POLARITY
ATI
ORDER FLOW
SYSTEM AND
STRATEGY GUIDE V.6
SOLVING FOR
ALPHA; WITH
DELTA
“Past performance is the best predictor of success.” –
Jim Simons, founder of Renaissance Technologies
FUTURES ANALYTICA
2
TABLE OF
CONTENTS
What is Order
Flow?
4
Quickstart
Guide
5
Chart
Breakdown
11
Strategy
Breakdown
17
Settings
Optimization
20
Auto Arm & S&R
Lines
23
External Factors
24
Troubleshooting
25
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FUTURES ANALYTICA
CHAPTER I:
What is
Order Flow?
1A. Footprint Structure.
Understanding the terms used in Futures
Analytica content can be the difference maker in
trading success. The first step in this process is
developing a better understanding of the tool we
use day in and day out. Footprint structure is a
multidimensional diagram capable of
demonstrating buyers and sellers in live time as
trades are made. This inherently makes way for
helpful data giving traders the key to volume and
bid-ask spreads which, if identified properly, can
lead to astronomical gains. Additionally, as
addressed in Chapter 4, footprint charts have
availability for trader-friendly analysis such as
various timeframes or chart styles.
WHAT IS ORDER FLOW?
1B. Delta.
Delta refers to the overall difference between
the buyers and sellers on both sides of a
particular candle. For reference delta will be
positive when the buying side outweighs
that of the selling side and vis versa.
1C. Passive and Active Participant.
An ACTIVE participant is a trader who is
paying a premium to cross the spread
between Bid and Ask, so their order is filled
instantly. (They are prioritizing SPEED OF
EXECUTION over PRICE). A PASSIVE
participant is someone who has a pending
LIMIT order at or behind the current
lowest/highest bid/ask. (They are prioritizing
the PRICE they get filled at over the speed of
execution). Order flow displays ACTIVE
executions only, i.e. orders where someone
crossed the bid/ask spread, with the left side
of the chart representing sellers and the
right side of the chart representing buyers.
Passive participants will not be encountered
in the space where order flow traders
perform.
1D. Absorption.
Absorption is when Limit orders are holding the
price at a certain level without ACTIVE market
participants, this is represented by a 0 on the
footprint chart on the top or bottom of a bar. A
zero in the middle of a bar can represent a large
number of ACTIVE participants blowing a price
level unrestricted by opposing active
participants.
1E. Imbalances.
Imbalances are levels highlighted in color. At
these levels, there was a significantly higher
number of active participants trading that side
of the contract than there were on the other side.
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FUTURES ANALYTICA
CHAPTER II:
QUICKSTART
GUIDE
Quickstart Guide
Below is the link to the Polarity Set Up
and Installation Video!
https://youtu.be/V9-OovtXe1g
1. Please fill out the form
below before anything
else or you will lose access
to your software.
https://forms.gle/wAU29UhMwwU5zVGp9
Download the zip files
from your download email
or checkout confirmation
screen, after this, navigate
to your NinjaTrader control
center, click on “Tools ->
Import -> NinjaScript
Addon”.
2. Select PolarityATI and import it, if you do not have a copy
of the AnalyticaChart3 installed on your machine yet, do the
same for “AnalyticaChart3.zip”.
If you receive an error when clicking “NinjaScript Add-On”
which says anything about corrupt NinjaScript files, you may
need to do a clean install of NinjaTrader or contact
platformsupport@ninjatrader.com.
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FUTURES ANALYTICA
Quickstart Guide
Your AnalyticaChart3 is now setup correctly, we will move on to
seting up the Polarity ATI
1. Navigate to the top of your chart and enable “Chart Trader”.
2. Click “ATM Strategies” and then “Custom”.
3. Click “ATM Strategies” and then “Custom”.
4. Save as template and name it something simple.
(More details on ATM page 14).
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FUTURES ANALYTICA
Quickstart Guide
3. You should receive this message upon a successful import.
4. Click on “Tools -> Options”. 5. Click “Market Data” and select “Show Tick Replay”.
6.If you are familiar with the AnalyticaChart3 already, skip steps 6 - 14
Navigate to “New - > Chart
7. Select your instrument of choice, and periodicity you wish to trade on. The
strategy works best on highly liquid instruments like ES. Tick and Range charts
are the best options for this, as time based periodicites are suboptimal for
trading order flow. For more information on this topic and what “value” to use,
refer to section 4A
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FUTURES ANALYTICA
Quickstart Guide
8. Upon creation, right click on your chart and click indicators.
9. Navigate to “FuturesAnalytica” in your indicator selection
screen and double click on “AnalyticaChart3”.
10. Choose your desired settings and click “Ok”
for instructions on how to select correct settings, please refer to
chapter 4.
11. Right click on your chart again and select “Data Series”.
12. Select “Tick Replay”.
13. Your chart should look like this when finished, if it
looks “wonky” adjust bar spacing and bar thickness.
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FUTURES ANALYTICA
Quickstart Guide
14. Right click your chart again and select
“strategies".
