Footprint Action Order Flow Strategy for NinjaTrader

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Footprint Action Order Flow Strategy for NinjaTrader

Market Replay Demo

Footprint Action Order Flow Strategy is a part of MZpack Strategies w Divergence for NinjaTrader 8

The Strategy

Features

Supports 9 orderflow signals. More signals will come soon
Auto trade and Manual modes
Combine choosen signals into pattern: AND, OR. Set required number of validated signals to match the pattern
Volume and Delta filters
Custom actions for opposite signals: Close, Reverse or None
Advanced orders handling: Custom ATM or NinjaTrader ATM
Time filters: allow the strategy to trade at specific times
Daily loss/profit, drawdown filters

10 Order Flow Signals

Delta Divergence
Delta Tail
Delta Surge/Drop
Delta Flip
Delta Trap
Delta Slingshot
Above/Below POC
Stacked Imbalances
Volume Sequencing
Hammer with Absorption

Delta Divergence Signal

The Delta Divergence is a trend reversal signal.

LONG:
– Price makes a new low with a bullish candle and positive delta
SHORT:
– Price makes a new high with a bearish candle and negative delta

EXAMPLE:
Bearish bar making a new high, but with -135 delta being formed. When the bullish bar closes the strategy will immediately open a short trade.

Delta Tail Signal

A Delta Tail signal occurs when a bar has a negative Delta at all price levels except the bottom of the bar and vice versa.

LONG:
– Bullish bar with postive delta at all prices except the bottom
SHORT:
– Bearish bar with negative delta at all price levels except the top

EXAMPLE:
On the image you see a bar that has a positive delta at all price levels except at the bottom.

Delta Surge/Drop Signal

The Delta Surge/Drop signal uses a 4-bar signal. The signal happens when there is a sudden decrease in the delta and when the delta is getting weaker and weaker or when there is an increase in delta and delta is getting stronger and stronger.

LONG:
– 4 consecutive bars with increasing delta
SHORT:
– 4 consecutive bars with decreasing delta

EXAMPLE:
On the image you can see that price made a new low which got quickly rejected. The first bar with delta +177 gave a delta surge signal because the last 4 bars (including signal bar) each had increasing delta (-443, -388, -158, +177) and the strategy went long exactly a the bar close resulting in a winner.

Delta Flip Signal

The Delta Flip signal is a 2-bar signal. It triggers when there is a sudden shift in Delta from positive to negative or from negative to positive and indicates a potential reversal.

LONG:
– The first bar closes on its min-delta and has a max-delta around 0
– The next bar closes on its max-delta and has a min-delta around 0
SHORT:
– The first bar closes on its max-delta and has a min-delta around 0
– The next bar closes on its min-delta and has a max-delta around 0

You can set accuarcy of 0 Delta with Delta Flip: precision parameter. Default is 40.

EXAMPLE:
1st bar: Max Delta is -1, Min Delta is -163, and Delta on close is -155.
2nd bar: Max Delta is 336, Min Delta is -30, and Delta on close is 335.
Delta Flip precision was 40.

Delta Trap Signal

The Delta Trap signal is a 3-bar signal which looks a delta reversing and followed with strength.

LONG:
– bar 1: big negative delta
– bar 2: big positive delta
– bar 1-3: ema 5 is up
– bar 3: big positive delta or a value area gap up
SHORT:
– bar 1: big positive delta
– bar 2: big negativedelta
– bar 1-3: ema 5 is down
– bar 3: big negative delta or a value area gap down

EXAMPLE:
On the image we can see an example. First bar had -681 Delta, next bar had +592 Delta and 3rd bar had a value area gap up AND high positive delta. The strategy would go long after the 3rd bar.

Delta Slingshot Signal

Delta Slingshot signal indicates a possible trend reversal when selling volume gets overrun by buying volume and market closing higher.

LONG:
– Bearish bar with extreme negative delta.
– Followed by a bullish bar which closes above the bearish bar with positive extreme delta.
SHORT:
– Bullish bar with extreme positive delta.
– Followed by a bearish bar which closes below the bullish bar with negative extreme delta.

