Fair Value Gap Scalper Strategy

Entry Setup Examples

Let's look at some chart examples. These examples aren't intended to show that the strategy generates a profit — trades were intentionally handpicked to illustrate the entry setups clearly, without confusion. Running the strategy yourself will show that many of the same setups also lead to losing trades — that's the reality of trading, and the goal should be expected profitability over the long run despite some individual losses.

Example #1: HTF Pullback + LTF FVG Entry on MES

The strategy runs on the 1-minute timeframe on the MES instrument, with the higher timeframe set to 15 minutes. After a Fair Value Gap forms on the higher timeframe, the strategy waits for an FVG on the lower timeframe. As soon as that lower-timeframe FVG closes, a long trade is opened, with the stop loss set at the lower zone edge of the higher-timeframe FVG and a 2:1 take profit. Price later moved back to the higher timeframe and made a second retest, followed by another lower-timeframe FVG confirming a second entry.

Here is a second similar example:

Example #2: HTF Pullback Only Entry on MES

Running on MES on the 1-minute timeframe with the higher timeframe set to 15 minutes, and the entry mode set to HTF Pullback. Price pulled back into a previously formed higher-timeframe FVG, then a price bar closed above the FVG's upper price level, triggering a long entry. The stop loss was set to the lower level of the FVG, and the take profit was 2:1.

Example #3: Invert Mode on a Higher-Timeframe FVG Pullback

This example demonstrates the invert entry logic. As in the previous example, price pulled back and retested a higher-timeframe FVG and closed above it with a bullish candle — but with the Invert Entries parameter checked, the strategy went short instead of long, and the stop loss and take profit levels were inverted along with it: the take profit was set to the lower FVG edge, and the stop loss was calculated with a 1:1 win/loss ratio. This invert logic is useful in choppy market regimes.

Example #4: No Entry, Price Moves Away From the Higher-Timeframe FVG

This example illustrates the case where, after an FVG forms on the higher timeframe, price moves away from it without a pullback or retest — marking the FVG as invalid and producing no trade.

Features

The FVG Scalper strategy has a set of unique features:

• No pending orders are placed — only market orders
• Full-auto strategy that can be scaled into multiple instances
• Precise backtesting capabilities following NinjaTrader's official best practices, achieving precise entry/exit backtesting at the tick level
• A robust in-house order management library, resistant to connection loss, that works seamlessly on Rithmic accounts or NinjaTrader brokerage accounts

Dynamic Quantity and Risk Management

As with all our strategies, this strategy implements two methods for setting the quantity of open positions:

• Fixed Quantity: uses the same quantity for every position. If the stop loss is variable between positions, win/loss amounts will vary too.
• Dynamic Risk-Adjusted Quantity: calculates each position's quantity from its stop loss, the maximum risk (in $) allowed per position, and the maximum allowed quantity — producing equal win/loss amounts across all positions regardless of stop loss width.

Position Management

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

• ATM Strategy: delegate position management entirely to your own ATM strategy, selected from a drop-down.
• Dollar Cost Averaging (Grid): increases the position's quantity as price moves against it, bringing the average entry price closer to the current price and aiming to close the position at breakeven on a pullback.
• Classical Trailing Stop: trails the stop loss based on a trigger and a trailing amount.

The strategy also allows setting the stop loss based on multiple strategies and the take profit based on a ratio — see the Parameters section for details.

Account Management

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

Parameters

We try to keep the parameters to a minimum — only the most important are exposed.

