By the way, when developing trading systems for American futures, some subtleties arise, which are quite difficult to avoid. Usually, the vast majority of indicators are calculated based on the closing prices of the day, and this is logical. But here's the question, what is considered a true close for American futures? Официально, apparently, according to the old tradition, the closing price is settlement, which happens for each futures in due time, in the evening. But the fact is that after settlement, futures continue to trade as if nothing had happened and the last price of the day may differ significantly from settlement. It turns out that we calculate all indicators at some price., which happened within the day, although it is the official closing price, но фактически нет. Here the dog is buried. It seems like many traders should consider the official close as an important point., but others do not care about this point as they continue to trade and stop only at the end of the day.
That's why, being in such a delicate situation, I guess, the closing price should be abandoned altogether in the development of trading systems for American futures. What we know unambiguously and transparently — this is the opening price, high and low. For example, for breakout systems, you may not use the closing price at all. Since positions are opened for breakout, then, for example, if any channels are used, they can be built in high and low. In systems operating an extension of the range, it is logical to use the session opening price, adding some increment to it to open a position. And so on in the same spirit.
Many people use moving averages, based on closing prices, just not thinking about the fact that it is based on closing prices. The moving average may differ in different terminals, depending on which closing prices the terminal uses. — settlement or last price of the day. To avoid confusion, it is better to build moving averages not at the closing prices., and at the average price of a bar.
