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Day Brekout

Version: v.1.0.0.0

Day Brekout

Description

Intraday breakout strategy that combines VWAP bands, cumulative delta bias, volume spikes, and round-number levels (50-point increments). Long entries require price above VWAP with positive delta; short entries require price below VWAP with negative delta. Breakout signals fire when price reclaims VWAP ±1σ or a round level after a touch.

Properties

General Parameters

  • Use ML.NET filter? [default: true] — Enable ML.NET ensemble filter and related parameter groups.
  • Stop loss (%) [default: 0.1, range: 0.001–1] — Stop loss as percent of entry price.

Indicators Parameters

  • (Delta) Type [default: UpDownTick] — Cumulative delta calculation type for chart indicators.
  • (Delta) Period [default: Session] — Cumulative delta period for chart indicators.
  • (Delta) Size Filter [default: 0, range: 0–∞] — Delta size filter (0 = off).
  • (VWAP) Resolution [default: Standard] — Data series the VWAP indicator runs on: Standard or Tick.
  • (VWAP) Standard deviations [default: One] — Number of VWAP standard deviation bands displayed.
  • (VWAP) SD1 Multiplier [default: 3, range: 0.001–∞] — VWAP first standard deviation multiplier.

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 Qty Metrics Filter [default: false] — Block quantity forecast if quantity metrics below thresholds.
  • Use Auto Weights [default: true] — Auto weight models by AUC and F1.
  • Use Qty Auto Weights [default: true] — Auto weight quantity models by R2.
  • Min Probability [default: 0.5, range: 0–1] — Minimum ensemble probability to pass signal.
  • Bars Ahead [default: 60, range: 1–∞] — Bars ahead used for labeling training samples.
  • Records Before Retrain [default: 10, range: 1–∞] — Minimum samples before retraining.
  • Use Quantity Forecast [default: true] — Activates a model ensemble to forecast the number of contracts per trade.
  • Min Contracts [default: 1, range: 1–∞] — Minimum contracts allowed for quantity forecast.
  • Max Contracts [default: 10, range: 1–∞] — Maximum contracts allowed for quantity forecast.
  • Max Qty Step [default: 1, range: 1–∞] — Maximum contract change per recommendation (0 = no step limit).

Direction 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.

Quantity Ensemble Models

  • Use Qty LightGbm [default: true] — Enable LightGbm quantity regressor.
  • Use Qty FastTree [default: true] — Enable FastTree quantity regressor.
  • Use Qty FastForest [default: true] — Enable FastForest quantity regressor.
  • Use Qty SDCA [default: true] — Enable SDCA quantity regressor.
  • Use Qty FastTree Tweedie [default: true] — Enable FastTree Tweedie quantity regressor.
  • Use Qty OGD [default: true] — Enable Online Gradient Descent quantity regressor.
  • Use Qty LBFGS Poisson [default: true] — Enable LBFGS Poisson quantity regressor.

Direction 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 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.
  • Min Qty R2 [default: -1.0, range: -∞–∞] — Minimum quantity ensemble R2 required to use quantity forecast.
  • Max Qty MAE [default: 1000000.0, range: 0–∞] — Maximum quantity ensemble MAE allowed to use quantity forecast.

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).

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.