ATM Core
ATM strategies
The core of the ATM strategies. The strategy's signal opens a NinjaTrader ATM strategy from your template, which then manages the position - stop, target, breakeven and trailing are the template's. The core adds the entry order, an optional separate template for shorts, the ML filter, and the same trading hours, days, account limits, news and log as the Strategy Core: see Sessions & time, Money & News and Log & Report.
ATM
| Parameter | Default | What it does |
| Template | None | ATM strategy template that manages every position. None: the strategy does not trade. |
| Short template | Same as long | A template of its own for short positions - a market that falls faster than it rises wants a different stop and target. Same as Long: shorts use Template too. |
Entry
| Parameter | Default | What it does |
| Order type | Market | Order type of the ATM entry: Market, Limit, StopMarket, StopLimit, or MIT (market when the price touches the level). |
| Price from | Strategy | Price a non-market entry is placed from: the strategy's own level or a price of the last closed bar. |
| Offset (ticks) | 0 | Distance from Price from. Positive = further in the trade's direction, negative = waits for a pullback. 0 = at the price. |
| Lifetime unit | Seconds | Every type but Market: what Lifetime is counted in - bars of the chart, or seconds of market time, never the computer's clock. |
| Lifetime (bars) | 0 | Cancel an entry not filled within this many bars. 0 = no limit. |
| Lifetime (s) | 30 | Cancel an entry not filled within this many seconds. 0 = no limit. |
| Chase (ticks) | 0 | Limit and MIT: move an unfilled entry after the price, keeping it this many ticks away. 0 = off. |
| Chase max (ticks) | 8 | Furthest a chased entry may move from its first price. 0 = no limit. |
| Stop limit offset (ticks) | 2 | StopLimit: how far past the stop the limit sits. 0 = at the stop. |
General properties
| Parameter | Default | What it does |
| ML.NET | Off | Filter every signal through the MLEngine indicator before an ATM is created. Off: every signal is traded. |
ML Engine
| Parameter | Default | What it does |
| Enable Logging | Off | Write the engine's log to the Output window and to a log file. |
| Show Probability | On | Show probability label on chart. Its style settings appear while this is on. |
| Show ML panel | On | Show the ML panel on the chart: the model's state, its recent signals, calibration, live AUC, the models of the ensemble and the size forecast. Sections fold with a click on their title. |
| Use Metrics Filter | Off | Block signals while the ensemble's metrics are below the thresholds of the ML Metrics Filter group, which appears while this is on. |
| Use Auto Weights | On | Auto weight models by AUC and F1. |
| Min Probability | 0 | Probability the engine must give a signal for it to be taken. 0 = automatic threshold. |
| Top signals (%) | 0 | Take only the best X % of signals by the model's probability, the boundary measured on its training data. Takes priority over Min Probability. 0 = off. |
| Bars Ahead | 60 | Bars ahead used for labeling training samples. |
| Records Before Retrain | 10 | How often the model retrains: a training run starts each time this many new labelled samples have accumulated. |
| Retrain | Always | Always: the model retrains every Records Before Retrain samples. Until edge: it retrains until its own predictions reach Freeze at AUC, then the model is frozen and no longer changes. Off: no retraining, the saved model is used as it is. |
| Freeze at AUC | 0.56 | Until edge: the AUC of the model's own recent predictions (at least 100) at which the model is frozen. 0.5 = a coin flip; 0.55-0.60 is a usable edge. |
| Label Stop (ticks) | 40 | Stop distance used to label training signals: a signal counts as a loss if price reaches it first. Independent of the strategy's own stop. |
| Label Target (ticks) | 55 | Target distance used to label training signals: a signal counts as a win if price reaches it before the stop within Bars Ahead. Independent of the strategy's own target. |
| Feature Step (bars) | 7 | Bars between the points at which the model reads its features. |
| Feature Points | 4 | Number of points at which the model reads its features, the signal bar included. More points give more detail but need more data. |
| Signal Offset Bars | 0 | How many bars back the signal is read. 0 = the current bar. |
Ensemble Models
| Parameter | Default | What it does |
| Use LightGbm | On | Enable LightGbm classifier. |
| Use FastTree | On | Enable FastTree classifier. |
| Use FastForest | On | Enable FastForest classifier. |
| Use SDCA LogReg | On | Enable SDCA logistic regression. |
| Use LBFGS LogReg | On | Enable LBFGS logistic regression. |
| Use Averaged Perceptron | On | Enable Averaged Perceptron classifier. |
| Use SGD Calibrated | On | Enable SGD calibrated classifier. |
Feature Params
| Parameter | Default | What it does |
| (Slope) Start Bars Ago | 14 | Start bar (ago) for VWAP slope. |
| (Slope) End Bars Ago | 0 | End bar (ago) for VWAP slope. |
| Delta source | Bars | Bars (default): volume delta and VWAP estimated from each bar - works on any history, fast backtests. Ticks: from tick data - exact, needs the tick history downloaded. |
| (Delta) Type | Bid ask | Cumulative delta calculation type. |
| (Delta) Period | Session | Cumulative delta period. |
| (Delta) Size Filter | 0 | Delta size filter (0 = off). |
| (VWAP) Resolution | Tick | The data the VWAP feature runs off: Standard or Tick. |
| (ATR) Period | 14 | ATR period for features. |
| (MACD) Fast | 12 | MACD fast period. |
| (MACD) Slow | 26 | MACD slow period. |
| (MACD) Smooth | 9 | MACD signal smoothing period. |
ML Metrics Filter
| Parameter | Default | What it does |
| Min AUC | 0.0 | Minimum AUC required to pass metrics filter. |
| Min F1 | 0.0 | Minimum F1 score required to pass metrics filter. |
| Min Accuracy | 0.0 | Minimum accuracy required to pass metrics filter. |
| Min Precision | 0.0 | Minimum precision required to pass metrics filter. |
| Min Recall | 0.0 | Minimum recall required to pass metrics filter. |
Panel Style
| Parameter | Default | What it does |
| Panel position | Top right | Corner of the price panel where the ML panel is drawn. |
| Panel scale (%) | 100 | Size of the ML panel: 100 = normal, 50 = half, 200 = double. |
| Panel opacity | 75 | Opacity of the ML panel's background (0-100). |
Probability Style
| Parameter | Default | What it does |
| Probability font | Consolas 11 | Font family for probability labels (e.g. Arial, Consolas). |
| Probability color | dodger blue | Text color for probability labels on chart. |
| Probability offset (ticks) | 0 | Vertical offset in ticks: positive = above bar, negative = below. |