result in truncated charts for trading days prior to September 20, 2015.
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