The currency market runs from Sunday evening to Friday evening because trading passes from one financial centre to the next. In UK time the Asian session, centred on Tokyo with Sydney before it, runs from around midnight to 9am. The London session runs from 8am to 5pm. The New York session runs from 1pm to 10pm, and the daily rollover at 10pm marks the end of one trading day and the start of the next.
What changes between them
Volume and spread. London is the largest session by turnover and the tightest for European pairs. The four hours from 1pm to 5pm, when London and New York are both open, carry the most volume of the day and the tightest spreads on the majors. The Asian session is quieter, with narrower ranges in EUR/USD and GBP/USD and more activity in yen and Australasian pairs. The gap between New York's close and Tokyo's open, and the hour after the Sunday open, are the thinnest periods, with the widest spreads.
Behaviour changes too. Ranges established in Asia are often broken when London opens, and the London open and the 1.30pm US data releases are where much of the day's directional movement happens. Stock index CFDs follow their own exchanges: the US indices are active from 2.30pm, the DAX from 8am, the FTSE from 8am to 4.30pm.
An EA's trade history shows that 70 per cent of its losses came from entries placed between 10pm and 1am UK time. Its strategy works on one-hour bars and the spread at those hours at this broker averages three times the London-session spread. A session filter that blocks new entries from 9.30pm to 1am removes most of those trades. The backtest could not have shown this, because it used a fixed spread.
An EA on daily or weekly bars is largely indifferent to sessions, since its trades open at the daily bar and hold across all of them. An EA on hourly or shorter bars is not, and its description should say which hours it trades and why. A session filter, which blocks entries during stated hours, is a simple and legitimate control, and it should be set in the broker's server time, which is the time the EA actually sees. Look at the trade history's open times by hour before assuming the EA trades when its marketing implies.