General
Execute Historical Trades	Enables executing trades when the strategy runs in Historical, Backtest, or Optimization modes — should be unchecked when running Live.
Daily TakeProfit Target	The strategy stops for the day once this daily take-profit amount is reached. Ignored when set to 0.
Daily StopLoss Limit	The strategy stops for the day once the daily loss limit is reached (positive value — e.g. 300 stops trading once realized PnL ≤ -$300). Ignored when set to 0.
Stop @ Daily Winning Count	Stops trading for the day once the net winning-trade count reaches this value. Ignored when set to 0.
Stop @ Daily Losing Count	Stops trading for the day once the net losing-trade count reaches this value. Ignored when set to 0.
Render Opacity (1-100)	Opacity used to render objects on the chart. A value of 20 is recommended.
Execute on Different Instrument	Executes trades on a different instrument than the active chart's — e.g. run logic on Minis but execute on Micros to better manage risk. All risk calculation happens on the execution instrument, and trades on a different instrument aren't drawn on the chart.
Execution Instrument	Choose from a list of Micros available on your NinjaTrader connection as the instrument trades execute on. Historical and live trades won't be drawn on the chart in this case.
Market Structure
Higher TimeFrame	Selects the higher timeframe the entry-setup analysis runs on. It must be higher than, and of the same type as, the active chart's timeframe — e.g. you can't select a Tick-based higher timeframe while the chart is on a Minute timeframe.
Higher TimeFrame Period	Sets the period of the higher timeframe.
Draw Higher Timeframe Candles	Enables drawing (overlaying) higher-timeframe candles on top of the active chart.
Swings Period	Also known as Swing Sensitivity. After each bar close, a swing (a higher high, higher low, lower high, or lower low) can be detected, and a following bar can still cancel it by forming a new swing of the same type — this parameter sets how many bars must separate two swings of the same type. Increasing it decreases the overall number of swings detected; decreasing it increases them. Common values are 3, 6, or 12.
Ignore FVG Older Than (X) Days	Filters out FVGs older than this number of days from the entry logic. Those FVGs are still drawn, but won't generate trades.
Entry Setup
Time Zone	The time zone used for the Trade Time parameter below. Futures markets operate on US Eastern time (EST), so this lets you specify the trading interval relative to your own machine's time zone instead. EST, CET, or Local Time
Trade Time	Specifies the time intervals during which the strategy is allowed to place trades. Some examples: EST time zone, regular trading hours (RTH) only: 09:30-16:15 Machine set to CET (e.g. Switzerland), RTH only: 15:30-22:15 EST time zone, RTH and extended trading hours (ETH) with gaps to avoid volatile periods: 00:01-08:00,09:55-15:55,18:01-23:59 — intervals must be given in increasing order even though 18:01-23:59 is technically the first interval of a new day session, and the sequence is cut at midnight to avoid issues stepping into a new day Machine set to Local Time (e.g. Switzerland), RTH and ETH with a gap to avoid a volatile period: 00:01-14:00,15:55-21:55
Quantity Strategy	Fixed Quantity: fixed quantity per trade; skipped if the evaluated risk exceeds Target Risk Per Trade ($) Risk Adjusted: dynamic contract size, calculated from the stop loss price and Target Risk Per Trade ($)
Max Qty	Maximum allowed quantity when Risk Adjusted is selected — useful since some prop firms enforce order-quantity limits that can invalidate an account.
Invert Entries	Inverts entries from long to short and vice versa. Stop loss, take profit, and risk are all calculated first with no inversion logic, then the trade type is inverted at the last step — so the stop loss becomes the take profit and vice versa, and the risk is inverted accordingly (e.g. a 2:1 take profit becomes a 1:2 take profit, increasing the risk). Take this into account before enabling it.
Long/Short Entry Mode	Useful if you already have a directional daily bias and want to restrict trading to one direction. Long: only long trades are opened Short: only short trades are opened Long & Short: both are opened
Trade Entry Mode	HTF Pullback: triggered by a higher-timeframe FVG, then waits for price to pull back and touch the FVG zone before closing outside it HTF Pullback + LTF FVG: same higher-timeframe pullback condition, then additionally waits for an FVG on the lower timeframe before entering
Order Qty	Used only when Quantity Strategy is Fixed — the fixed quantity per trade (and per quantity increase, if the order management mechanism scales in). Typically 1 or 2.
Higher TF Invalidate Setup Points	How far, in points, price must move away from the higher-timeframe FVG to invalidate and reset the current active entry setup.
Previous Swing Breakout Filter	Enables an entry filter comparing the current price to the previous higher-timeframe candle's high/low — requiring price to be above it for a long entry, or below it for a short entry. This can improve trade quality by only trading in the direction of a higher-timeframe breakout.
Fair Value Gap
Type of Min. Gap for HTF	The measurement type for the higher-timeframe minimum gap. Ticks or Points
Min. Gap for HTF	The minimum gap to consider an FVG on the higher timeframe — e.g. set to 10 with the type Points, FVGs with a gap lower than 10 points are filtered out.
Max. Gap (Points) for HTF	The maximum gap to consider an FVG on the higher timeframe — e.g. set to 50, FVGs with a gap higher than 50 points are filtered out.
Type of Min. Gap for LTF	The measurement type for the lower-timeframe minimum gap. Ticks or Points
Min. Gap for LTF	The minimum gap to consider an FVG on the lower timeframe — same filtering logic as the higher-timeframe equivalent.
Max. Gap (Points) for LTF	The maximum gap to consider an FVG on the lower timeframe — same filtering logic as the higher-timeframe equivalent.
Order Management
