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Filtering out nighttime during strategy optimization

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    Filtering out nighttime during strategy optimization

    I am in the central time zone (CT), and now I can see the times on the ES chart is exactly the same as my PC, since CME is also in CT.



    When I optimize, how can I filter out nights when volume is low? I looked in the Strategy Optimizer combo box that lists the various CME futures, but I think overnight is included since these are hours when the specific future trades. I do use a boolean called "tradewindow" (see below) which I hang on the trade execution logical, but this is for executions -- I need to prevent the algorithm from being exposed to (training on) overnight data, so I have to clip that out?



    Code:
                    after0835= ToTime(Time[0]) >= 083500;
                    before1455 = ToTime(Time[0]) < 145500;
                    after1455 = ToTime(Time[0]) > 145500;
                    tradewindow= after0835 && before1455;
                    exitmarket = after1455;
    (by the way, which CME option in the timeframes is the ES in).

    #2
    Hello pel11,

    Thanks for the note .

    Your implementation is a valid way of filtering out trading hours.

    There is a reference sample linked below that demonstrates how to limit a strategy's trading hours to a certain time frame.

    https://ninjatrader.com/support/help...to_limit_t.htm

    I am not sure if I understand this question:
    by the way, which CME option in the timeframes is the ES in
    Please clarify if possible.

    I look forward to assisting further.
    Chris L.NinjaTrader Customer Service

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