Chapter 4: Strategy Analysis

Dec 31, 2024

Quality Data: Use a robust data provider that covers your target instrument over at least 6–12 months.
Strategy Analyzer: Open strategy analyzer in Ninjatrader to run the backtest and examine the results.
Multiple Timeframes: Set your initial parameters, time range, and data type (e.g. 15-minute bars).
Optimization: Optimize each setting parameter in the strategy optimizer to find optimal settings.

When analyzing the backtest results, look at:

Net Profit / Loss: The total profitability over the test period after setting your base account value.
Profit Factor: The ratio of gross profits to gross losses for all trades within a given sample. The higher the better.
Max Drawdown: Measures risk exposure. A lower max drawdown with stable returns is often preferable.
Win Rate: A higher win rate is nice, but a profit factor > 1.5 or 2.0 indicates consistent profitability.

Tip: Don’t rely on a single metric. Look at a combination to gauge consistency, risk, and overall expectancy.

Let TrendCe's color signals be your main momentum detection.
Combine it with ADX, Breakout, Volatility, etc to skip trades in choppy markets.

For confluence, only take a trend-based trade if it matches the bullish/bearish candlestick pattern.
Or run candlestick entries with order flow plus volumetric data by themselves.

Combine trend-based, price-based, and volume-based filters to identify trending markets or consolidation phases.
Use volumetric bars with the Order Flow Filter to increase the win rate while reducing trade frequency.
Enable the FVG (Fair Value Gap) filter to help confirm short-term liquidity void zones.

Tip: The key is to pick a subset of features that best fits the current market regime (trend vs. sideways, high vs. low volatility).

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