15. Select PolarityATI from the list and double click it; select your desired
settings. IMPORTANT: Ensure that you have an ATM strategy input into the
“ATM Name” field or your strategy will not execute. MAKE SURE you have
your settings in the strategy EQUAL to your indicator settings, or
false/missed entries will occur, specifically pay attention to Imbalance
volume, ratio, and Imbalance calculation mode, once you are finished, check
“Enabled” to enable the strategy.
PolarityATI Configuration
(See AC4 guidebook for chart full
configuration video links there.)
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FUTURES ANALYTICA
Quickstart Guide
16. You should now have the Polarity ATI Buttons Displayed in your
Chart Trader. You can toggle between the Trend and Regression
buttons by pressing the colored button. (More on these, pg. 19).
17. These will arm and disarm the chart in the desired direction, do not
arm the chart until you are ready for the strategy to start looking for
stacked imbalances, if setup correctly you will be automatically entered
based on the settings that you have selected. If you manually close or
open a trade you will need to manually Reenable the strategy to keep
using it. This is a NinjaTrader mandatory feature and cannot be
overridden.
FYI: Your Machine ID will change after updates to your device or the
NT8 platform. Please resubmit your machine ID via the
support@futuresasnalytica.com email to avoid issues!
Supported instruments:
The stacked imbalance strategy works best on highly liquid and highly
volatile instruments such as ES, NQ and ZN. NQ will require utilizing the
"Count Multi Tick Levels" setting to to properly display the OrderFlow
data in a viewable, and tradeable manner.
Forex and commodities can work, however, nobody at FuturesAnalytica
has traded this strategy on those instruments, as they have
significantly lower volume and inconsistent influx of OrderFlow data.
We have instead focused on the three instruments above and
recommend that our traders do as well.
How to Backtest and Practice:
https://futuresanalytica.com/pages/market-replay-guide
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FUTURES ANALYTICA
CHAPTER Ill:
Chart
Breakdown
Understanding the chart is one of
the most important parts of trading
and actually understanding what
you are looking at is even more
crucial. Below we will walk you
through the sections of the chart as
well as general comprehension of
the unwritten strategy of
interacting with your chart in arming
and disarming Polarity.
3A. Understanding
AnalyticaChart4 Candles
The most fundamental part of
OrderFlow is the candles that make
up the chart itself. Above, there is
an example of a long candle (left)
and a short candle (right). The blue
signifys long and the orange, short.
The numbers to the right of the
candle represent the number of
orders at each price which are in the
long direction. The numbers to the
left of the candle represent the
number of Orders have been placed
in the short direction. The
brightness of the white in each
value shows the weightedness
those orders have (solid white being
the strongest and low opacity being
the weakest.
CHART BREAKDOWN
However, the AnalyticaChart4 is not
a mere OrderFlow chart. The
synthesized levels of delta and the
volumetric data (p.12) make for
imbalance points which serve as
indicators for the Polarity ATI to
trigger an entry. These indicators,
(blue for long and orange for short),
assume movement in the given
direction which can yield significant
alpha. Settings for "Minimum
Imbalance Volume" and "Minimum
Imbalance Ratio" will be a large factor
in how often the signals will appear
and what level of volume forms an
imbalance. The lower the value of the
"Minimum Imbalance Volume" the
faster you will see imbalances show
up on your chart. Similarly,
decreasing "Minimum Imbalance
Ratio" will allow for more formed
imbalances. it is important to note
that more is not necesarily better as
there can be many fake out
indicators with extremely sensitive
settings that could mislead what
constitutes cause for entering a
high probability trade. The key is to
find a sweet spot that allows for
enough imbalances to take trades
and secure alpha, while also filtering
out fake trade opportunities. (More
about settings optimization and
details in Ch.V)
3B. Areas of Resistance and
Delta Values Explained
As I stated above, it is important to
remember that no strategy is perfect
and the market regime is a almost
untamable beast.The majority of the
time that traders experience the
issue of fakeout trades is during
periods of choppy market conditions
and areas of resistance. Everyday
naturally will have periods like this at
some point during market hours. (see
example p.12).
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FUTURES ANALYTICA
This is a good example of a range
traders experience. Despite
imbalances forming price does
not escape the range. As you can
see the two candles that have
been pointed out with arrows left
the range yet closed within the
range. This is a good rule of
thumb that no arm button should
be engaged as it is very easy to
be accidentally entered into
trades that will not work out due
to the trend you were able to
identify.
Above is an example of a breakout.
As you can see the OrderFlow is
mainly weighted along the range we
see here, further demonstrating the
legitamacy of our expectation for
continuation as opposed to a
breakout here.
CHART BREAKDOWN
Breakout trades are some of the
best trades and many traders feel
the most confident trading
breakouts. In the situation of a
breakout we find it optimal to wait
until a candle closes outside of
the range and then arm in the
direction of movement in this
scenario, short. Almost directly
following we see a three stacked
imbalance form and then a
plummet of price easily a 15 tick fill
as seen by the risk-reward tool
(p.14).
