Pinnacle Quant – Price Action Pivoter v4 NT8

Pinnacle Quant – Price Action Pivoter v4 NT8

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Pinnacle Quant – Price Action Pivoter v4 NT8

riginal website: pinnaclequant.com
Original price: $6,795 (!)
Content: full NT8 system

Price Action Pivoter v4 for NT8 – If you’re looking for the best automated trading system for NinjaTrader—one that incorporates every element a trader needs to gain an edge in the market—then this is the one you’ve been searching for!

 

    
In-Depth Backtesting of PriceActionPivoter V4

Before glancing at the hypothetical backtests above, please bear in mind that in NinjaTrader, any backtests that do not use minute bars, and any backtests whose strategy is not calculated at the close of the bar, are moot. This means that if you encounter a backtest using Renko bars, Heiken Ashi, or tick bars, the results are erroneous and do not accurately reflect the strategy. The reason is that all strategies backtested on NinjaTrader (and other platforms, for that matter) require calculations to be made at the close of the bar to ensure the backtest’s accuracy.

Remember, data providers only store OHLC data, which stands for open, high, low, and close data; they do not store averages, midpoints, or any custom data present in Renko bars, Heiken Ashi bars, and other custom bars. In Price Action Pivoter™ V4, the Main System Strategy as well as the Special Operations strategy use minute bars, and all calculations within both those strategies are made at the close of the bar. This is also the case with the Order Flow Delta Algorithm, but since this trading strategy relies on the Order Flow+ indicator from NinjaTrader, particularly NinjaTrader’s Order Flow Cumultative Delta indicator, you will need Tick data to use it, but the calculations are still done upon the close of the bar. Please note that the below facts apply to the backtests show in the above images:

  • 1 ES contract.
  • Starts on 01/01/2023 and ends on 09/06/2024.
  • I did not use commissions, as I don’t know which broker you will be using, but you should subtract commissions from the net profit numbers to get a more accurate picture. To calculate broker commissions multiple the total number of trades by their roundtrip fee and subtract it from the Net Profit show above.
  • I used 1 tick of slippage, which is about right for the $ES futures instrument I backtested. If you’re trading $NQ, I’d recommend using 2 ticks of slippage in your backtest. You need to adjust the slippage by simply observing the typical open prices of bars vs their immediately preceding close prices of bars to determine what the typical slippage may be. Slippage tends to vary from one instrument to another.
  • My profit target was always 100 ticks, and my stop price was always 30 ticks. This trade setup offers a favorable risk-reward balance with an R ratio of 3.33R, indicating that the potential profit is approximately 3.33 times the potential loss. Please be very wary of ridiculous claims all over the Internet of people achieving something like a 95% win rate, you will note, they will never show you their profit target vs their stop price, as their R ratio is highly likely to be inverted, where their price target is 5 ticks, and their stop is 20 ticks – that kind of R ratio is simply mathematically unsustainable over a long period of time. Most won’t even show you the period of time they run their backtest on, as it was likely cherry picked over a short amount of time span.
  • I used the PriceActionPivoter™ Peak High-Low Trailing Stop. The system was set to trail price when there is a minimum of $675 of unrealized profit, and place the stop 75% away from the absolute peak high or peak low unrealized price. These numbers, much like the profit target, and stop price were always the same, and never changed.
  • The PriceActionPivoter™ Main System Strategy was set to look for trades from 6:30A PST until 12:30P PST, and was set to flatten all trades at 12:59P PST to ensure all trading occurred only during RTH hours. The system was set to look for trades every day, Monday to Friday.
  • The backtests were not curve fitted in any way, as the same exact parameters were used for both of the backtested years.
  • The above hypothetical backtests reflect only the “Main System Strategy,” and it has the new “Price Action Volatility Harvester” strategy added to the trading conditions. There is no curve fitting or cherry picking whatsoever in the above backtests.*Note, if you would like to see the hypothetical backtested results of the new Order Flow Delta Algorithm in V4, which has subtle improvements to the strategy, please watch the video below which covers the Market Replay results, as the Order Flow Delta Algorithm strategy uses Ticks, which makes a typical NinjaTrader backtest inaccurate, as the NinjaTrader backtest engine relies on OHLC data, not Tick data. However, NinjaTrader’s Market Replay accurately captures Order Flow Algorithm Strategy trades as they would’ve occurred in the real world, assuming your Tick data is accurate:

