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This strategy has two entry setups that can be enabled/disabled individually. Let's start with the first enty setup: FVG+FVG Entry setup

FVG+FVG Entry Setup

This entry setup is based on a multitimeframe analysis of Fair Value Gaps to enter trades

The strategy analyzes two timeframes in a simultaneous way, to find entries based on Fair Value Gaps that occur on both timeframes.

The two timeframes should be of the same type, meaning they should be both time based, or range based, or tick based...etc. The strategy should be running on the lower (faster) timeframe while the higher (slower) timeframe should be selected as a parameter. For example, the strategy can run on the 30 seconds timeframe as the lower timeframe, while having the 5 Minutes timeframe as the higher timeframe

Here is the algorithm of the strategy to find entries:

• The strategy searches for fair value gaps on the higher timeframe
• When a Fair Value Gap is found, the strategy will start searching for an FVG (fair value gap) on the lower timeframe
• If a FVG is found on the lower timeframe, it should satisify a number of conditions before it considered valid
• The lower timeframe FVG should be within a certain distance in Points from the higher timeframe FVG
• The lower timeframe FVG should be within a certain number of bars from the higher timeframe FVG
• The strategy can be parametrized to follow 3 entry modes:
1. Immediate Mode: In this mode, the strategy will analyse the occurence of FVGs on both timeframes and will enter immediately after the formation of the lower timeframe FVG if all the conditions are met
2. 50% Retracement Entry Mode:

   In this mode, the strategy will wait for the price to tap into the higher timeframe FVG before searching for the lower timeframe FVG. If the price doesn't comeback and tap into the higher timeframe FVG, the current entry setup is invalidated and the strategy will start looking for a new FVG on the higher timeframe

   When the price tap into the higher timeframe FVG, and a lower timeframe FVG takes place, the strategy will also wait for the price to tap into the 50% retracement level of the lower timeframe FVG

3. Wait For Pullback Mode:

   In this mode, the strategy will execute the same logic of the previous 50% Retracement Mode and then adds an additional step after the 50% retracement, which is waiting for a price candle to close outside of the lower timeframe FVG as a last confirmation step

Swing+FVG Entry Setup

This entry setup is based on analyzing both swing points on a higher timeframe, and fair value gaps on a lower timeframe to enter trades

The strategy analyzes two timeframes in a simultaneous way, to find entries based on swing points and Fair Value Gaps confluence that occur on both timeframes.

Same as the previous entry setup, the two timeframes should be of the same type, meaning they should be both time based, or range based, or tick based...etc. The strategy should be running on the lower (faster) timeframe while the higher (slower) timeframe should be selected as a parameter. For example, the strategy can run on the 30 seconds timeframe as the lower timeframe, while having the 1 Minute timeframe as the higher timeframe

Here is the algorithm of the strategy to find entries:

• The strategy analyzes higher high and lower low swing points on the higher timeframe
• The strategy defines a trend based on a number of successive increasing or decreasing swing points
• When a bullish trend is detected, the strategy will look for long FVGs above the last higher low swing point, on the lower timeframe
• When a bearish trend is detected, the strategy will look for short FVGs below the last lower high swing point, on the lower timeframe
• When a FVG is found on the lower timeframe, it should satisify a number of conditions before it considered valid
• The lower timeframe FVG should be within a certain distance in Points from the higher timeframe last swing point
• The lower timeframe FVG should be within a certain number of bars from the higher timeframe last swing point
• The strategy can be parametrized to follow two entry modes:
1. Immediate Mode: In this mode, the strategy will analyse the occurence of FVGs on both timeframes and will enter immediately after the formation of the lower timeframe FVG if all the conditions are met
2. 50% Retracement Entry Mode:

   In this mode, the strategy will wait for the price to tap into the higher timeframe Swing point before searching for the lower timeframe FVG. If the price doesn't comeback and tap into the higher timeframe Swing, the current entry setup is invalidated and the strategy will wait for a new Swing to form on the higher timeframe

