Order Flow imbalance trading on a highfrequency timeframe is an extremely lucrative and simple strategy to use with account sizes below the multimillions, and when traded properly with regards to entropy can result in an extremely high yield strategy.

The following video is a live trading session using the aforementioned imbalancebased strategy via the Polarity ATI to trade the EMini S&P500 futures.

Automated Trading Interface used in Video, the Polarity ATI:
https://futuresanalytica.com/products...


Link to Quant Trading Paper on Order Flow Imbalances:
https://www.dropbox.com/scl/fi/ahwrxz...

Sources:
https://www.cis.upenn.edu/~mkearns/fi...

https://arxiv.org/abs/2112.13213

https://arxiv.org/pdf/1011.6402.pdf

https://www.researchgate.net/publicat...



Check out more of the Polarity ATI in action:
   • Polarity Automated Trading Interface  

What order flow is and how to understand these videos in just 5 minutes:
   • Read the Market Like a Book: Learn Ev...  
Learn to trade order flow in 20 minutes:
   • Learn Order Flow Scalping in 20 Minut...  
Want more instruction? Advanced Order Flow Guide included with the Polarity ATI here:
https://www.futuresanalytica.com/prod...

Free Green and Blue Lines on Chart:
https://futuresanalytica.com/pages/re...


Timeline:
0:00 Introduction
1:19 Strategy Tutorial
2:00 The EntropyVolatility Relationship
3:37 Overall Profitability
4:02 Market Microstructure
4:39 Spoofing and Flash Crashes
5:31 Quantitative Edge Reasoning
7:00 Conclusive Results on Imbalance Trading
8:16 Why Hedge Funds Can't Trade This
12:01 End of Trading Day

ATM Settings:
4 tp
8/6ts SL
6 trailing stop on trigger of 2 profit

Polarity ATI and AnalyticaChart3 Settings:
0.25 Imbalance Ratio
100 Min Volume
3 Min imbalances
1 Tick Gap Trades Enabled
3 Strength
3 Offset
15 Range
Diagonal Imbalance Calculation Mode

60/40 Reverse Strength (Add two indicators to your chart)
14 period

DISCLAIMER: Futures trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

NinjaTrader® is a registered trademark of NinjaTrader Group, LLC. No NinjaTrader company has any affiliation with the owner, developer, or provider of the products or services described herein, or any interest, ownership or otherwise, in any such product or service, or endorses, recommends or approves any such product or service.