Custom Strategy — BigTrade + VolumeProfile

Demonstrates StrategyBigTradeIndicator with StrategyVolumeProfileIndicator in Custom mode for backtesting (OnBarClose). This is a custom strategy without Algo.Strategy — it uses NinjaTrader EnterLong/EnterShort directly.

Source: [INSTALL PATH]/API/Samples/MZpackCustomStrategy1.cs Class: MZpackCustomStrategy1 : MZpackStrategyBase

What It Covers

• StrategyVolumeProfileIndicator with ProfileCreation.Custom (manual profiles)
• StrategyBigTradeIndicator with aggression filter
• Strategy logic: create developing profile when bar range >= threshold, close profile and enter when bar range drops below min or exceeds max
• Entry direction based on profile delta vs big trade delta divergence
• EnableBacktesting = true

Indicator Setup

volumeProfileIndicator = new StrategyVolumeProfileIndicator(this, @"Custom VP")
{
    ProfileCreation = ProfileCreation.Custom,
    ProfileMode = ProfileMode.BuySell,
    StackedProfileCreation1 = ProfileCreation.Sessions,
    StackedProfileCreation2 = ProfileCreation.None,
    StackedProfileCreation3 = ProfileCreation.None
};

bigTradeIndicator = new StrategyBigTradeIndicator(this, @"Aggressive Trades")
{
    FilterLogic = TradeFilterLogic.ANY,
    MarkerType = TradeMarkerType.Bar,
    UseBigTradeAlert = false
};

Strategy Logic

The OnBarCloseHandler creates a developing volume profile when bar range is large enough, then closes the profile and enters a position when the bar range drops or the profile grows too wide. Entry direction is determined by divergence between profile delta and big trade delta.

protected void StrategyOnBarCloseHandler(MarketDataEventArgs e, int currentBarIdx)
{
    int barRange = 0;
    if (Bars.Count > 1)
        barRange = (int)((High[1] - Low[1]) / TickSize);

    // Create new profile when bar range is large enough
    if (profile == null && barRange >= Strategy_StartProfileMinBarRange)
    {
        // Exit existing positions...
        profile = volumeProfileIndicator.AddProfile();
        profile.AssignRange(currentBarIdx, currentBarIdx + 1);
        profile.IsDeveloping = true;
    }
    else
    // Close profile and enter position
    if (profile != null && (barRange <= Strategy_KeepProfileMinBarRange
        || profile.RangeTicks >= Strategy_KeepProfileMaxBarRange))
    {
        // Calculate big trades delta inside profile
        long bigTradeDelta = 0;
        List<ITrade> trades = bigTradeIndicator.Trades
            .Where(t => t.StartBarIdx >= profile.BeginBarIdx
                && t.StartBarIdx <= profile.EndBarIdx).ToList();

        foreach (ITrade trade in trades)
        {
            if (trade.Side == TradeSide.Bid)
                bigTradeDelta -= trade.Volume;
            else if (trade.Side == TradeSide.Ask)
                bigTradeDelta += trade.Volume;
        }

        // SHORT if profile Delta < 0 and bigTradeDelta > 0
        if (profile.Delta < 0 && bigTradeDelta > 0)
        {
            signalShort = string.Format("VP delta:{0}, T delta:{1}",
                profile.Delta, bigTradeDelta);
            SetProfitTarget(signalShort, CalculationMode.Ticks, Strategy_TakeProfitTicks);
            SetStopLoss(signalShort, CalculationMode.Ticks, Strategy_StopLossTicks, false);
            EnterShort(signalShort);
        }
        // LONG if profile Delta > 0 and bigTradeDelta < 0
        else if (profile.Delta > 0 && bigTradeDelta < 0)
        {
            signalLong = string.Format("VP delta:{0}, T delta:{1}",
                profile.Delta, bigTradeDelta);
            SetProfitTarget(signalLong, CalculationMode.Ticks, Strategy_TakeProfitTicks);
            SetStopLoss(signalLong, CalculationMode.Ticks, Strategy_StopLossTicks, false);
            EnterLong(signalLong);
        }

        profile.IsDeveloping = false;
        profile = null;
    }
}

Configurable Properties

Strategy

Property	Default	Description
Strategy_TakeProfitTicks	96	Take profit ticks
Strategy_StopLossTicks	32	Stop loss ticks

Filtering

Property	Default	Description
Strategy_StackedProfileType	VP	Stacked profile type
Strategy_StartProfileMinBarRange	12	Min bar range to create profile
Strategy_KeepProfileMinBarRange	5	Min bar range to keep profile
Strategy_KeepProfileMaxBarRange	30	Max profile range in ticks
Strategy_TradeVolume	100	Trade volume filter
Strategy_AggressionFilter	2	Aggression/sweep filter in ticks

See Also

• MZpackStrategyBase — base class
• Data Access — mzVolumeProfile — volume profile data
• Working with Samples — how to compile samples