Session Fade Auto Strategy

Version: v.1.0.0.0

Description

Trading against the direction of the first part of the trading session.

Properties

General Parameters

• Trend Approach [default: Both] — Trend Approach (OnlyLong, OnlyShort, Both).
• Max qty per/trade [default: 70, range: 1–∞] — Max qty per trade.
• Max trade per/session [default: 1, range: 1–∞] — Max trade per session.
• Risk Per/Trade ($) [default: 50, range: 1–∞] — Risk Per/Trade ($).
• Fade threshold (%) [default: 0.5, range: 0.001–∞] — By what percentage does the price deviate from the range of the first part of the session?
• Use Profit target [default: false] — Defines the use of profit targets.
• Profit Target Ratio [default: 1, range: 0.01–∞] — Profit Target Ratio.
• Use Stop loss [default: true] — Defines the use of stop loss.
• Stop Loss Ratio [default: 0.2, range: 0.01–∞] — Stop Loss Ratio.
• Enable Session Close? [default: true] — Enable Session Close?
• Session Time Close [default: 16:59] — Session Time Close.
• Exit On Session Close minutes [default: 2, range: 1–∞] — Exit On Session Close minutes.
• Use ML.NET filter? [default: true] — Use ML.NET filter?

Flat Parameters

• Start Time [default: 09:30] — Session first part start time.
• End Time [default: 10:00] — Session first part end time.

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 (ago) for VWAP slope.
• (Slope) End Bars Ago [default: 0, range: 0–∞] — End bar (ago) 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] — VWAP resolution.
• (VWAP) Standard Deviations [default: Two] — VWAP standard deviation bands.
• (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.
• (MACD) Fast/Slow/Smooth [default: 12, 26, 9, range: 1–∞] — MACD periods.
• (Gap) Session Start Time [default: 08:30] — Local time of the first bar of the session used for gap calculation.
• Signal Offset Bars [default: 0, range: 0–∞] — Bars ago to read input signal.

ML Engine

• Enable Logging [default: false] — When enabled: 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, range: 1–∞] — Bars ahead used for labeling training samples.
• Records Before Retrain [default: 10, range: 1–∞] — 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.