Setting a reliable daily "session" for backtesting

[pstrusi]

Hi Ninjas,

I spoke about this issue before but I´m still struggling to solve it. The problem is this:

I´d like to run daily backtesting in order to evaluate a 24 hrs performance for certain Algos. I´ve set correctly the "exit on close" accordingly with the right daily session for forex, from 17:15 till 17:00 next day. The problem is that in any daily backtesting I´ll always get a 48 hrs evaluation trading, I mean: it always goes from 17:15 of the day before ( to the actual day ) until 17:00 of the next day after the actual day.

I understand that NT has to take in consideration for calculations purpose data out of this range but what I can´t understand is why it has to include "active trades" that actually are out of that range. Is there any way to prevent this and just getting the actual 24 hrs?

To solve this I´ve tried to create a new daily session from 0:00 till 23:29:59, and despite it actually gets just the daily performance that I look for, it has the flaw that actually that schedule is not the natural flow of forex.

Any help will be highly appreciated

[NinjaTrader_Joydeep]

Hello pstrusi,
Thanks for your note.

If you try creating a new session template as per this post then are you able to get the right trades.

http://ninjatrader.com/support/forum/showpost.php?p=283274&postcount=5

Please make sure to set the timezone set to Pacific Time.

[pstrusi]

Thanks for the note Joydeep, it´s pretty similar what I did, except the pacific time tweek, thanks, I´ll try it but please pass this issue in order to be solved.

[NinjaTrader_Joydeep]

Hello pstrusi,
Thanks for your note.
Yes, we are aware of the limitation. You can however overcome it by making the tweak.