Swing Breakout Sequence Strategy

Entry Setup Examples

This strategy has one entry setup, based on the Swing Breakout Sequence algorithm — a high-probability entry model with a defined risk-reward ratio, based on a sequence of 5 swings.

Here is the algorithm for an entry setup:

• The first step is the full detection of a Swing Breakout Sequence, formed of 5 swings respecting the pattern for a bullish entry (or exactly the inverse for a bearish entry). Having the 5 swings isn't sufficient on its own — the final criteria for a valid SBS is that price breaks out from one of the swings composing it. Since the 5th swing is the lowest for a bullish SBS (and the highest for a bearish one), the strategy — like the indicator — offers the ability to choose which swing triggers the breakout. According to our backtests, the 1st swing in the sequence tends to be the best choice.
• If price closes outside the range defined by the prior swings, the SBS is invalidated, disposed of, and not displayed.
• The SBS isn't drawn in real time during swing formation — if it were, many SBS patterns would be drawn then invalidated and removed in real time, creating visual confusion. Only valid ones, confirmed by a breakout, are drawn.
• Once an SBS is validated, the algorithm calculates a ratio on it, based on two levels:
  • The target level: defined by the 3rd swing
  • The stop level: the lowest (bullish) or highest (bearish) swing in the sequence — either the 5th swing or the prior lowest low/highest high swing
  The ratio is the distance from the current price to the target level, divided by the distance from the current price to the stop level. A ratio of 1 means the SBS has well-balanced leg lengths; the further from 1, the more skewed the SBS. The strategy allows filtering out entries based on this ratio's value.

Features

The Swing Breakout Sequence strategy has a set of unique features:

• Robust in-house implementation of the Swing Breakout Sequence algorithm
• 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 price closer to the current price so the position can close at breakeven on a pullback.
• Trailing Stop: trails the stop loss with each new swing point formed on the winning side of the position.
• SuperTrend: uses the SuperTrend indicator as a management method.

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.

Performance Reports

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

• Commissions are included, using NinjaTrader's Lifetime license commission schema, for realistic results.
• We follow NinjaTrader's official guide for precise intrabar-granularity backtesting using additional tick-level data series, and only use market orders — never pending orders — in both real-time and backtest modes.

The strategy has been backtested across multiple risk profiles and instruments (MES, MNQ), and a defensive parameter template has also been run live on an Apex Live Trader Funding account, successfully passing the account validation challenge.

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, then make sure to check the Enabled checkbox.

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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Release Notes