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Session Fade Auto Strategy

Version: v.1.1.0.0

Session Fade Auto Strategy

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.

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.

v.1.1.0.0 (May 25, 2026)

1) Direction forecast: added COT (Commitment of Traders) features.

2) Added contract quantity forecast module.