That´s the same bug I´ve already reported in September 2018 here: https://forexsb.com/forum/topic/7523/po … anagement/
The EA Studio backtests ignore the global session time set for the indicator EXITS (naturally stop losses can happen at any time of course). ENTRIES are OK and times are obeyed. The funny thing is that the MT4 code (and hence the Metatrader backtests) that EA Studio generates DOES obey the session times just fine also for the EXITS, just the backtests in EA Studio are wrong and ignore the session times for indicator based exits (they can always happen 24 hours, regardless of what session you´ve set).
This also leads to that especially such strategies like yours have wrong results between the EA Studio backtest / the MT4 backtest and hence EA Studio generates wrong strategies too as the exported code will just not trade like that, so backtests are mismatched to often high degrees. But I´ve all reported it this summer as you can see in the post I´ve linked, but it was not fixed, unfortunately, although it´s a pretty serious bug.