I actually did just that. I went ahead and made a second set of OHLC bars with proper timestamps and OHLC data and imported it. It seemed to import just fine but when I do an actual backtest it will use the overnight bars only for a couple months then flip to the day bars for a while, then flip back again, back and forth. It never shows both the daytime and overnight bars for each day. I am assuming that the issue is because the overnight OHLC data is more time than the daytime OHLC. Does that sounds true? I don't know if NT needs all OHLC records to all be of equal length.
Am I approaching this the right way? Is there a better way? If there isn't a better way how can I massage my data so that I can trade both the open and close price of my daily OHLC data.
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