How to Successfully Use Price Action Pivoter V4

I. Configuring the ‘Main System Strategy’ to Free Up Your Time!

Utilizing the NinjaTrader platform’s advanced tools, including backtesting, walk forward testing, and multi-objective optimization, you can effectively tailor your trading strategy to specific days and times. A practical starting point is to conduct a basic backtest to evaluate the system’s performance. I suggest backtesting across almost all Regular Trading Hours (RTH) and for each trading day, Monday through Friday. This approach will give you a comprehensive understanding of the system’s capabilities (I’ll be sharing some hypothetical backtested results later). For RTH sessions, I typically set my trading hours from 6:30 AM to 12:30 PM, but it’s important to adjust these times to your specific time zone (for example, 9:30 AM to 3:30 PM for EST). Also, consider setting a ‘Flatten Everything’ time close to the RTH closing to allow your trades sufficient time. I usually set this one minute before the RTH close, at 12:59 PM PST.

The Main System Strategy, as illustrated below, employs pivot points (both traditional and Fibonacci) and other significant price levels like Globex Open, Globex Close, Prior Day Low, Prior Day High, and Midpoint. What sets PriceActionPivoter™ apart from many other NinjaTrader automated strategies is its reliance on historical price action. It assesses how prices have historically responded at these key levels to decide on trade entries. While the system requires a minimum of 1,500 bars to operate effectively (using a 1-minute bar timeframe), I recommend loading 30 days of data on the 1-minute chart. This depth of data ensures that the system has sufficient information for optimal analysis before entering a trade.

Predicting the future with certainty is impossible, but we can rely on past data to systematically analyze how prices have behaved near established price levels. By examining these historical patterns, we can develop models that anticipate future price movements. In Price Action Pivoter™V4, we introduce an exciting strategy that capitalizes on price action volatility, which we’re calling Price Action Volatility Harvester, often overlooked by other price action bots. This strategy identifies subtle price movements and aggregates them to generate favorable trades, as demonstrated by the hypothetical results presented above. This methodology is the foundation of the Main System Strategy.

II. Enter Trades at Key Price Levels via Special Operations – MLPriceMapper™ Strategy

Special Operations is designed to work in tandem with MLPriceMapper™, a powerful LSTM neural network forecasting software. This strategy allows for tactical trading by enabling you to select specific price levels for trade entries. Once a trade is initiated, the system autonomously manages it according to the money and trade management parameters you’ve set in this automated trading system.

The system can monitor up to five price levels in each direction. For a trade to be entered, the specified price levels must be crossed. For a long trade, the price must not only touch but also cross above the set level, followed by two consecutive green bars where the final bar’s body is larger than its upper wick. Similarly, for a short trade, the price must touch and cross below the set level, followed by two red bars, with the final bar’s body larger than its lower wick. Additionally, the system features a ‘Minimum Profit Potential’ setting for both long and short trades. When a value greater than $0 is input, the system performs a profit potential check. For long trades, it verifies that the potential profit between the entry bar’s closing price and the next higher resistance level meets or exceeds this input value. Conversely, for short trades, it ensures the potential profit from the entry bar’s closing price down to the next lower support level meets the specified threshold. The system considers particular key price levels for these calculations, and those key levels are TwoDaysAgoHigh, TwoDaysAgoLow, Prior Day’s High (PH), Prior Day’s Low (PL), R3 through R1 and their midpoints, Pivot Point (PP), and S1 through S3 and their midpoints. However, it’s important to note that Fibonacci Pivot points are excluded from these minimum profit calculations. The process of selecting price levels is streamlined with MLPriceMapper™, particularly when you map the ranges predicted by MLPriceMapper™ on top of the price levels shown in the MidPivotPointsPHL indicator.

Take note of the directional prices 1 through 5 displayed above. A frequently employed strategy among price level traders involves setting price levels in both directions with a specified gap between each level. This is demonstrated in the example above, where there is a 5-point gap between the long price targets and their corresponding short price targets. For instance, a long target at 5500 is set against a short target at 5505. The system will initiate a trade based on which price level is crossed first. Specifically, if the market touches and crosses above a set price, the system will execute a long trade. Conversely, if the market touches and crosses below a set price, it will initiate a short trade. The direction of the trade depends entirely on which of these price levels is crossed first.

