I have a strategy that looks at the daily chart for a signal and the 5min chart for entry and trades ES futures. I am struggling with historical data that falls outside of normal trading hours and holidays.
I went into the Historical Data Manager and excluded days that included Sundays and Holidays. This removed those days from the daily chart, but the strategy still took trades on the excluded days as a 5 min bar was built. Do I have to exclude on the daily and delete the minute data to not take trades on these days in my strategy (just backtesting at this point)?
The signal on the daily is an SMA so I want the SMA to reflect actual tradable days and not Sunday and holidays,. It seems right now that that is happening.
IS there a way to exclude the days on the minute chart without having to delete the data other than programming a day of week exclusion or building an exclusion list?
Thanks,
stalt
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