Automated Trading Strategy #1

Momentum-based strategy that tries to capture directional price movements by combining trend analysis.

Important: There is no guarantee that ATS strategies will have the same performance in the future. I use backtests and forward tests to compare historical strategy performance. Backtests are based on historical data, not real-time data so the results shared are hypothetical, not real. Forward tests are based on live data, however, they use a simulated account. Any success I have with live trading is untypical. Trading futures is extremely risky. You should only use risk capital to fund live futures accounts and if you do trade live, be prepared to lose your entire account. There are no guarantees that any performance you see here will continue in the future. I recommend using ATS strategies in simulated trading until you/we find the holy grail of trade strategy. This is strictly for learning purposes.

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As a quick reminder, we’re on the hunt for the holy grail of automated trading strategy. If you have any questions, start with the FAQs and if you still have questions, feel free to reach out to me (Celan) directly at AutomatedTradingStrategies@protonmail.com.

Strategy #1

The strategy is a momentum-based approach that tries to capture directional price movements by combining trend analysis (Linear Regression) with volume-weighted price action (VWMA).

This trading strategy uses a very simple and straightforward approach:

1. Strategy Initialization

   • The strategy starts by setting up two technical indicators:

     • Linear Regression (LinReg) with a 14-period lookback. This indicator creates a straight line that best fits the price data over the specified period (14 bars). It helps identify the trend direction.

     • Volume Weighted Moving Average (VWMA) with a 14-period lookback. Similar to a simple moving average but gives more weight to price moves that occur on higher volume, making it potentially more responsive to significant price movements.

2. Bar-by-Bar Processing

   • The strategy updates with each new price bar (candle)

   • Both indicators are recalculated with the new price data

3. Crossover Signal Detection

   • The strategy monitors for crossovers between the LinReg and VWMA indicators

4. Trading Decisions

   • When LinReg crosses ABOVE the VWMA → Enter a LONG position (buy)

   • When LinReg crosses BELOW the VWMA → Enter a SHORT position (sell)

Here’s a visualization of the workflow.

Strategy 1 is not one of our best strategies, but I’m giving it away as an example of how ATS strategies work. You can use the description above to duplicate results. You can also download the strategy for use with Ninjatrader or any other platform that accepts C# as a programming language.

Click here for links to all ATS strategies.

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Download Strategy #1 for NinjaTrader 8: Click Here

***Strategies are available for download in Ninjatrader 8 only, but you can duplicate the strategy on all platforms based on the strategy description above or by plugging into your favorite LLM. My favorite is Claude.***

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Ninjatrader 8 Download Instructions

1. Click on the link above to download the file.

2. Download the Strategy to your desktop, keep them in the compressed .zip file.

3. From the NinjaTrader Control Center window, select the menu Tools > Import > NinjaScript Add-On

4. Select the downloaded file from your desktop

5. NinjaTrader will then confirm if the import has been successful. 

If you've never used/run a strategy in NinjaTrader 8, NinjaTrader provides instructions here.