VWAP-Based Trading Strategy Integration
Budget: $250 – $750 USD
Custom Strategy Integration:
The strategy will be based on a custom VWAP with strips indicator.
Each strip will have an associated button for placing buy or sell limit orders.
Orders will be attached to and move with the selected strip.
Automatic handling of limit orders, take profit, and additional orders if the price moves against the initial order.
Trade Management:
Long Scenario:
When a limit order is hit, place a take profit limit one line above and another buy limit one line below.
Short Scenario:
When a limit order is hit, place a take profit limit one line below and another sell limit one line above.
Trade Close Logic:
If a second limit order is hit (price moved against the trade) and the first take profit is subsequently hit, close the next average limit order.
When the final take profit is hit, close all associated limit orders for that asset.
Strip Distance:
the distance between VWAP and strips and in a range of 0.00001 - 40 or above as higher , the bigger range between strips and vwap.
Order Validation:
Prevent opening a sell order if the price is above the chosen strip and display an error popup.
Prevent opening a buy order if the price is below the chosen strip and display an error popup.
Input Parameters ( need to be added )
1.Strip Number:
Choose which strip to open a sell limit (red strip) or buy limit (green strip)
if i choose for example "1" so it will open sell limit on red strip 1 and buy limit on green strip 1 , etc..
2.Strip Distance: (already exist but need to be added to strategy analyzer)
3.Session Hours:
Define the time window during which limits can be opened (e.g., 08:00 to 13:00).
If the limit is not hit within this window, close all limits.
If a limit is hit and a trade opens, the trade should run until closed.
4.Amount of Trades:
Specify the number of trades allowed within the same session.
Example: If set to 2 trades, once a limit is hit and take profit or stop loss is reached, open another limit.
5.Stop Loss:
Set a stop loss amount in currency (e.g., $50).
If this stop loss is hit, close all trades and limits.
6.Take Profit:
Set a take profit amount in currency (e.g., $100).
7.Option to turn this parameter ON/OFF.
When take profit is reached, close all trades and limits.
Backtesting and Analysis
Automatic Backtesting:
Implement the strategy to work seamlessly with NinjaTrader's strategy analyzer.
Enable automatic backtesting with the provided input parameters.
Performance Analysis:
Provide detailed analysis of strategy performance under various market conditions.
Calculate the maximum drawdown before the take profit is hit on each trade.
Deliver actionable insights based on the backtesting results.
The strategy will be based on a custom VWAP with strips indicator.
Each strip will have an associated button for placing buy or sell limit orders.
Orders will be attached to and move with the selected strip.
Automatic handling of limit orders, take profit, and additional orders if the price moves against the initial order.
Trade Management:
Long Scenario:
When a limit order is hit, place a take profit limit one line above and another buy limit one line below.
Short Scenario:
When a limit order is hit, place a take profit limit one line below and another sell limit one line above.
Trade Close Logic:
If a second limit order is hit (price moved against the trade) and the first take profit is subsequently hit, close the next average limit order.
When the final take profit is hit, close all associated limit orders for that asset.
Strip Distance:
the distance between VWAP and strips and in a range of 0.00001 - 40 or above as higher , the bigger range between strips and vwap.
Order Validation:
Prevent opening a sell order if the price is above the chosen strip and display an error popup.
Prevent opening a buy order if the price is below the chosen strip and display an error popup.
Input Parameters ( need to be added )
1.Strip Number:
Choose which strip to open a sell limit (red strip) or buy limit (green strip)
if i choose for example "1" so it will open sell limit on red strip 1 and buy limit on green strip 1 , etc..
2.Strip Distance: (already exist but need to be added to strategy analyzer)
3.Session Hours:
Define the time window during which limits can be opened (e.g., 08:00 to 13:00).
If the limit is not hit within this window, close all limits.
If a limit is hit and a trade opens, the trade should run until closed.
4.Amount of Trades:
Specify the number of trades allowed within the same session.
Example: If set to 2 trades, once a limit is hit and take profit or stop loss is reached, open another limit.
5.Stop Loss:
Set a stop loss amount in currency (e.g., $50).
If this stop loss is hit, close all trades and limits.
6.Take Profit:
Set a take profit amount in currency (e.g., $100).
7.Option to turn this parameter ON/OFF.
When take profit is reached, close all trades and limits.
Backtesting and Analysis
Automatic Backtesting:
Implement the strategy to work seamlessly with NinjaTrader's strategy analyzer.
Enable automatic backtesting with the provided input parameters.
Performance Analysis:
Provide detailed analysis of strategy performance under various market conditions.
Calculate the maximum drawdown before the take profit is hit on each trade.
Deliver actionable insights based on the backtesting results.