View Download Details

Categories

Show

SigmaSpikes strategy NT8

Strategy based on SigmaSpikes

Coded by bcomas. Email me for improvements or suggestions

SigmaSpikes as described by Adam H Grimes. https://adamhgrimes.com/how-to-calculate-sigmaspikes/

* standard deviation of daily returns over a period , searching price spikes.

Parameters:

// SigmaSpikes Settings
SigmaSpikesFactor = 2.50; (tweak according timeframe used)
UseSigmaSpikes = true;

// StopLoss & ProfitTarget
UseProtectiveStops = true;
StopLoss = 100;
ProfitTarget = 100;

// Daily Target
Contracts = 1;
DailyLossLimit = -100;
DailyProfitLimit = 100;
DailyTradesCount = 100;

// Email alerts
UseEmail = false;
EnableEntryAlert = false;
EnableExitAlert = false;
toEmailAddress = @"";

// Times
Session1 = true;
Session1Start = 0;
Session1End = 235959;

Session2 = false;
Session2Start = 90000;
Session2End = 110000;

Session3 = false;
Session3Start = 120000;
Session3End = 125900;

Thanks to the first developer:

https://nexusfi.com/local_links.php?action=ratelink&linkid=1958&catid=27&lpage=12

Testing:
https://nexusfi.com/elite-automated-ninjatrader-trading/32758-want-your-ninjatrader-strategy-created-free-184.html

Category The Elite Circle

Details: SigmaSpikes strategy NT8
Category: The Elite Circle

May 26th, 2020
Size: 7.41 KB

Comments/ratings

ZivG June 3rd, 2020 12:03 AM

Totally awesome. Going to play. So far -- I can tell that it's going in after 3 PM, and holding 1 trade either until the stop loss or the profit target.

Is that correct behavior?

bcomas June 3rd, 2020 06:38 PM

No have implemented trailing , so the price cacth the stop or profit. Depending the volatility it will be fast or not. At Daily profit or loss the strategy halt more executions

ZivG June 3rd, 2020 07:50 PM

How can I make it execute more trades with a tighter profit/loss target? With the current values -- it seems to go for a really long time, and sometimes succeeds for a huge profit, but more often than not -- fails with losses that wipe the profits.

Thx --

Ziv.

topdogtony June 3rd, 2020 10:48 PM

I will try this out very grateful for your help thanks.

bcomas June 4th, 2020 06:33 AM

The strategy is tested with success with the Emini Dow MYM contract and timeframe 15 min.
With another instruments and timeframes the SigmaSpikesFactor should be adjusted according the volume of the instrument

tehuff June 4th, 2020 04:52 PM

For intra-session trading, this indicator/strategy promotes the way traders should conceptualize their Market, thank you.

Mantrs July 25th, 2020 10:15 PM

Interesting strategy - potential for coupling with some other indicator for even better results. Thank you

seeseea August 20th, 2020 05:47 PM

Thanks, Bob.

The math looks good and the theory os the spike article seems sound; but, yes, it needs to work with some other indicator.

tonguira May 6th, 2021 10:45 AM

A question, if I use the strategy analyzer to find the best parameters..should I activate Tick Replay for real results? Or High resolution 1 tick? Or just with the standar works well? Thanks for the info. GREAT STRATEGY!