How the engine works
Run settings
The Run tab defines "the world every candidate trades in — account, costs, risk caps, sizing, and session rules. These are fixed for the whole run, not what the optimizer searches." Every candidate is evaluated under identical economics, so results are comparable.
Blank fields keep the engine default shown in each placeholder.
Account & economics
| Setting | Meaning | Placeholder default |
|---|---|---|
| Commission / side ($) | Commission charged per contract per side of a round turn. | 0.39 |
| Starting balance ($) | Account equity each backtest starts from. | 25000 |
| Equity mode | Fixed keeps a constant base; Daily reset re-bases each day; Compounding grows the base with realized PnL. | Compounding |
Slippage
- Apply tick slippage to fills — off = idealized fills at the signal price.
- Regular-session ticks — ticks of slippage added to a regular-session fill (default 1).
- Stop-loss ticks — extra slippage when a stop is hit; stops gap and fill worse (default 1).
Turn slippage on for anything you intend to trade. Note the validation gauntlet independently stresses transaction costs — see Quality gates.
Risk caps
- Daily loss cap — stop trading for the rest of the day once the daily loss cap is hit; the cap is a percent of a reference equity you choose (the current session's equity or the fixed starting equity).
- Consecutive-loss breaker — stop for the day after a run of losing trades of the length you set.
Sizing
| Setting | Meaning |
|---|---|
| Percent-risk sizing (on/off) | On sizes by a percent of equity; off uses a fixed dollar risk per trade. |
| Risk % / trade | Percent of equity risked per trade when percent-risk sizing is on (default 1). |
| Account risk $ | Dollar risk per trade when percent-risk sizing is off (default 100). |
| Min / Max contracts | Floor and hard cap on position size (defaults 1 / 5). |
| Volatility adjustment | Scale size down in high-volatility regimes (by ATR percentile). Off by default. |
Session rules
Guardrails on when the strategy may enter. All blank = off.
| Rule | Meaning |
|---|---|
| Max trades / day | Cap on entries per session. |
| Min bars between | Minimum bars to wait between entries. |
| Daily loss limit ($) | Halt the day after this dollar loss. |
| Daily profit limit ($) | Halt the day after this dollar gain. |
| Loss cooldown (bars) | Bars to pause entries after a losing trade. |
| Opening Range Minutes | Only open entries during the first X minutes after the trade-hours window starts. |
| Skip Open Minutes | Block entries for the first X minutes after the window starts (skip the open). |
| Cooldown Bars After Exit | Bars to stand down after any exit, win or loss. Independent of the post-loss cooldown; the longer of the two binds. |
| Don't chase: max distance from VWAP (× ATR) | Refuse a new entry when price has run more than this many ATR(14) from session VWAP — stops the strategy chasing an extended move. e.g. 2.5. |
| Trade hours | RTH — regular session (09:30–16:00 ET); ETH — overnight/extended hours; All — the whole session. |
These same guardrails are carried into the exported NinjaScript, so the strategy behaves in NinjaTrader as it did in the backtest.
Exit overrides
- Fix risk:reward — pins every candidate's target to one reward:risk value and drops it from the search.
- Risk:reward (R) — the pinned value (e.g. 2).
This is the blunt version of the finer-grained control on the Exits tab.