Next, let's look into these delta
values at the bottom of your chart.
The top value will be either negative
and orange (short) or postive and
(blue). This value represents the
delta of that specific candle and is
useful to see how much positive or
negative delta is in that candle. The
second value, on bottom, is the
percent change in delta compared
to the previous candle. These
values can be instrumental in
locating when big movements or
reversals could be shaping up and
are a strong tool to prepare for
breakouts or any other trades
throughout the day.
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FUTURES ANALYTICA
SETTINGS OPTIMIZATION
Setting Up Trailing Stop ATM Strategies.
This is the ATM Strategy selected "Scalp". You can adjust your SL/TP for your
target here. You will see "Stop Strategy" click that to create a new template. If
you are trading with Ticks make sure you have ticks selected in parameter
type.
For the simplest version of a risk managed stoploss which is automatically taken
care of, we recommend Auto Breakeven. As seen to the right the profit trigger for
the stoploss to jump to the breakeven point is half way to our takeprofit. Traders
can adjust this setting as necessary.
For more advanced strategies traders can utilize the Auto Trail feature. We
recommend sticking to 1 Step as further steps make this process
hypercompilicated. In this example, for each tick in profit the stop loss would
follow that value, staying 15 ticks behind the current price. The profit trigger is
when this Auto Trail takes effect. The frequency is how many ticks is required for
the movement of the stop loss. Make sure to "Save as Template" once
configured.
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FUTURES ANALYTICA
CHART BREAKDOWN
Add text
3C.Chart Resources for the
AnalyticaChart3 & Polarity ATI
Risk Reward Tool/Resistance
The first helpful tool that I
recommend to every trader is the
Risk Reward tool located in the
dropdown of the pencil icon in your
window toolbar (Ctrl+F4 hotkey).
This tool is extremely helpful for
backtesting and mid trade
adjustments all settings can be
adjusted by double clicking the RR
once placed on screen. The line
tool (Shift+F2) is also extremely
helpful for marking resistance on
your chart.
Additional Indicators
Implementing a traditional indicator
strategy that you are already
comfortable with into your system to
work in conjunction with the Polarity
ATI can be a great way to catapult
your learning experience.
A simple "Ichimoku Cloud" or "Moving
Average" can be a powerful tool if
you are struggling with timing arming
and disarming the Polarity ATI.
However, many traders do like to
keep things simple by maintaining a
relatively clear chart based on only
necessities, intuition and self
resistance lines. (See VIX info. on
p.15).
Ichimoku Cloud ex.
CME Group Resource
This is a great resource to keep up
with the lastest contract to stay on
top of trading the best volume you
can. The link below will take you to
the ES Future Volumetric
Breakdown.
https://www.cmegroup.com/markets/e
quities/sp/e-minisandp500.volume.options.html#optio
nProductId=133
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FUTURES ANALYTICA
3D. Exploring the VIX.
Finding correlations between the
VIX and settings that work in a
specific market regime is a highly
recommended move for users
trying to dial in their settings to the
current edge envelope. The VIX is a
volatility index that can specifically
helpful for reference when adjusting
settings as the market adjusts.
Reading the VIX in relation with the
Futures Analytica software is straight
forward and effective. Decrease
sensitivity when the VIX goes up and
increase sensitivity when it goes
down. You do not need to be
managing this particularly often
throughout the trading day, but when
there are periodic shifts like
consolidation or midday trading you
may want to make an adjustment.
The VIX is mainly helpful for adjusting
your settings at the beginning of
everyday, making slight adjustments
according to the change in VIX from
the previous day. In order to make
your AnalyticaChart3 more senstitive
or less sensitive you would adjust
Imbalance ratio and Imbalance
Volume (more details p.18). (Despite
the usage of tools like this remember
using traders intuition is a very
important aspect of becoming
profitable long term.)
CHART BREAKDOWN
3E. Where to get VIX info. Pros and Cons.
There two ways we recommend that you
use this both work and just come down to
personal preference. You can add the VIX to
your data series or follow the VIX on an
external outlet like MarketWatch (link in the
bottom right).
NT8 VIX:
PROS: Easy viewing for single monitor
users.
CONS: Graph is funky to set up and can
create odd spacing.
MARKETWATCH:
PROS: Clear and keeps NT chart clean. All
users really need to just reference before
each trading day or during certain sections
of the day.
CONS: Not a completely live feed if users
want that.
3F. VIX Closing Information.
Below is what you will see on MarketWatch
and on NinjaTrader. Check out the features
under Advanced Charting to see the
additional information given there! The
chart style for the NinjaTrader8 VIX
example inserted below is: "Line On Close",
Bar Width "1", Color "DeepSkyBlue". Make
sure that you enable tick replay on the VIX
as well (it will not be preselected like the
others).
https://www.marketwatch.com/investing/index/vix
To add the VIX in NT8 perform the following steps:
open data series, select the instrument drop down,
select indicies then the ^VIX, adjust any applicable
settings, and "Apply".