However, basic price level trading strategies lack the depth offered by machine learning. By analyzing 6 to 8 months of data in trending markets, or 1 to 2 months of data in sideways markets, the LSTM model can understand historical price reactions at crucial levels. Training this LSTM model on past data is streamlined with my BulkDataGrabber™ tool, which allows for rapid data collection directly from NinjaTrader’s Strategy Analyzer. This method enables the machine learning software to make more accurate predictions about potential price movements. Furthermore, the same LSTM model is capable of estimating price ranges for upcoming Regular Trading Hours (RTH) sessions. MLPriceMapper™ incorporates this advanced functionality, offering you the means to execute daily trades in a systematic and reliable manner.

I’m going to discuss MLPriceMapper™ in more detail below. If you’re still with me, awesome – rest assured, there’s much more essential information ahead that every trader should have. Most traders go into battle armed with a slingshot (RSI, MACD, MAs, Market Profile, gut feelings, etc.). In contrast, professional traders, hedge funds, and Commodity Pool Operators (CPOs) are equipped with the equivalent of stealth war drones, utilizing comprehensive past data analysis, machine learning, and systematic rules-based trade and money management. With Price Action Pivoter™ and MLPriceMapper™, you gain access to these sophisticated tools, but at a tiny fraction of the cost that larger firms spend on their engineers and quants, who often boast about extensive resources like ‘we have a 100 PhDs working on our machine learning systems.

III. Order Flow Delta Algorithm – Aggressive Trading Strategy

This is the third trading strategy available in Price Action Pivoter™ V4, which is deemed an aggressive automated trading strategy designed for $ES/$MES. In V4 there was a subtle change to the trading algorithm. You will need the Order Flow+ add-on indicator from NinjaTrader to use this strategy. You will also need tick data, as data is extracted from the Order Flow Cumulative Delta indicator, which runs on tick data, and fed into the algorithm that uses price action, price levels, and various other conditions to enter long and/or short trades. Please watch the video above for details on this powerful and exciting trading strategy.

IV. Comprehensive Money & Trade Management Rules

Price Action Pivoter™ V4 incorporates various trade management mechanisms to maintain complete control over your trades, based on your predefined settings. After covering the ‘offensive’ aspects in parts I and II, let’s now turn to the ‘defensive’ strategies.

  1. Money Management – You can set limits for when the system should cease trading, based on reaching either a minimum net session profit or a minimum net session loss limit. These are calculated when positions are closed.
  2. Trade Management – you can set the maximum number of trades the system can take, whether you want 1 trade or 10 trades, it’s up to you (assuming the trade set-up is there). You can also set the maximum consecutive loss switch option where if you take X number of consecutive losses, the system will only look for trades in the opposite direction (assuming you have set the system to look for both long and short trades).
  3. Peak High-Low Trailing Stop – This isn’t a conventional tick-based trailing stop but one that follows the price based on unrealized peak profit prices. You can activate the trailing mechanism upon reaching a minimum unrealized profit and set it at a percentage distance from the current price. The trailing stop is updated every 60 seconds and executed at bar close. This is a powerful tool for those that need to carefully watch their drawdowns (e.g. prop traders).
  4. Price Target – there are two kinds; fixed, and adaptive where the price target adapts to the price range of the last rolling 60 bars.
  5. Stop Price – there are two kinds; fixed, and adaptive where the stop price adapts to the price range of the last rolling 60 bars.
  6. Flatten Everything – you can set the time where the system will exit all open positions for you. Whether you’re at work, at a meeting or playing golf, the system will execute your request as long as your computer is connected to the Internet, and your NinjaTrader is up and running.

Additional elements include the number of times the price must cross key pivot levels before executing a trade. The system also tracks the highs and lows of each cross at these levels, adding a unique dimension to trade entry decisions. The threshold setting determines whether the current price is higher or lower than the previous highest stored cross price for long or lowest stored cross price for short trades, respectively.

I’ve developed a unique method to calculate these crosses and thresholds, which I prefer to demonstrate live, as it is easier to demonstrate live. This functionality has proven effective in identifying viable trading levels.


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