   When the price tap into the higher timeframe Swing, and a lower timeframe FVG takes place, the strategy will also wait for the price to tap into the 50% retracement level of the lower timeframe FVG

3. Wait For Pullback Mode:

   In this mode, the strategy will execute the same logic of the previous 50% Retracement Mode and then adds an additional step after the 50% retracement, which is waiting for a price candle to close outside of the lower timeframe FVG as a last confirmation step

Chart Examples

So let's look at some examples on the chart:

These examples are not intended to show that the strategy generates profit. I have intentionally handpicked profitable trades to avoid confusion and to show the best case scenarios where the entry setups work well. If you run the strategy on your side, you will see that many of those same entry setups will lead to losing trades. This is the reality of trading. Your goal should be expected profitability on the long run even though some trades are in loss.

FVG+FVG long entry

In this example, we are on lower timeframe (30 seconds) and on the higher timeframe (5 minutes) with only the FVG+FVG entry setup enabled. On the chart you can see the two FVG that generated the entry having their label highlighted. The entry method for this entry was the 50% retracement. The first higher timeframe FVG labeled FVG HTF was formed, then, the lower timeframe FVG labeled FVG has formed on the 30 seconds timeframe. Then, price retraced to 50% of the FVG and the position was entered after that. If the entry mode was "Wait for pullback", the strategy would have entered one bar later on the following green bar closing above the FVG

FVG+FVG short entry

In this example, we are on the same settings as the previous example, on lower timeframe (30 seconds) and on the higher timeframe (5 minutes) with only the FVG+FVG entry setup enabled. On the chart you can see the two FVGs that generated the entry having their label highlighted. The entry method for this entry was the 50% retracement. The first higher timeframe FVG labeled FVG HTF was formed, then, the lower timeframe FVG labeled FVG has formed on the 30 seconds timeframe. Then, price retraced to 50% of the FVG and the position was entered after that. If the entry mode was "Wait for pullback", the strategy would have entered one bar later on the following ref bar closing below the FVG

Swing+FVG short entry

In this example we are on 30 Seconds lower timeframe and 1 Minute Higher timeframe. The entry executed here is a Swing+ FVG entry with a "Wait for Pullback" entry mode. We can see a first swing-high formed labeled "1" followed by the second swing-high labeled "2" that took the high of the first swing. This satisifies the "Wait for Pullback" logic, then, the strategy waited for lower timeframe FVG that took place at label "3", followed by a 50% retracement of the FVG, then a bar closed below the FVG, that marked the completion of the whole cycle required to open a bearish trade which was open at the close of the red bar.

Swing+FVG long Immediate entry

In this example we are on 30 Seconds lower timeframe and 1 Minute Higher timeframe. We are on an Immediate entry method setting and a 2 Swing Trend parameter. The strategy waited for 2 increasing swings labeled in "1" & "2" on the higher timeframe, then an FVG that occured on the lower timeframe labeled in "3". The strategy didn't wait for a pullback and entered immediately after the FVG formation

Features

The FVG Scalper strategy has a set of unique features:

• Robust In-house implementation of the FVG and Swing detection algorithms
• No pending orders are placed: only market orders
• Full-auto strategy that can be scaled into multiple instances
• Precise backtesting capabilities following NinjaTrader official best practices to obtain precise entry/exit backtesting on tick level
• Robust In-house Order management library. Resistant to connection loss and works seamlessly on Rithmic accounts or NinjaTader brokerage accounts

Here I further explain some of the features of the strategy in more details

Dynamic Quantity and Risk Management

As all our strategies, this strategy implements two methods to set quantity for open positions.

