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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).
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.
Very often when we are talking about scalping our goal will be to minimize avg. MAE. To achieve this (in addition to precise entries on 20 Ticks chart) we can
E-mini SP500 futures scalping NinjaTrader 8 workspace for MZpack 3: download
Feel free to ask any question. Thanks and good trading!