EXAMPLE:
In the example we see a red bar with -932 Delta. Then after a consilidation bar the next bar closes above the red bar with with +361 Delta.

Above/Below POC Signal

The Above/Below POC signal will open a trade whenever a bar opens and closes above or below the POC. For example, when both the open and the close are above the POC this is a clear indication that buyers and sellers stepped into the market and price will continue at least a little bit further.

LONG:
– A bullish bar that opens & closes above the POC at a swing low
SHORT:
– A bearish bar that opens & closes below the POC at a swing high

EXAMPLE:
On the image you can see an example of a doji candle opening and closing above the POC. The strategy opens long trade the moment the bar closes and quickly reaches profit.

Stacked Imbalances Signal

Stacked Imbalances occur when we have given number (or more) imbalances stacked on top of each other. The number of imbalances is set by Stacked Imbalances: number parameter. Default value is 3.

Also you can reverse the signal from the settings on the Ranging market to trade reversals.

LONG:
– Given number or more buy imbalances
SHORT:
– Given number or more sell imbalances

EXAMPLE:
In the example we see a sell imbalance being formed (30, 186, 572, 144) and as soon as the candle closes the strategy opens a short sell trade.

Volume Sequencing

Volume Sequencing occurs when we have multiple price levels with increasing volume. When we see this we know the big guys are buying this market up (or selling it down) with force.

EXAMPLE:
On the right we see a footprint chart in which a bar contains volume sequencing (0, 39, 69, 275)

Each price level has an increasing volume. Volume sequencing can also be extended tot the right for a fixed number or bars, until broken , or until tested.

SHORT:
– Bearish bar and bearish volume sequencing
LONG:
– Bullish bar and bullish volum sequencing

Hammer with Absorption

The Hammer with Absorption signal will open a trade if thereis an absoprtion (trapped sellers or buyers) in a hammer candle. POC filter can be applied – absorption must be at POC or below/above POC level

EXAMPLE:

On the left we see a footprint chart in which bearish hammer bar with Short entry mark contains sell absorption (108 green value on the ask side in orange box)

LONG:

– A bullish hammer candle with buy absorption (trapped sellers) in the wick
SHORT:
– A bearish hammer candle with sell absorption (trapped buyers) in the wick

Strategy Control Panel

When the strategy is running it will place a control panel on the chart window. You can control some of parameters of the strategy with this panel without needing to stop and restart the strategy.

Create Order Flow Patterns

EXAMPLE:
The strategy will open a new trade when at least X of the active signals are confirmed. This allows you to (for example) select 6 signals and open a trade when at least 3 of those are confirmed.

To create this type of orderflow pattern do the following from the settings of the strategy:
– Choose Or for Logic of signals
– Select required one or many signals by clicking checkbox next to it
– Set Min # of validated signals = X

EXAMPLE:
The strategy will open a new trade when all active signals are confirmed.

To create this type of orderflow pattern do the following from the settings of the strategy:
– Choose And for Logic of signals
– Select required one or many signals by clicking checkbox next to it

Position Management

Use MZpack or native NinjaTrader ATM for position management.

Risk Management

Daily loss/profit limit
Daily max Drawdown
Daily trades limit

Trading Times

With the Trading times you can limit the times when the Footprint Action strategy is allowed to take any trades.

Volume, Delta and Delta % Filters

This filter will filter out any signals when the Volume, Delta and or Delta % is below the minimum level. NOTE, THE FILTER IS APPLIED TO ALL BARS OF THE SIGNAL.

Pattern Dashboard

See in Pattern Dashboard how the pattern is calculated. Validated signal is market with a color box (red or green by default). Bars of validated pattern are marked with color background.

In this example, at least 3 signals must be validated/confirmed to open a trade. You can modify the pattern without disabling the strategy from strategy control panel.

Log

Log state and work of the strategy into NinjaScript Output or/and to a file. Log content is adjustable.

Footprint Indicator

The product includes mzFootprint indicator along with all MZpack indicators through API. You can adjust it but only few of the settings can be saved in chart template.