• Fixed Quantity: This method will use the same quantity value for each position. If the stoploss is variable between positions (by using a dynamic stop loss value), The win/loss will be also variable between positions
• Dynamic Risk Adjusted Quantity: This method will calculate quantity of each position based on multiple factors:
  • The stoploss of the position
  • The maximum risk (in $ currency value) allowed for a position to take
  • The maximum quantity allowed for a position to take
  Using this method will produce equal win/loss amounts accross all positions. For example, a position with a tight stoploss will have a greater quantity than a wide stoploss position, so that both positions produce the same profit or loss

Position Management

As all our strategies, this strategy implements mutiple position management methods :

• ATM Strategy:If you wish to delegate the position management to your own ATM strategy, this is possible by selecting an ATM strategy of your choice from the drop down box
• Dollar Cost Averaging:This method will manage the position by increasing the quantity of the position if the price goes into the losing side. By doing that the strategy aims to bring the average price of the position closed to the current price and close the position on breakeven when the price pullbacks
• Trailing Stop:This method will trail the stop loss of the position with each new swing point that gets created on the winning side of the position

Apart from those position management methods, the strategy allows to set the stop loss based on multiple strategies and to set the take profit based on a ratio based method. Check the parameters section for a detailed explanation

Account Management

The strategy implements daily stop-trading triggers based on the Net winning position count, the Net losing position count or when a target realized Net profit is reached. or when a target net loss is reached.

Parameters

We try to keep the parameters to minimum. We only left the most important parameters to be set

