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I am not very keen on watching these charts. I am looking to generate signals when these conditions are met. I dont trade order flow / scalping but, if these charts can generate signals that complements a level I am watching, it will increase the probability of that trade.
Well that's the idea The charts are just there to visualize why your system took the trades it did after the fact. You don't stare at them and try to make discretionary trades(at least I don't). This is all about generating the automatic entry and exit signals. Attached this morning's chart as an example - this explains to me after I wake up why the trades that were taken were actually taken.
I ran into issues with loading historic trade records from a file. Adding a trade size filter to weed out retail seem to help without loosing the essence of the footprint.
Have you tried trading this on any other market than bonds, and how is it holding up?
Have you posted the algo anywhere else that I could look at? I'm looking for something to code up for Sierra. I've already got a volume profile-based algo I just started coding over the weekend. So far, it's looking good - made 25 ticks on an overnight CL trade...
I recently joined Futures.io and have combing through the content these past few weeks. This thread really caught my attention. I trade Bunds primarily with order flow and some technicals. Your indicator produces signals that look very compelling for any order flow trader. Coding this must have been a very complex endeavour. Are you still using this indicator in your trading?
It took some time - I am still using it. It's evolved a lot since the first versions, but the core idea is still powering what I'm doing these days. Most of my trading is now on the NQ instrument, simply because of increased volatility. I seem to have a higher return on my margin there versus the ZB.
This is interesting because today I saw a video of a guy using Sierra Charts and trading Bonds with an Excel script that looks just like what OP posted.
I added a screen grab of it: