This looks really good GraHal. Although I have a question. The original code is quite time specific (as it only trades a few hours in the morning). I tested your code as is. But as I am in mainland Europe at the moment, the results differed massively ( I only ended up with 13k profit instead of 21k). However, adjusting to the UK time zone by adding a single hour (I am assuming by looking at the flag /nationality linked to your avatar on your post) our results matched. So this leads me to my question, did you at all consider running the system at US market open hours, as it is a US index after all?

I adjusted the code to trade in US mornings and doing so would actually yield a loss. Also, as the US changes their clocks on a different date compared to Europe and the UK, the backtest would not be consistent, as there would be a few weeks, twice a year, where the timing is out by an additional hour.
I get that these results are good and thats all that matters, but it just feels wrong to me to run a system on an index when it’s underlying market is technically closed.

Kind of hoping you have an answer for this that puts my mind at ease, and we can carry on getting to that yacht life.
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