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Hi Gomi, Can you share some backtest results for the strategy with us. What is the success rate (winning trades) for DAX and ES with your strategy GomOFDeltaSampleStrat and GomOFNakedPOCSampleStrat.
Can you help answer these questions from other members on NexusFi?
No I didn't run any backtest. They are for demo purposes only, to show how to use the orderflow in a strategy if you need it in your own strat.
I'm not expecting a 1 line of code strat to have awesome results, though...
I’m trying to write a script where I can gets alerts when couple of things happen, for instance
a) Long signal alert when we have a negative low COT at Support
b) Short signal alert when we have a positive high COT at Resistance
Looking at your GomiOrderFlowProLevels indicator, it looks like we have 5 levels stored (could no wrong). Based on this I had written a script as below and does not seem to work. Is this even feasible?
Basically I had
(LowCOT[0] < 0 &&
( bar Low[0] <= IsSupportZoneOnHigh[0] ||
bar Low[0] <= IsSupportZoneOnHigh[1] ||
bar Low[0] <= IsSupportZoneOnHigh[2] ||
bar Low[0] <= IsSupportZoneOnHigh[3] ||
bar Low[0] <= IsSupportZoneOnHigh[4] ||
)
)
Hi,
IsSupportZoneOnHigh is not a price, it's a 0/1 indicator that tells whether there was a support zone created on the bar high or not.
The indicator containing the levels is OrderFlowProLevels, the zones are in the ResistanceInner/Outer1 to 5 pairs (1 is the closest of current price) and the SupportInner/Outer1 to 5 pairs
there're many different support/resistance levels traders use. my favorite ones are the vwap and it's sd bands and of course imbalance levels.
here's a good example from today:
vwap
long entry around the second lower sd band, and exit at the first lower sd band
imbalance levels
the lighter colors are today's imbalance levels (shorter term). the darker colors, in this case the blue support levels, are from daily charts (longer term).
a short trade from today's imbalance would have been a good scalp as well. but I took the long trade from the long term support imbalance.
one more example from today. very similar to yesterday, only this time on the short side. first we had a short term imbalance to the upside (which I didn't take), then a short imbalance from the daily chart to the downside. the vwap was also in a reasonable position (upper 2nd sd band).
don't want to turn this into a personal journal. also want to make clear that not every imbalance will guaranty a winning trade. it's just another tool that can be used as a confirmation.
This is a study I wrote using Sierra's latest custom bar sdk. The main reason I built it is because I needed a variable tick size to help my trading on Bitmex.
On the crytpo exchanges, there is a taker/maker fee , so you can't really use a fixed target in points, you need a target set in % of the current price.
This is easily achieved in Sierra, but if you use UniRenko bars, you also need the ability to set the tick size of the renko bars as a % of the current price as well. For instance I use 0.05%, so 5 points when Bitcoin is at 10000.
So I wrote my own Renko bars using the original monpere algorithm that the Sierra guys hate :-), and I added a couple cool (?) features
Variable tick size as % of the current price. Very useful on Bitmex/cryptocurrency charts
Ability to show price gaps (this info is lost with 'normal' Renko bars)
Different choices of altering Open and Close prices
Display prices at which the next Renko bar will start
Allow to enter stop orders on the chart with one click, including auto-trailing.
Coolest(?) feature is the addition on NinjaTrader of an expression evaluator called Flee, that allows users to build their own indicator values or trading signals with no coding
Any plot exposed by GomOrderFlowValues can be used, so you can use any of Open, High, Low, Delta, Buys, Sells, TotalVolume, MinDelta,MaxDelta, HighCOT, LowCOT, Finish, POCPrice, IsHighUA, IsLowUA, NbBuyImbalances, VolBuyImabalances, NbSellImbalances, VolSellImbalances, NbResistZones, NbSupportZones, IsBuyingReversal, IsSellingReversal, IsSupportZoneOnHigh, IsResistanceZoneOnLow, IsSellImbalanceOnLow, IsBuyImbalanceOnLow, IsSellImbalanceOnHigh, IsBuyImbalanceOnHigh, RatioHigh,RatioLow and combine them in a formula, the expression evaluator will build a class at startup and compile it , so you get the exact same performance as if it had been coded in a custom indicator.
2 indicators are provided :
*CustomValue indicator, that creates custom values indicator, the default setting is the delta % so its Delta[0]/Volume[0]*100.
*CustomUpdownSignals indicator, that will show arrows using 2 formulas you provide. Default is Delta divergence so up formula is Close[0] > Open[0] and Delta[0]<0
Added features
* Changed the Imbalance settings, making them more flexible. Imbalances are now defined by up to 2 criterions, each criterion being a Direction(Horizontal/Diagonal), a Comparison(Ratio,Difference) and a Threshold.
* Also added Winning Side Minimum Size and Losing Side Maximum Size to filter volume on the Imbalances
* Added a couple new calculated values like candle RatioHigh/RatioLow
Sierra Chart
* Studies have 64 build versions and now use Visual Studio 2017 runtime instead of 2010.