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FUTURES ANALYTICA
3G. Introduction to the RSI.
The RSI is the reverse strength
indicator which we use as an additional
volumetric reference for interpreting
OrderFlow data. This indicator can be
CHART BREAKDOWN
4. Configure an additional line with
the same indicator with the settings
shown below.
very helpful in identifying when
rangebound behavior in the market
begins before it becomes obvious. For
a more complete understanding of the
RSI check out the video below which
will explain with real examples in live
time.
https://www.youtube.com/watch?
v=0SQYFvZOVro
3H. Installation of the RSI.
The link for the software can be found
here:
https://futuresanalytica.com/pages/re
verse-strength-zones-indicator
1. Download the file.
2. Import it to NinjaTrader via the
Control Center via the Tools->Import>NinjaScript Add-On.
3. Locate in Indicators and Configure
the first line to match the below image
5. Make sure to press Apply before
OK and remember to save your
workspace to avoid setting up the
RSI again.
Example above of what the chart should look like with
both RSI lines configured properly.
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FUTURES ANALYTICA
CHAPTER IV:
Strategy
Breakdown
4A. How the strategy works.
This strategy uses automated entries via an
intuitive engine equipped to perfectly enter
trades that meet the strategy requirements while
armed. The software adjusts the method used for
entry ensuring the best balance for the price and
speed of fill. The software should be disarmed
until there is a possible breakout where the price
is in a trend, in which case it should be armed in
the direction of that trend. See attached video for
situational demonstrations. The user should not
be uncomfortable with leaving the strategy
disarmed for long periods of time throughout the
trading day, patiently awaiting trades with a high
probability of profit. Remember to have the
appropriate ATM Strategy selected, refer to
Chapter 2: “Quickstart Guide”. and page 14 if
desired.
4B. Why the strategy works.
Utilizing the small account exclusive ability of a
retail trader to not be constrained by liquidity like
big institutions are. The main alpha theory of the
strategy is to follow big money as they scale in
and out of positions and exit before value
correction occurs. Check out the Department of
Economics and Finance paper published by Chair
of Empirical Finance, Matteo Pecchiari. We
recommend checking out this paper if you want to
learn more about the rationale behind our
strategy and charting style.
http://tesi.luiss.it/27169/1/701851_PECCHIARI_MA
TTEO.pdf The general idea of OrderFlow plays a
large role in generating consistent alpha with this
strategy regardless of the presence of an
institutional position. Instead of trying to simply
interpret candles using price action, focusing on
candles with little information, we brought
developed a software that is consice, simple and
effective. Entry speed and automation also assist
the performance of the strategy, (read more on
this later on the next couple pages).
STRATEGY BREAKDOWN
4C. Mentality leads to confidence and
precision trading this strategy.
A significant portion of trading is managing
emotions and maintaining a confident mindset.
Obviously, this software bares the brunt of this
for us, but there will always be an element of
subjectivity. That, as I am sure you are aware
already, can be straining. Remember that forcing
trades, or becoming impatient, deviating from the
strategy is the number one way to lose trades
and miss out on gains. Our team knows the stress
that trading can have and encourage you to
remain vigilant and determined to consistently
set up optimal trading windows so the automated
strategy can thrive.
4D. Intro to Arming the Strategy.
Be on the lookout for continuous uncorrelated
price and delta as this would indicate that price is
in either a range or channel. While in a trend,
traders should mark absorption levels ready for a
breakout in either direction. If there is a potential
breakout the strategy should be armed in the
appropriate direction. If the price fails to
breakout, falling back into the range, the user
should disarm the strategy. The key condiitons
for arming will be delta divergences and strong
delta price correlation. For a more in-depth look
see the attached video.
https://www.youtube.com/watch?v=xmLFaOR6F8&t=1s
This video is a great resource to develop an
understanding of using this software and
implementing our strategy before the Trend and
Regression modes were added. Essentially all
trades were placed as if you were in "Trend"
mode. We recommend keeping it simple in the
beginning stages of using Polarity. Once you
have a handle on the foundations, check out this
video which has great commentary explaining
Trend AND Regression entries.
https://www.youtube.com/watch?
v=traT2_Ngc6o
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FUTURES ANALYTICA
4E. Individual Selection of Mode.
The individual selection of mode is the feature
that can be adjusted. You can set it to two
option, unchecked "Individual Selection of
Mode", in Strategy settings will give you one
solid button with a toggle feature. Checking
this box will give you a seperate button
applying to Long and Short indivdually.
4F. Trend mode.
Trend mode, the blue Polarity button, is very
straight forward. Essentially this mode tells the
automated software to take long trades when
the parameters for entry are met in the direction
of the imbalances. This means that if you have
Auto Arm on, Trend visible, price has broken the
green resistance line and you have a triple stack
of long imbalances, the system will take a long
position. For the opposite with Auto Arm on,
Trend visible, price has broken the red support
line and you have a triple stack of short
imbalances, the system will take a short
position. Without the Auto Arm the same is true
for the other arm functions, simply with the
exception of the support or resistance line as a
parameter for entry. Trend should be used
during the highest volatility period of the day.
