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How to Backtest Forex Behaviour on Bank Holidays

Research protocol · Reviewed 24 Aug 2026

A bank holiday can alter staffing, liquidity, settlement, and session participation, but different markets and dates are not interchangeable. The sample is usually small and should be matched with ordinary days.

Attach the official calendar source and state which currency’s banking system is closed for each tagged date.

Small-sample calendar check

CHECK 46

Bank holidays need matched ordinary days

Build the holiday list from official calendars and match each event with nearby non-holiday days using the same weekday, pair, session, and regime where possible. UK-only and US-only holidays should not be pooled automatically.

  1. State which market is closed or shortened.
  2. Keep DST and session clocks aligned.
  3. Compare spread, range, wick share, and trade opportunity.
  4. Publish the event count and uncertainty.

A handful of holidays can suggest a review question, not a universal trading rule.

Build a documented event list

Use official holiday calendars and record which market was closed, partially open, or observing shortened hours. Keep UK-only, US-only, and shared holidays separate and map each to the correct session timezone.

Compare like with like

Match each holiday with non-holiday observations by weekday and nearby regime. Report range, spread assumptions, wick-to-body ratio, signals, fills, and uncertainty instead of turning a small average into a blanket no-trade rule.

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