Range Market Scalping Strategy
Modified on Fri, 23 Sep 2022 at 06:07 PM
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When you enable Range Market Scalping strategy to your NinjaTrader 8 chart, you will see the plots like Image – 1. You will see Base EMA line which is plotted in red and pointed by blue up arrow. You will also see various EMA lines in different colors depending on your settings on the chart, which is pointed by red up arrow and info panel at the top-left corner on the chart to provide you strategy details which is pointed with white left arrow in Image – 1.
Depending on your settings, which will be discussed below, it will enter positions using multiple entries as long as market is ranging. But point to remember about what price the next entry will be, depends on the tick distance selected in the parameter ‘Re-Entry Offset’ ie, if the market price moves away either side of the previous entry of the defined tick size, it will enter a new position of defined quantity on the same direction of the current position. To exit positions, it has 3 different ways which are detailed below and will exit according to that. Now you can select a ‘Daily Stop Loss’ limit by amount and it can be set from the parameter in the settings shown within lime green rectangle in Image – 7. If your Daily Loss amount on the strategy goes beyond that, it will stop placing any further entries, but will continue exiting positions, if any. But this will reset next trading day, as it was a daily stop loss limit.
At the top-left corner info panel, you will be able to see current position ie, quantity, over all direction of the position (Long / Short), open P/L and realize P/L.
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If you have selected Exit option ‘StopLoss’ as ‘StopLossDistance’ as shown in Image – 8, pointed by white rectangle and left arrow, strategy position will exit with stop loss and profit target as shown in Image – 2. Now the distance of stop loss from the entry can be defined in ticks from the parameter ‘StopLossDistance’ in the lime green rectangle in Image – 7. And at the same time, Profit target distance from the entry will depend on the ‘TargetRatio’ and ‘Re-Entry Offset’ value you choose. It means, if you have chosen ‘Re-Entry Offset’ 50 ticks and selected ‘TargetRatio’ 2, then Profit target will be placed at 100 ticks away from the entry price.
Alternatively, If you have selected ‘StopLoss’ as ‘ATRStopLoss’ from the options highlighted within white rectangle in Image – 8, Stop loss to exit positions will be placed based on ATR value. Now, you can control the ATR period used to calculate this ATR value by inputting value in the parameter ‘ATRPeriod’ shown within lime rectangle in Image – 7. By default the ATR stop loss is placed 1 X ATR value distance from the entry, but if you want to place the stop loss further than that, you can do that by inputting higher number in the parameter ‘ATRMultiplier’ and that inputted value will be multiplied to the ATR value to place your STOP loss based on entry. It will simply look similar to the Image – 3. As ATR value will remain fixed, stop loss distance will not change even if you may have multiple entries. Profit targets for this setup will be placed based on previously discussed ‘Re-Entry Offset’ and ‘TargetRatio’.
Now, if you have selected ‘StopLoss’ as ‘SwingStopLoss’ then both stop loss and Profit targets will be placed automatically based on recent swings and ATR value as soon as your strategy enters a position. Now, you can select the strength to be used to calculate the swings by inputting value in the parameter ‘Strength’ which is within white rectangle in Image – 12. And stop loss will be placed at a distance determined by ATR Value / ‘SwingSLATRdenominator’ value away from the recent swing high or low depending on the direction of entries. Now to define the value of ‘SwingSLATRdenominator’, you can do that from the parameter ‘SwingSLATRdenominator’ within white rectangle in Image – 12. Please remember that for the first time, if there is no swing high or low on the chart, it will place stop loss 1 ATR value distance away from the entry. But as soon as swings are plotted, it will automatically adjust its stop loss price according to latest swings. But swings which are plotted with dots has to be above or below (depending on entry direction) the ‘Base EMA’ current value to be considered for automatic change in stop loss price.
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Now to select specific days when you want the strategy to place entries, you can specify them individually by checking the boxes beside each day of the week in the settings, and this section is highlighted by pink rectangle in Image – 5. Again, if you want to filter the entries within same day with a time range, you can do that from the settings highlighted by yellow rectangle in Image – 6. You need to make sure though to check the box beside ‘Use Time Filter’ in case you want to use the specific time range. Now if you want the strategy to exit regardless of stop loss or Profit targets at the End time selected in time range filtering option, you can simply check the box beside the parameter ‘Exit At End Time’ within yellow rectangle in Image – 6. Besides, you can select the quantity you want the strategy to use every time it enters a position from the parameter ‘Standard Trade Quantity’ and you can also define the maximum quantity to manage your risk from the parameter ‘Maximum Trade Quantity’ and both of them are highlighted within lime green rectangle in Image – 7. When the maximum trade quantity reaches, it will not enter any further position, unless position is reduced by exiting.
12 EMAs are used to determine if the market is ranging or not; but you can choose how many you want to use to determine that for your settings by checking the boxes beside each of them, which is highlighted by light blue rectangle in Image – 9. You can also define the parameter value ‘Max Ticks Between EMAs’ to find your best combination of spread between EMAs which you prefer, before the trend is considered as ranging. You can also define the periods for above EMAs from the section highlighted by purple rectangle in Image – 10.
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You can customize the EMA line colors by changing colors beside each of them from the settings highlighted by red rectangle in Image – 11. You can also customize the swing high and low plots as well, which is also highlighted within same rectangle. It is highly recommended not to change any default settings which are highlighted within red rectangle in Image – 13, except ‘Account’ and ‘Enabled’ options highlighted by red right arrow, for proper functioning of this strategy.
If you still have further query on how this strategy works, please watch the video tutorial by clicking here.
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