This time period is generally going to be the first
hour or two after market open. (More on when
to use which in the "Regression" section.)
4G. Regression mode.
Regression mode has a more complex utility
since this mode relies on rangebound market
conditions which are just more diffcult to trade
in nature. However, with a good understanding
and sufficient practice in sim and playback we
believe this feature does assist in opening up a
door for traders to use in several situations
outlined below.
SETTINGS OPTIMIZATION
Before we break that down though, let's nail
down exactly what this feature is doing.
Regression mode changes the direction that
trades are taken. For instance, if you have a
triple stacked imbalance in the long
direction, with regression mode enabled
Polarity will enter you into a short position.
Conversely, if there is a triple stack of short
imbalances Polarity will place a long trade.
This mode was added to deal with
retracements or inverse pressure resulting in
minor pullbacks. Some may say that this is
too subjective, but there are a couple things
to look for in knowing when to utilize
Regression over Trend. Regression mode is
primarily useful during rangebound market
conditions. More specifically, when delta and
price correlation is low. (Delta Price
correlation is covered in the Market Entropy
section). At the end of the day we give it up
to the descretion of the user.
4H. Market Entropy Breakdown.
First let's start with a working definition of
market entropy and then explore how it
relates to OrderFlow and more specifically our
software. Market entropy is a measure of the
amount of disorder in a market. It is used to
quantify the degree of randomness in a
market’s price movements. OrderFlow is the
flow of orders into and out of the market. It is a
measure of the amount of buying and selling
activity in a given market at a given time. Order
flow is an important indicator of market
momentum and can be used to identify
potential trends. Market entropy is the
combination of these two forces, providing a
measure of the degree of randomness in the
market’s price movements. High market
entropy indicates high levels of randomness
(more choppy market conditions), while low
market entropy indicates low levels of
randomness (less choppy market conditions).
When entropy has been high for a while,
especially when there is a bias in either price
or delta, just two bars of data forming that
contradict past bars is something that you
should be reacting quickly to mainly during
more high entropy conditions.
(Currently working on video series covering
18
these concepts in more depth!)
FUTURES ANALYTICA
SETTINGS OPTIMIZATION
4I. Strategy Overview.
The strategy snippets below are suggestions given the information which is also stated in this
guidebook and the videos, but simplified here for a basic understanding of correct strategy usage.
Arm Both: This button is the bread and butter of the strategy. Arm Both has taken precedence over
the individual arming buttons, simplifying the entry process even further. You do not need to use the
arm long and arm short buttons to utilize this strategy correctly when used in conjunction with
Trend/Regression mode. This button is most similar to the research that Polarity ATI is based off of as
it is directionally neutral and not biased in direction. You are not required to predict market direction
with arm both serving as an additional desireable factor. For use cases, arm both should be used
when price velocity is high, meaning there are a large number of orders in the market. For example, at
market open, if price and delta are highly correlated Arm Both should be used in Trend mode. Another
excellent use case is using arm both in Trend mode during news events such as a Federal Reserve
meeting. In contrast, arm both should be used with Regression mode when there is low price to delta
correlation such as when the marklet is rangebound or choppy. This can be identified when price is
not linearly following the delta value. This should be the primary button you are using in Regression
mode.
Arm Long/Arm Short: These inidivual buttons allow you to arm the strategy in one specific direction
working in a more precision oriented use regime. In Trend mode, these are primarily used when
attempting to trade a breakout. Breakout trading in this scenario should only be used when delta and
price are positively correlated. Individual arm buttons are not used often with Regression mode due to
the nature of rangebound markets.
Auto-Arm: Auto-arm uses the additonal parameter of automatically generated support and
resistance lines based upon fractal generation. After price crosses above or below these support or
resistance line the strategy is armed in that direction. When price crosses back into the range drawn
by these lines the strategy is then disarmed. This allows for fully automated capability. Auto Arm can
be used in Regression mode to capture false breakouts. This would be used when entropy is high and
the market is in a rangebound period.
We have been observing this range and
monitoring closely. We secured alpha in
trend already out of this zone. We armed
both at that 411(the delta divergence).
These candles confirm the price correlation. We are
seeing building up to our decision to Arm Both which
we do upon the formation of the 261 delta candle.
By arming both we are ready for price to move
in either direction, with the strategy prepped
to take a trade off of whichever imbalances
come first.
Here in the highlighted field we see a positive
correlation between price and delta, serving as a main
reason for Trend mode active here.
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FUTURES ANALYTICA
SETTINGS OPTIMIZATION
CHAPTER V:
Settings
Optimization
5A. Determining Periodicity.
