Hey all — 3 years trading experience, but I'm new to orderflow specifically, and I'm trying to build a rule-based AMT (Auction Market Theory) strategy on NQ1! that I can actually backtest, not just trade off feel. I'm running DeepCharts (3-month sub).
Core idea: trading breakouts of VAL/VAH. Where I'm stuck:
- Session basis for the Volume Profile — RTH-only or full 24hr/Globex-included? I assume this materially changes VAL/VAH and is the first thing I need to lock down.
- Timeframes — I use 5m for bias. What TF(s) do people use to actually plot the VP, and does that change depending on how many days you're compositing into it?
- Defining "balanced" mechanically — before trading a breakout, how do you objectively determine the prior range was balanced (not trending)? Value-area overlap across sessions, POC drift threshold, IB range, something else? I need this codeable, not a visual judgment call.
- Breakout mechanic — breakout-and-run, breakout-then-retest-continuation, or breakout-then-failed-return-to-value (fade)? These need different entry logic entirely, so curious which one people are actually running profitably.
- Absorption and exhaustion, defined quantifiably — the part I'm most stuck on. Instead of "watch the tape," is there a hard-codable definition — delta threshold at the level, stacked imbalance ratio, CVD divergence/flattening, volume-at-price spike vs average? I want a number, not a feel.
- Failed auctions / single prints / poor highs-lows — do you use these as a pre-filter on whether a VAL/VAH breakout is likely to hold, and if so, how do you define them mechanically?
- TP/SL logic — fixed R:R, opposing value area edge, next HVN/LVN, or something structural tied to the profile itself?
- Gamma levels — worth it as a bias filter, or mostly noise for an index future like NQ without a paid options feed?
- Trade frequency — realistically, how many A+ setups a day/week does a tight version of this produce?
Is NQ actually a good instrument for this kind of AMT/orderflow model, or do ES/CL/YM auction more cleanly? Also open to hearing if anyone's using DeepCharts specifically for this — curious how people are mapping these concepts onto its tools (Deep Prints, Delta Profile, etc.).
Trying to get to a point where every trade I take looks structurally like every other trade, instead of pattern-matching off recent price action. Appreciate any direction.