General
Backtest Mode	This parameter is very important and should be used carefully. This parameter should be set to true (checked) whenever the strategy is run in Historical, Backtest, or Optimization modes. When running the strategy in Live Real-Time mode this parameter should be set to false (unchecked).
Daily TakeProfit Target	The strategy will stop when the daily TakeProfit amount is reached after a position is closed. When set to 0, this parameter is ignored
Daily StopLoss Limit	The strategy will stop when the daily StopLoss amount is reached after a position is closed. The value of this parameter is positive. For example if the value is set to 300, the strategy will stop when the Realized PnL is lower or equal to -300$. When set to 0, this parameter is ignored
Stop @ Winning Count	This will make the strategy stop trading if the net count of winning trades for the day is equal to the value of this parameter. This parameter is ignored if equal to 0
Stop @ Losing Count	This will make the strategy stop trading if the net count of losing trades for the day is equal to the value of this parameter. This parameter is ignored if equal to 0
Render Opacity (1-100)	The opacity to render objects on the chart. I personally prefer the value of 20 for this parameter
Execute on Micros	The parameter will enable executing trades on another instrument than the one on the active chart. This can be useful if you sant to run the strategy logic on Minis and execute on Micro to better manage the risk by opening the trades on micros. Notice that if you enable this parameter all the risk calculation done by the strategy will be made on the execution instrument.
Execution Instrument	The parameter will let you chose from a list of Micros available on your NinjaTrader connection, the instrument on which trades will be executed. notice that historical trades and live trades will not be displayed on the Chart in this case.
Market Structure
Higher TimeFrame	This parameter allows to select the higher timeframe on which the entry setup analysis will be run. Make sure to select a higher timeframe in regard of the current timeframe on the chart. Make sure to select a timeframe of the same type of the timeframe on the active chart. For example you cannot select a "Tick" higher timeframe while the current chart timeframe is "Minute"
Higher TimeFrame Period	This parameter sets the period of the higher timeframe
FairValueGap Filter	This parameter sets a filter for the FVG detection : 3 Candles of Same Kind: Only FVG with 3 candles of the same type are detected 2 Candles of Same Kind: Only FVG with at least 2 candles of the same type are detected No Filter: No filtering on the candle types, this will produce more FVG than the above 2 options
Entry Setup
Trade Time	This parameter is very important and can be delicate in some cases. This parameter is used to specify the time intervals in which the strategy is allowed to place trades. The time zone that should be used while setting this parameter value, should be the Time Zone of the machine on which NinjaTrader is running. Here are some examples for more clarifications: Machine in New York Time Zone and trade time set to RTH (regular trading hours): 09:30-16:15 Machine in Switzerland Time Zone and trade time set to RTH: 15:30-22:15 Machine in New York Time Zone and trade time set to both RTH and ETH (extended trading hours) with gaps to avoid volatile periods: 00:01-08:00,09:55-15:55,18:01-23:59 In this example, there are two things to notice: The time intervals should be set in increasing order even though the last interval 18:01-23:59 is the first interval that occurs for a new day session. The time interval were cut at midnight to avoid issues when stepping into a new day Machine in Switzerland Time Zone and trade time set to both RTH and ETH (extended trading hours) with a gap to avoid volatile period: 00:01-14:00,15:55-21:55
Quantity Strategy	This parameter sets how the quantity should be set for a Trade Fixed Quantity: This will set a fixed quantity. Before the trade is open, the risk is evaluated and if the risk calculated is higher than the value of the parameter Max Risk Currency, the trade is skipped and will not be open Risk Adjusted: this option will make the contract size for each trade dynamic and calculated based on the StopLoss price and the Max Risk Currency value
Max Qty	This parameter sets the maximum allowed quantity when the Risk Adjusted method is selected. This option is very useful since some propfirms has order quantity limits that can cause the account to be invalidated
Enable FVG Entry	This parameter enables/disables entering on FVG+FVG entry setups
Enable Swing Entry	This parameter enables/disables entering on Swing+FVG entry setups
Swings Period	This parameter is shown only when Enable Swing Entry parameter is selected. Swings are higher lows,higher highs, lower highs and lower lows. After each price bar close, a swing can be detected. But just after that, the next bar can cancel the swing at the previous bar by creating a new swing of the same type. Or this can happen on the second bar, or the third, etc... The swing period sets how many bars is enough to seperate two swings of the same type. The more you increase this parameter, the more you decrease the number of swings overall. The more you decrease this parameter, the more you increase the number of overall swings. I personally use the value of 3 or 4 for this parameter.
Trend Swing Count	This parameter is shown only when Enable Swing Entry parameter is selected. This parameter sets the number of successive swings required to define a trend. For example if this value is set to 2, the strategy will wait for 2 consecutive swings high or swings low before looking for an FVG on the lower timeframe
Long/Short Entry Mode	This parameter is useful if you already have a directional daily bias and want to restrict trading to a specific direction long or short Long: Only long trades will be open Short: Only short trades will be open Long & Short: The strategy will open both long and short trades