Determining periodicity can be a daunting decision
that can seriously diminish the return traders receive
should they select a suboptimal periodicity. Many
scalping traders initially zone in on charts such as the
one-minute, five-minute, and hourly charts in hopes of
catching fast movements by the markets. While
seemingly enticing at first glance these charts are far
inferior to the range chart and tick charts which cleanly
telegraph movements seamlessly. Time charts are
reliant on time to move and can result in sudden
lurches that dull the edge that Order Flow provides.
When it comes down to range charts and tick charts,
both have their respective strong points which serve
the interests of Order Flow traders differently. The
Futures Analytica team has decided that either the
range charts or the tick charts can benefit the trader
equally and the choice between them is a purely
personal preference. Some might be asking
themselves, “What is the difference between range
charts and tick charts anyway?” Tick charts can be
quickly summarized with their ability to spot sudden
changes in volatility, while range charts exist in step
with price making them easy to follow. Our team
recommends finding the chart more comfortable for
5B. Imbalance Ratio.
you while practicing in simulated trading. Periodicity for
An understanding of Imbalance ratio, (IR), is necessary
range should be relative to volatility and ticks should be
to properly understand stacked imbalances commonly
relative to volume. In general, traders should be
targeted in the AnalyticaChart3 strategy. In short, IR
keeping the chart most similar to the “Control Group”,
serves to measure what level of imbalance triggers
the “control group” refers to the last time that the chart
highlighted imbalances. As a rule of thumb, when
was proven to work. As the strategy continues to be
volatility increases traders should increase IR and as
traded users should develop their own “control group”
volume increases, traders should increase minimum
to refer to in the future to best adapt to ever-changing
volume.
market conditions. As a baseline traders should refer to
5C. Imbalance Volume.
settings proven to be effective in the most recent
A good baseline for Imbalance volume is the settings
Youtube video or the values provided on the following
provided in each of the weekly posts on the Youtube
page with additional details and support. Below I have
channel. Adjust accordingly, if you are seeing
attached the Setup and Installation video if you have
inaccurate imbalances appearing.
not checked it out already.
5D. How to Set Take Profit and Stop Loss.
The best option for setting stop loss and take profit is
utilizing the exact size of the range that the trader’s
chart is set for. I.E. range of 15, Stop of 15, and take
profit of 15. This assumes one to one risk-reward ratio,
but RnR can ultimately be decided upon in preference
https://youtu.be/V9-OovtXe1g
of the trader.
20
FUTURES ANALYTICA
SETTINGS OPTIMIZATION
5E. Settings Example and Breakdown
5G. Breakdown of Min. Imbalance Volume and Min.
ES 09-23:
Imbalance Ratio.
15 Range
What is Minimum Imbalance Volume and Minimum
15 TP/SL
Imbalance Ratio anyways and why does a small
0.35 Imbalance Ratio
difference have a huge impact on optimization? This is a
75 Min volume
question we recieve all the time and one that is
3 Stacked Imbalances
important to know the answer to. Here, we will break
Full setting video: https://www.youtube.com/watch?
down both for you and provide a couple tips on
v=prOIenolCdY
adjusting these properly.
Suggested Position/ATM Strategy:
We will start with Minimum Imbalance Volume. This
(Contract size for Trader's comfort/risk level)
value
15:15 or Trailing Stoploss
is the positive integer whole number of the two. What
NQ 09-23:
this value actually functions as the Min. value at which
3 Imbalance Ratio
an Imbalance will form. This means with a Imbalance
125 Min Volume
Volume of say 35 the bar must have a volume of at least
3 Min imbalances
35 to qualify as an imbalance. These imbalance are
1 Tick Gap Trades Enabled
calculated diagonally (see below referencing from short
3 Strength
side).
3 Offset
32 Range
4 Count Multi Tick Levels
Horizontal Imbalance Calculation Mode
(REQUIRED FOR TICK STACKING TO WORK)
Full set up video: https://www.youtube.com/watch?
v=v_CTNezz5f8&t=1s
Suggested Position/ATM Strategy:
2 Contracts
75 Stop Loss for both contracts
100 Take Profit for Contract #1
No Take Profit for Contract #2
Auto Breakeven for both contracts at 50 ticks of profit
Please make sure to select the "enable" checkbox.
(These settings are generic and not to be taken as
golden ticket settings by any means).
As you can see in this example
the straight forward imbalances
>35 and over 30x the reference
number.
5F. Understanding the Settings
They work inversely on the buy side so simply flip all the
Firstly, when it comes to the instrument, in this case ES arrows to see how imbalances work in the long direction.
Futures 12-22 contracts (high volume), it is important to (The highlighted long imbalance "334" would have the
note that the strategy is volumetric. We strongly
reference number of "143" and so forth). Min Imbalance
recommend that traders learn and use a high volume
Ratio of 0.2 = 1.5x, 0.33 = 2x, 0.5 = 3x, 0.6 = 4x and 1.0
instrument for best results. However, exploring
requires the reference number to be 0. Minimum Imb.
possibilties for settings which are targeted for trading
Volume and Minimum Imb. Ratio do not correlate with
lower volume instruments is worth testing out for
eachother and are set individually in their own right for
yourself in market replay or sim. (Find optimal contract in
optimization. Unless you understand what you are doing
CME database listed p.12).
we highly recommend not going below 0.2 Min. Imb.
