GustavoRodrigzS
Newbie
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Hello everyone,
First, if any moderator thinks I am posting in the wrong section, feel free to move the post. I have a system that I need to automate in order to run simulations and perform historical backtesting. The problem is that, although I believe the system is automatable, I can't find the tools to do it.
First, a brief explanation: I trade the S&P 500 futures, and I trade retracements to the first standard deviation of the VWAP of the RTH session, with the condition that the market is outside the value area of the RTH volume profile.
Graphically, it would look like this:
Shorts:
Longs:
So, the entry condition could be an EMA crossover with the price; I understand that part. I use NinjaTrader as my platform, which has a Strategy Builder that allows me to create and analyze automated strategies with a variety of properties or characteristics, but I can't use the Value Areas as an entry condition.
If we look at the chart, a long position implies a crossover with a moving average, as long as Price > VAH, and for the short position, Price < VAL... the condition itself is quantifiable, but NinjaTrader does not allow me to use it, and I don't know if any other platform can.
Another question is about the dynamism of the volume profile, meaning the value areas move live in the market. I don't know if the Strategy Builder works like a "market replay" or analyzes the market after the session is closed, which would make it impossible to implement the system, at least in NinjaTrader.
If anyone knows, has used something similar, or understands what I'm referring to, I would be grateful.
First, if any moderator thinks I am posting in the wrong section, feel free to move the post. I have a system that I need to automate in order to run simulations and perform historical backtesting. The problem is that, although I believe the system is automatable, I can't find the tools to do it.
First, a brief explanation: I trade the S&P 500 futures, and I trade retracements to the first standard deviation of the VWAP of the RTH session, with the condition that the market is outside the value area of the RTH volume profile.
Graphically, it would look like this:
Shorts:
Longs:
So, the entry condition could be an EMA crossover with the price; I understand that part. I use NinjaTrader as my platform, which has a Strategy Builder that allows me to create and analyze automated strategies with a variety of properties or characteristics, but I can't use the Value Areas as an entry condition.
If we look at the chart, a long position implies a crossover with a moving average, as long as Price > VAH, and for the short position, Price < VAL... the condition itself is quantifiable, but NinjaTrader does not allow me to use it, and I don't know if any other platform can.
Another question is about the dynamism of the volume profile, meaning the value areas move live in the market. I don't know if the Strategy Builder works like a "market replay" or analyzes the market after the session is closed, which would make it impossible to implement the system, at least in NinjaTrader.
If anyone knows, has used something similar, or understands what I'm referring to, I would be grateful.