Trade Entry Mode	This parameter sets the entry strategy following an entry setup, it can have 2 possible values: Immediate: FVG+FVG entry setup: On the Immediate entry mode, the strategy will open a position after two FVGs occur on both timeframes while verifying all the required conditions. As soon as the price retrace back to 50% of the lower timeframe FVG, the position is open Swing+FVG entry setup: On the Immediate entry mode, the strategy will open a position after the Swing occur on the higher timeframe followed by the FVGs occuring on the lower timeframe while verifying all the required conditions. As soon as the price retrace back to 50% of the lower timeframe FVG, the position is open 50% Retracement Entry: FVG+FVG entry setup: On the "50% Retracement Entry" entry mode, the strategy will open a position after two FVGs occur on both timeframes while verifying all the required conditions in addition to requiring the price to pullback and tap into the higher timeframe FVG before forming the lower timeframe FVG. Then, the price should retrace back to 50% of the lower timeframe FVG Swing+FVG entry setup: On the "50% Retracement Entry" mode, the strategy will open a position after the Swing occur on the higher timeframe followed by the price retracing and tapping the swing price. Then, the strategy will look for an FVG occuring on the lower timeframe while verifying all the required conditions. Then, the price should retrace back to 50% of the lower timeframe FVG Wait For Pullback: FVG+FVG entry setup: On this entry mode, the strategy will execute the same steps as the previous "50% Retracement Entry" with an additional step after the 50% retracement on the lower timeframe FVG, which is waiting for a price bar to close outside (above for long, below for short) of the FVG as a last confirmation step Swing+FVG entry setup: On this entry mode, the strategy will execute the same steps as the previous "50% Retracement Entry" with an additional step after the 50% retracement on the lower timeframe FVG, which is waiting for a price bar to close outside (above for long, below for short) of the FVG as a last confirmation step
Order Qty	This parameter is only used if the Quantity Strategyis set to Fixed. This parameter sets a fixed quantity of each trade. In the case of increasing orders quantity executed by the order management mechansim, this parameter is also used for each increase in quantity. Generally, We would use the values 1 or 2 for this parameter
Lower TF Invalidate Setup Points	This parameter sets how many points the price should move away from the lower timeframe FVG to invalidate and reset the current active entry setup
Higher TF Invalidate Setup Points	This parameter sets how many points the price should move away from the higher timeframe FVG or Swing to invalidate and reset the current active entry setup
Max Points Between HTF/LTF	This parameter sets the maximum points allowed to seperate the two components (FVG+FVG or Swing+FVG) on each timeframe
Max Bars Between HTF/LTF	This parameter sets the maximum bars allowed to seperate the two components (FVG+FVG or Swing+FVG). The number of bars is calculated on the lower (faster) timeframe
VWAP Filter	This parameter enable/disable using VWAP as a filter to restrict long positions to the upper side of the VWAP and short positions to the lower side of the VWAP. This filter is very useful in improving the overall performance and is required to be enabled
Fair Value Gap
Min. Gap (ticks)	This parameter sets the minimum gap to consider a FVG. If you set this value to 10 for example, the strategy will filter out FVGs that have a gap lower than 10 ticks
Max. Gap (ticks)	This parameter sets the maximum gap to consider a FVG. If you set this value to 50 for example, the strategy will filter out FVGs that have a gap higher than 50 ticks
Order Management
Order Management Strategy	ATM Strategy: This method will trigger an ATM strategy to which it will entirely delegate the management of the position The ATM (Automated Trading Management) strategy is a mechanism provided by NinjaTrader that can be accessed from the Chart Panel When this method is selected, you should specifiy the template name of the ATM strategy to use and the positions opened will be managed by your custom ATM strategy Dollar Cost Averaging (Grid): This method will increase the order quantity each time a swing is formed in losing side of the trade, which creates a dollar cost averaging effect on the position average price. We also call this a Grid method Trail Stop on Swings: This method will trail the stop loss of the position each time a swing is formed in the winning direction of the trade None: This selection means the stop loss defined by the Max Risk Currency parameter will be used
ATM Strategy Template Name	This parameter is available when the ATM Strategy order management method is selected. This parameter specifies which ATM strategy to use. As in the image example above, the value of this parameter should be the template name of your custom ATM strategy. In the example is should be equal to template1 off course you can chose another name, but the most important thing is that the parameter value should correspond to an existing "ATM strategy template" otherwise no position will be opened
On Opposite Signal	Breakeven: This parameter sets the behaviour of the strategy whenever an opposite signal occurs to breakeven Close Position: This parameter sets the behaviour of the strategy whenever an opposite signal occurs to immediately closing the position DoNothing: This parameter sets the behaviour of the strategy whenever an opposite signal occurs to nothing
Enable Price Breakeven	This parameter will enable/disable breakeven mechanism based on price
Breakeven Price Strategy	This parameter sets how the price based breakeven should be calculated Points: The breakeven will be triggered based on points Percentage: The breakeven will be triggered based on percentage of take profit reached
Breakeven Price Trigger	This parameter is available if Price based Breakeven is enabled This parameter sets the trigger value that needs to be reached in order to set the stoploss of the current position to breakeven
Enable Time Breakeven	This parameter will enable/disable breakeven mechanism based on time in minutes
Breakeven Time Trigger	This parameter is available if Time based Breakeven is enabled This parameter sets the trigger value in minutes that needs to be reached in order to set the stoploss of the current position to breakeven
StopLoss Strategy	Zone Break Price: The StopLoss price is set to the price defined by the opposite edge of the entry FVG zone on the higher timeframe. Notice that this price can be not wide enough for volatile markets Fixed Currency Value: This selection means only the stop loss defined by the Max Risk Currency parameter will be used Points: The StopLoss price is set as a number of points from the entry price
TakeProfit Strategy	Fixed Currency Value: This selection means the take profit price will be based on the fixed value of the parameter Take Profit Currency Points: The take profit price will be set as a number of Points from the entry price 1:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 1:1 ratio 0.5:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a ratio 2:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 2:1 ratio 3:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 3:1 ratio 4:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 4:1 ratio 5:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 5:1 ratio 6:1 Win Loss Ratio: The take profit price will be calculated based on the stop loss price with a 6:1 ratio
Take Profit Currency	This sets the take profit in dollars for the open position. If you use the Fixed Currency Value as a take profit strategy, the value of this parameter will be used. If not, make sure to set this parameter to a high value to not interfer with other ratio based strategies
Stop Loss Points	This parameter is available if the Stop Loss strategy is set to Points
Max Risk Currency	This sets the max risk in dollars for one position. This parameter is used before a position is open to determine if the StopLoss level calculated by the StopLoss Strategy respects this max risk, if not, the position will not be opened It is also used after a position is opened, and it will close the position if the unrealized PnL is in loss higher than the value of this parameter
Take Profit Points	This parameter is available if the Take Profit strategy is set to Points
DCA (Grid) Parameters
Breakeven Profit Shift	When the DCA method is selected as a position management mode, this parameter will modify the definition of a breakeven and adds a bit of profit to it. This is useful to cover the cost of commissions when closing the grid in breakeven
Grid Size to Breakeven	When the DCA method is selected as a position management mode, this parameter will set the number of order increases required to consider closing the position in breakeven
Command Buttons
The strategy allows to manually execute some commands in case you want to manually intervene. The commands buttons are added to the Chart Trader panel, make sure to show it on your active chart
Arm/Disarm Buttons	The Arm Long/Disabled Long and Arm Short/Disabled Short buttons can manually activate or deactivate entering trades long or short. By default those two toggle buttons are enabled meaning the strategy is armed to enter both long and short trades. Toggling the button to the disable will restrain the strategy to enter a trade in the disabled direction. This can be useful if you have a directional bias or conviction about the direction of the market
Close Position Button	The Close position button will immediately flatten the position on the active instrument on the active Chart. This can be useful if you want to exit a trade without having to affect the strategy or restart it. After closing the position, the strategy will continue to function normally and look for new trades to take
Increase Qty Button	The increase Qty button allows to increase the quantity of the current active position. The increase value is defined by the parameter Order Qty. This can be useful if you want to manually dollar cost average the position or to double the quantity of the position after a confirmation signal on the winning side of the trade
Set Breakeven Button	The button will set the stoploss of the open position to breakeven level if the current stoploss price is lower than breakeven price for long entries and higher than breakeven price for bearish entries.

Backtesting and Preferred Settings

Here I will try to periodically list backtests with different risk appetit. But before that here are some remarks regarding backtesting

• Past results are not guarantee of future results. All backtesting results are for indicative purposes only
• The period on which the backtest was run was not handpicked to show the best results, The backtest period is the month prior to the first release of this strategy
• Commissions are included in the backtests to get as realistic results as possible. The commission schema used is NinjaTrade Lifetime license commissions schema
• The Trade Time setting used in these backtests is adapted to UTC+1 Timezone.
• At automated-trading.ch we run very precise backtests due to the following 2 factors
• We are following the NinjaTrader official guide on how to achieve precise intrabar granularity backtesting by using additional tick level DataSeries See here for more info
• We are only using Market Orders instead of Pending Orders, in both real-time and becktest modes.

• NQ (April-May 2024)

• 02 Apr 2024 -> 31 May 2024 (FVG+FVG Entry) 500 Volume
• 02 Apr 2024 -> 31 May 2024 (FVG+FVG Entry) 30 Seconds

Parameters

Summary

Analysis

Parameters

Summary

Analysis

Download & Installation Instructions

Frequently Asked Questions

Release Notes

User Comments & Feedback