Range and ATM (Stop Loss/Take Profit) are up to the
Ratio and 2 Min Imb. Volume. When backtesting to find
trader as these settings are preference for the users
your preferred settings we recommend testing 3-5 days
comfortability and will vary based on preference.
at a time for the most realistic experience. Additionally,
This being said it is intelligent to make adjustments in
order to account for changes in volatility in order to get do not expect to use these settings effectively for
smoother data flow. Meaning lowering range on slower longer than the period backtested with those settings.
days with ATM following suit. This is not necessarily the Try to backtest live to get used to disappearing
way it has to be though. Some may find great results
imbalances that you will encounter in live trading, sim or
with higher TP/SL and a lower Range. Also remember to real live trading. (Additional Imbalance Calculation
update your ATM strategy name in Polarity ATI settings Information on the next page).
as your ATM strategy name must be letter for letter
21
accurate in your strategy for proper functionality.
FUTURES ANALYTICA
Formula for Imbalance Calculation:
AnalyticaChart3:
If the number derived from this equation: (Ask
Volume - Bid Volume) / (Ask Volume + Bid Volume)
Is greater than your Imbalance Ratio, than that side
has an imbalance.
Direct Ratio Method:
If the number derived from this equation: Ask
Volume / Bid Volume is greater than your Imbalance
Ratio, than that side has an imbalance. (The same
as the NT8 OrderFlow calculation method currently
used for NQ.)
5H. The Trend/Regression Button.
The "Trend" button allows traders to take the
opposite side of a trade by flipping to the
"Regression" mode which can be toggled between
"Trend" and "Regression" by pressing the button.
With "Trend" visible arming long will take long
trades and short will take short trades.
"Regression" mode will take the opposite direction,
with Arm Long taking short trades and vis versa. You
would use "Regression" mode would be used in
range bound areas in order to secure alpha in more
difficult trading conditions. The "Trend" setting will
effect the AutoArm function as well. Another
feature of the Trend/Regression option is "Allow for
Individual Selection mode. This setting splits the
single Trend/Regression button into two, one that
is for Arming Long and one for Arming Short. This
can be useful for more specialized situations
traders may encounter. (Note: This feature is not
required for effective use.)
5I."Check for Delta Congruence" setting.
SETTINGS OPTIMIZATION
5L. Count Multi Tick Levels.
This setting is espcially helpful for trading NQ which
has less consistent and lower volume data. This
setting MUST be used in conjunction with calculate
imbalances HORIZONTALLY. Additionally, make sure to
match the value of tick levels in indicator and
strategy settings.
5M. Understanding "Use Limit Order For Entry".
Trades will be placed as limit orders instead of
market orders which can be used to eliminate trades
which move directly against you. However, the
distance away from the point of the imbalance can be
determined with the setting , "Entry Distance From
Signal Price Ticks". In additon to this Traders can use
the, "Cancel distance Ticks" setting, which will cancel
that limit order automatically should the price deviate
the selected amount away from that limit order.
(See visual explanation of this in the video, in the
Tutorials Playlist on the Futures Analytica Youtube.)
5N. Adversary Detection.
This setting adds a customizable minimum volume for
the reference value for each imbalance as an
additional parameter. This setting eliminates many of
the disappearing imbalances that could be
experienced otherwise. (This is not a gaurentee to
eliminate disappearing imbaalnces completely, just
significantly reduce them and increase the overall
number of high quality imbalances. (We recommend
using the default setting.)
5O. Enable Log.
Keep enabled. Simply fixes a bug where some cannot
send log files.
5P. Hotkeys.
Checking the, "Check for Delta Congruence"
checkbox adds an additional parameter to the mix.
Trades will only be taken if the Delta and direction
of the prospective trade are the same. Meaning, for
example if a trader attempts to make a long trade
the delta must be a, blue, long value and vis versa.
5J. Exit on New Formation of Absorption.
If a trader is in a trade and and a new green or red
Make sure to use CTRL with the hotkey you are trying
to use for proper functionality.
5Q. Custom Instrument.
(resistance line or support line) forms, the trader's
current position will be closed. This can be helpful
for removing the effects of occasional swift
changes in OrderFlow which assists in protecting
against trades that become no longer valid whilst
the trade is active.
5K. Disable Auto Arm on Trade Loss.
This option will disable the Auto Arm feature after
losing a trade with it enabled.
Only used for Micro trading. When trading micros,
select the full contract counterpart to the micro
and make sure that the contract name is in the
custom instrument dropdown field. EX. An MES chart
would have ES in the "Custom Instrument" field.
Also check that the contract matches. This will allow
for trading micro contract size off of full contract
OrderFlow which significantly improves trade
performance.