Order Management Strategy	ATM Strategy: triggers a NinjaTrader ATM (Automated Trading Management) strategy, accessible from the Chart Panel, to which position management is entirely delegated — you specify its template name and positions opened are managed by that custom ATM strategy Dollar Cost Averaging (Grid): increases the order quantity each time a swing forms on the losing side of the trade, creating a dollar-cost-averaging effect on the position's average price Trail Stop on HTF Wicks: trails the stop loss on the previous higher-timeframe candle's high/low None: the stop loss defined by Target Risk Per Trade ($) is used instead
ATM Strategy Template Name	Only used with the ATM Strategy order management method — the exact template name of your custom ATM strategy. Must match an existing template, or no position will be opened.
On Opposite Signal	Breakeven: moves the position to breakeven when an opposite signal occurs Close Position: immediately closes the position when an opposite signal occurs DoNothing: does nothing when an opposite signal occurs
Enable Price Breakeven	Enables/disables the price-based breakeven mechanism.
Breakeven Price Strategy	Points: breakeven triggers based on points Percentage: breakeven triggers based on percentage of take profit reached
Breakeven Price Trigger	Available if price-based breakeven is enabled — the trigger value needed to move the stop loss to breakeven.
Enable Time Breakeven	Enables/disables the time-based breakeven mechanism (in minutes).
Breakeven Time Trigger	Available if time-based breakeven is enabled — the trigger value, in minutes, needed to move the stop loss to breakeven.
StopLoss Strategy	Last Price Swing: the most recent swing point (depends on the Swing Period parameter) FVG Lower Timeframe: the lower-timeframe FVG zone (low edge for bullish, high edge for bearish) FVG Higher Timeframe: the higher-timeframe FVG zone (low edge for bullish, high edge for bearish) FVG Wick Lower Timeframe: the wick of the lower-timeframe FVG FVG Wick Higher Timeframe: the wick of the higher-timeframe FVG Auto: automatically calculates the best stop loss level among the above Fixed Currency Value: only Target Risk Per Trade ($) is used Points: a fixed number of points from the entry price
TakeProfit Strategy	Fixed Currency Value: based on Take Profit Currency Points: a fixed number of points from the entry price Fixed win/loss ratios: 0.5:1 through 6:1, calculated from the stop loss price
Target Risk Per Trade ($)	Maximum risk, in dollars, per position — used before opening a trade to verify the calculated stop loss respects this limit (if not, the trade is skipped), and also used to calculate quantity when the quantity strategy is dynamic.
Max Allowed Risk Per ($)	Only used with Risk Adjusted quantity — controls how far the real calculated risk is allowed to deviate from the Target Risk (since an exact match is rarely possible; e.g. a $250 target might calculate a quantity of 3, producing a real risk of $257).
Stop Loss Points	Available when the Stop Loss strategy is set to Points.
Take Profit Currency	The take-profit amount in dollars, used when the Fixed Currency Value strategy is selected.
Take Profit Points	Available when the Take Profit strategy is set to Points.
Scale out % Qty at % Target	Closes a percentage of the position's quantity once price hits a percentage of the profit target (rounded down when fractional — e.g. 50% of a 5-lot position closes 2 contracts).
Scale out at % Target	The percentage of the profit target that triggers the scale-out mechanism.
Scale out % Qty	The percentage of the quantity closed by the scale-out mechanism.
DCA (Grid) Parameters
Breakeven Profit Shift	Used with the DCA position management method — adds a bit of profit to the breakeven definition, useful to cover commission costs when closing the grid at breakeven.
Grid Size to Breakeven	Used with the DCA position management method — the number of order increases required before the position can be closed at breakeven.
Min Grid Gap (Point)	Used with the DCA position management method — the minimum gap, in points, required between two grid orders.
Bar Close Trigger	Used with the DCA position management method — grid orders open on bar close in the direction of the trade.
Trailing Stop Parameters
Trailing Stop Strategy	Used with the Classic Trail Stop position management method. Points: trigger and trailing amount calculated in points from entry Ratio: calculated as a ratio of the stop loss value, mirrored on the winning side
Trailing Stop Trigger	Used with the Classic Trail Stop method — the trigger (in points or ratio).
Trail Amount	Used with the Classic Trail Stop method — the amount (in points or ratio) trailed once the trigger is hit.
Command Buttons
The strategy exposes manual command buttons on the Chart Trader panel — make sure it's displayed on your active chart.
Arm/Disarm Buttons	Manually enable/disable entering long or short trades — useful if you have a directional bias or conviction.
Close Position Button	Immediately flattens the position on the active instrument without restarting the strategy, which keeps looking for new trades afterward.
Increase Qty Button	Increases the current active position's quantity by the amount set in Order Qty — useful to manually dollar-cost average, or to add to a winning position.
Set Breakeven Button	Moves the open position's stop loss to breakeven, if doing so would improve it.

Performance Reports

Past results are not a guarantee of future results. All backtesting results are for indicative purposes only.

No performance reports have been uploaded for this strategy yet.

Download & Installation Instructions

Installation Steps

1

Import the downloaded .zip file into NinjaTrader using the Import NinjaScript menu item.

2

Open a new chart window, making sure the Tick Replay checkbox is checked (if you don't see it, go to Tools → Options → Market Data and enable Show Tick Replay).

3

Right-click the chart and choose Strategies (or press Ctrl+S) to open the Add New Strategy dialog.

4

After adding the strategy, it runs on the chart's historical data first, then switches to Real-Time mode and adds a license text box to the Chart Trader panel — make sure that panel is displayed.

5

Paste your license (found on the billing page) into the text box and click Check License.

6

Once verified, the "Check License" button turns green along with the next verification date — this only needs to be repeated after that date.

7

Without an active subscription, the strategy can still be run in Playback and Historical modes to test it first.

Frequently Asked Questions

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