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Bar Analyzer Autostrategy

Version: v.2.0.0.0

Bar Analyzer Autostrategy

Description

The strategy analyzes the bars according to the set parameters to detect the ispulse bar with the subsequent entry on the reversal, also the strategy uses RSi and Delta volume.

Properties

General Parameters

  • Becktest Mode [default: false] — Backtest mode.
  • Debug Mode [default: false] — Enable debug output.
  • Trend Approach [default: OnlyLong] — Trend approach setting.
  • Quantity [default: 1, range: 1–∞] — Number of contracts.
  • Profit target (ticks) [default: 200, range: 0–∞] — Profit target in ticks.
  • Stop loss (ticks) [default: 70, range: 0–∞] — Stop loss in ticks.
  • Use ML.NET filter? [default: true] — Filter signals with ML model.

Bar Analyzer Properties

  • Use custom bar height [default: true] — Use custom bar height.
  • Bar Height [default: 45, range: 1–∞] — Custom bar height in ticks.
  • Minimum Wick Length (%) [default: 40, range: 0.001–100] — Min wick length.
  • Minimum Body Length (%) [default: 25, range: 0.001–100] — Min body length.
  • Rsi Up Threshold [default: 60, range: 1–∞] — RSI upper threshold.
  • Rsi Down Threshold [default: 40, range: 1–∞] — RSI lower threshold.

Ensemble Models

  • Use LightGbm [default: true] — Enable LightGbm classifier.
  • Use FastTree [default: true] — Enable FastTree classifier.
  • Use FastForest [default: true] — Enable FastForest classifier.
  • Use SDCA LogReg [default: true] — Enable SDCA logistic regression.
  • Use LBFGS LogReg [default: true] — Enable LBFGS logistic regression.
  • Use Averaged Perceptron [default: true] — Enable Averaged Perceptron classifier.
  • Use SGD Calibrated [default: true] — Enable SGD calibrated classifier.

Feature Params

  • (Slope) Start Bars Ago [default: 14, range: 1–∞] — Start bar for VWAP slope.
  • (Slope) End Bars Ago [default: 0, range: 0–∞] — End bar for VWAP slope.
  • (Delta) Type [default: BidAsk] — Cumulative delta calculation type.
  • (Delta) Period [default: Session] — Cumulative delta period.
  • (Delta) Size Filter [default: 0, range: 0–∞] — Delta size filter (0 = off).
  • (VWAP) Resolution [default: Tick] — Data resolution for VWAP.
  • (VWAP) Standard deviations [default: Two] — VWAP standard deviations.
  • (VWAP) SD1/SD2/SD3 Multiplier [default: 0.75, 1.5, 3, range: 0.001–∞] — VWAP SD multipliers.
  • (ATR) Period [default: 14, range: 1–∞] — ATR period for features.
  • (MACD) Fast/Slow/Smooth [default: 12, 26, 9, range: 1–∞] — MACD periods.
  • (Gap) Session Start Time [default: 08:30] — Session start for gap calculation.
  • Signal Offset Bars [default: 0, range: 0–∞] — Bars ago to read input signal.

ML Engine

  • Enable Logging [default: false] — Print() to Output window and write MLEngine.log.
  • Show Metrics Table [default: true] — Show ensemble metrics table on chart.
  • Show Probability [default: true] — Show probability label on chart.
  • Use Metrics Filter [default: false] — Block signals if metrics below thresholds.
  • Use Auto Weights [default: true] — Auto weight models by AUC and F1.
  • Min Probability [default: 0.5, range: 0–1] — Minimum ensemble probability to pass signal.
  • Bars Ahead [default: 60] — Bars ahead used for labeling training samples.
  • Records Before Retrain [default: 10] — Minimum samples before retraining.

ML Metrics Filter

  • Min AUC [default: 0.0, range: 0–1] — Minimum AUC required to pass metrics filter.
  • Min F1 [default: 0.0, range: 0–1] — Minimum F1 score required to pass metrics filter.
  • Min Accuracy [default: 0.0, range: 0–1] — Minimum accuracy required to pass metrics filter.
  • Min Precision [default: 0.0, range: 0–1] — Minimum precision required to pass metrics filter.
  • Min Recall [default: 0.0, range: 0–1] — Minimum recall required to pass metrics filter.

Probability Style

  • Probability font — Font family for probability labels.
  • Probability color — Text color for probability labels on chart.
  • Probability offset (ticks) [default: 0, range: -∞–∞] — Vertical offset in ticks.

Table Style

  • Table position [default: TopLeft] — Corner of chart where metrics table is drawn.
  • Table font — Font family for metrics table.
  • Table text color — Text color for metrics table.
  • Table background — Background fill for metrics table.
  • Table outline — Border/outline color for metrics table.
  • Table opacity [default: 75, range: 0–100] — Opacity table (0-100).

Day of Week

  • Sunday [default: false] — Enable trading on Sunday.
  • Monday [default: true] — Enable trading on Monday.
  • Tuesday [default: true] — Enable trading on Tuesday.
  • Wednesday [default: true] — Enable trading on Wednesday.
  • Thursday [default: true] — Enable trading on Thursday.
  • Friday [default: true] — Enable trading on Friday.
  • Saturday [default: false] — Enable trading on Saturday.

Money Management Parameters

  • Enable Daily Profit [default: false] — Control daily profit.
  • Enable Daily Loss [default: false] — Control daily loss.
  • Daily loss limit ($) [default: 1000, range: 1–∞] — Daily loss limit in currency.
  • Daily profit target ($) [default: 1000, range: 1–∞] — Daily profit target in currency.

Trading Time

  • Enable session 1 times? (optional) [default: false] — Enable first trading session.
  • Session 1 start time [default: 09:30] — Session first start time.
  • Session 1 end time [default: 12:00] — Session first end time.
  • Enable session 2 times? (optional) [default: false] — Enable second trading session.
  • Session 2 start time [default: 12:00] — Session second start time.
  • Session 2 end time [default: 15:00] — Session second end time.
  • Enable session 3 times? (optional) [default: false] — Enable third trading session.
  • Session 3 start time [default: 13:00] — Session third start time.
  • Session 3 end time [default: 14:00] — Session third end time.
  • Enable exit on session close [default: true] — Enable exit at the session close.
  • Session close time [default: 16:50] — Session close time.
  • Exit on session close minutes [default: 2, range: 1–∞] — Minutes before session close to exit.

Note:

If all days are disabled, the strategy will trade without any restrictions on days.

If all trading session clocks are turned off, the auto strategy will trade without time restrictions.

Version Change History

v.1.0.0.1

1) Created a class that stores trade variables with thread locking; thread race problem solution.

2) Improved functions to raise position after connection loss.

3) Use of order state functions in OnExecutionUpdate methods.

4) Changed order names and name verification during order execution in the OnExecutionUpdate method.

v.1.0.1.0 (May 20, 2025)

1) Improved conditions for OnBarUpdate method execution.

2) Improved position recovery function.

3) Modified strategy state names for more accurate representation of strategy operation.

4) Added detailed comments to strategy and indicator code.

v.1.0.1.1 (Oct 26, 2025)

1) Trading hours and days logic updated — if all sessions are disabled, the strategy now runs without time restrictions instead of stopping trading.

v.2.0.0.0 (Mar 9, 2026)

1) ML Engine filter feature added.