Backtesting Copper (HG) Futures: Handling
It is early morning, and your algorithm just captured a move on copper futures while you were still asleep. Yet, when you review the results in NinjaTra...
It is early morning, and your algorithm just captured a move on copper futures while you were still asleep. Yet, when you review the results in NinjaTrader 8, the backtest shows a perfect entry that would have been impossible in live trading due to a massive overnight gap. This discrepancy often stems from how the European session opens relative to the Asian close, creating a price void that standard backtesting engines struggle to simulate accurately. Copper futures (HG) are the CME's benchmark contract for trading global copper demand, industrial cycles, and macro growth expectations. Because the contract trades nearly 24 hours a day, five days a week, price action is continuous across multiple time zones. However, the transition between the Asian session close and the European session open frequently creates significant price gaps. These gaps occur because liquidity dries up during the overlap or when news hits outside of active trading hours. Copper Futures (HG) is a standardized exchange-traded contract representing 25,000 pounds of copper. It is traded on the COMEX exchange and serves as a primary gauge for global industrial health.