Simple E-mini SP500 futures scalping strategy

In this yet simple scalping strategy, we will use some knowledge about Market Microstructure and Dynamic volumes based day levels (dynamic volume POC, VAL/VAH, VWAP, and deviations).

Strategy description

We have only 2 charts: 5 Min bars and 20 Tick bars.

5 Min will be a kind of ‘big picture’ in this context. We will register 2 types of signals: touching/testing/re-testing Dynamic volumes based day levels and Market-Limit orders executions.

Next step is to get a signal on 20 Ticks chart. We will spot well visible levels of support/resistance with DOM pressure clusters and/or iceberg orders of meaningful size.

Simple E-min SP500 futures scalping strategy

Very often when we are talking about scalping our goal will be to minimize avg. MAE. To achieve this (despite making precise entries on 20 Ticks chart) we can

  1. Decrease our targets or exit by market order in case of opposite signals or signs of undesired microstructural activity during a trade
  2. Move stop loss to breakeven quick
ATM settings

A short test

E-mini SP500 futures scalping NinjaTrader 8 workspace for MZpack 3: download

Future improvements
  1. Try to add Liquidity migration to your analysis.
  2. Add entry/exit filter by trades density (mzFootprint -> TradesNumber type) to react on reversals.
  3. Code an automated strategy to minimize human being factor during tests and trading.

Feel free to ask any question. Thanks and good trading!