one of the things I'm doing is converting these MES futures mean
reversion systems to a custom time frame where the daily MES bar
closes at 4 pm EST instead of 5 pm. I'll lose an hr of data a day
but that's fine. While investigating the daily ES closing
bars, the exchange does weird things, the 5 pm close does not match
what the exchange shows for MES on a daily closing bases - it can
be off from a few points to as much as 30 points. It appears
that the exchange roughly targets the price ES futures are trading
at the time of the SPY and SPX cash market close and NOT where ES
was trading an hr later at 5 pm when it actually stops trading.
in order to create this custom time session I have to create
1440 min charts and use those in place of the daily charts. Then
set a custom time session that closes the bar at 4 pm.
The good thing about this is that going forward it will also be
a lot simpler: Now the ES bars and the system trades on ES
will confirm at the same time as SPY, vs us having to wait for an
hr and see if the ES system triggers or not. Makes it a lot easier
for me to just confirm everything at the same time at the cash
close for both SPY and ES futures.
This is great point. I actually meant to bring this up to you
regarding futures. When you program the system you're getting
the "settlement" price. Unfortunately, that's not necessarily the
"last" price. So you'll have a situation where you can trigger an
exit but Tradestation will give you an exit thats not where it is
currently trading. I think its especially the case with GC as
well where the settlement comes in at the close - around 2:30pm -
but it trades until 5:00pm. This is WHEN your bar ends and
the signal is generated, but not WHERE. Where is back at 2:30pm.
(I may wrong on this, but that's my understanding of it
anyway).
I think your workaround is the way to go! A coding
pain-in-the-neck, but it should work.
Mean reversion SPY/MES systems exited perfectly
Posted by matt on 25th of Nov 2025 at 09:54 am
Remember the SPY QE BTS long closed out right on the open, it's the upper left chart
one of the things I'm
Posted by matt on 25th of Nov 2025 at 10:33 am
one of the things I'm doing is converting these MES futures mean reversion systems to a custom time frame where the daily MES bar closes at 4 pm EST instead of 5 pm. I'll lose an hr of data a day but that's fine. While investigating the daily ES closing bars, the exchange does weird things, the 5 pm close does not match what the exchange shows for MES on a daily closing bases - it can be off from a few points to as much as 30 points. It appears that the exchange roughly targets the price ES futures are trading at the time of the SPY and SPX cash market close and NOT where ES was trading an hr later at 5 pm when it actually stops trading.
in order to create this custom time session I have to create 1440 min charts and use those in place of the daily charts. Then set a custom time session that closes the bar at 4 pm.
The good thing about this is that going forward it will also be a lot simpler: Now the ES bars and the system trades on ES will confirm at the same time as SPY, vs us having to wait for an hr and see if the ES system triggers or not. Makes it a lot easier for me to just confirm everything at the same time at the cash close for both SPY and ES futures.
This is great point. I
Posted by pep8261 on 25th of Nov 2025 at 12:44 pm
This is great point. I actually meant to bring this up to you regarding futures. When you program the system you're getting the "settlement" price. Unfortunately, that's not necessarily the "last" price. So you'll have a situation where you can trigger an exit but Tradestation will give you an exit thats not where it is currently trading. I think its especially the case with GC as well where the settlement comes in at the close - around 2:30pm - but it trades until 5:00pm. This is WHEN your bar ends and the signal is generated, but not WHERE. Where is back at 2:30pm. (I may wrong on this, but that's my understanding of it anyway).
I think your workaround is the way to go! A coding pain-in-the-neck, but it should work.
of course the ES Pro
Posted by matt on 25th of Nov 2025 at 10:03 am
of course the ES Pro exited yesterday, still love the look of those charts- make a good poster or image to print and blow up and hang on office wall
I ordered one print (love
Posted by steve on 25th of Nov 2025 at 10:05 am
I ordered one print (love that look) along with Matt's T-shirt for Christmas gifts (LOL)
Good timing for that Matt
Posted by steve on 25th of Nov 2025 at 09:54 am
Good timing for that Matt