22
FUTURES ANALYTICA
SETTINGS OPTIMIZATION
Chapter VI:
Auto Arm &
S&R Lines
For the following explanation
on the functionality of the
S&R lines and the Auto Arm
strategy, please refer to the
image above. In the image
above the Auto Arm was
used to secure an automated
early entry in the long
direction as you can see the
Resistance price level pointed
out was broken. The Polarity
strategy/settings indepth
video linked below is a very
helpful tool to review after
understanding the basic
function presented on this
page.
https://www.youtube.com/w
atch?v=xmLFaO-R6F8&t=1s
6A. Disclaimer.
The Auto Arm function should not be left on
unattended at any point, nor should it be
enabled and left to run without discretional
intervention by the user. We say this as
volatility could change unfavorably
throughout the day and it is best to be
monitoring the delta. The S&R lines form as
the market moves in real time and will not be
displayed as it was in past data.
6B. Explanation.
The S&R lines are made up of two parallel
lines one red and one green. The green in the
resistance line that is intended to mark a price
level that is expected to be broken, but has
faced resistance. This is essentially an
autodrawn breakout point where there is an
implied move in the long direction. Conversely,
the red line is the support line.
This line acts as the marker for where the
price level has fallen close to or drawn down
to, but not broken implying a short direction
breakout when price falls below that level.
How the strategy actually works is once the
price level breaks that level it automatically
arms in the corresponding direction, waiting
for the imbalance parameters to be met for
trade execution.
This means that no trades will be taken within
the S&R lines with the Auto Arm On. If you wish
to make other trades it is crucial to utilize the
'Arm Long' and 'Arm Short' buttons to optimize
your trading. While we do understand that this
adds a level of complexity to the software it is
a necessary aspect of profitably trading.
Below is a video linked where Connor puts the
ideal style on display.
6C. Strength and Offset Settings.
These settings are much less precise than
your imbalances settings and less critical to
success as well.That being said, they do make
a difference. Strength will determine the
amount of volume necessary for marking the
support and resistance lines. Lower strength
values make for more sensitivity to volume
while the opposite is true for higher values.
Offset is essentially the distance between the
support and resistance lines. This just
expands or contracts the distance between
the two lines. The main application for this
setting is the application for balancing the
strength value in order to get higher precision
in identifying these price levels.
23
FUTURES ANALYTICA
CHAPTER VlI:
External
Factors
EXTERNAL FACTORS
7A. Execution Speed.
7C. Liquidity.
Execution speed and timing are both of
Equity’s liquidity has a direct correlation
utmost importance to reap maximized
with the level of slippage traders
profits. Network connection and latency
experience when trading the asset in
are instrumental in perfect executions
question. The more liquid the equity the
and a VPS, (Virtual Private Server), can
less slippage experienced mainly due to
make all the difference in achieving the
the principle that selling can take place
lowest possible slippage, (discussed
without much of a discounted price as
below), and the fastest network speeds
demand remains tight throughout the
available.
course of each trade. In short, another
trader almost instantly takes the other
7B. Slippage.
side of each trade which makes for
Slippage is an unavoidable aspect of
almost nonexistent price changes.
trading that especially retail traders
experience, which if not noticed by this
7D. News Meetings.
point any trader will see firsthand.
News meetings, ie. Federal Reserve press
Essentially, execution time even
conferences will often induce large
milliseconds can make an increasing dent
irregularities in Order Flow and the
in profits as position size increases or the
results of the strategy. We recommend
number of trades. Minimizing the amount
being aware of when things like this
of slippage is crucial for optimization.
happen to prevent trading like it is any
Fortunately, ES is traded with a low
other day of market regime. It is best for
commission rate and minimal slippage
novice traders especially to avoid trading
due to greater total leverage, (tick
this strategy during the windows closely
multiplier), when compared to alternative
following these events.
equities.
24
FUTURES
ANALYTICA
TROUBLESHOOTING
Chart not showing
historical data:
Can be caused by using a data provider that does not offer tick replay data, or your data
provider does not have it enabled by default. You may need to contact them to enable tick
replay data.
Possible user error when enabling tick replay in settings, please walkthrough the quickstart
guide once more to check if there were any errors.
Try changing Max Days in Indicator Settings to 20 for sim or live trading and make sure that
this number is set to a value>to the days you are loading back. This has no imapct on
performance of your executions speed etc.
“End Date” in Data Series may not be set to the current date
Installation Issues:
"I'm having issues updating your software, it says there are method names that are already
used!"
Tools > Remove NinjaScript Assembly > AnalyticaChart3 / PolarityATI
Import the newly updated indicator and the issue should no longer exist.
Make sure to check out the FAQ page before reaching out to the support or chat line on the
site. This page has a majority of problems answered for you already. Thanks!
Please update to the newest verion which now works on all versions of NinjaTrader.
Thanks for your patience and support. The use of this guide is for educational and
entertainment purposes only.
This is a short list if you find yourself completely stumped
with an issue reach out to contact/support email!
support@futuresanalytica.com
25