S-23 — Manual Preview

Public preview

Product: S-23 by Seraphim Quant

Platform: NinjaTrader 8

Vendor: Seraphim Quant LLC

Version: Preview v1.0

About this document

This is a public preview of the complete manual for S-23. It contains a general description of the system, its operational logic, available filters, and the complete structure of the official manual you will receive when purchasing the product.

The complete official manual (approximately 50 pages) includes specific configurations, exact parameter values, optimized presets for Long and Short, detailed troubleshooting, and a complete installation guide. These details are confidential and delivered only to licensed users.

If you have additional questions after reading this preview, write to us at support@seraphimquant.com.

Section 1 — Introduction

1.1 What is S-23?

S-23 is an automated algorithmic strategy for NinjaTrader 8 based on the Opening Range Breakout (ORB) concept.

1.2 Product philosophy

S-23 does not promise specific results or extraordinary returns. It promises something more useful: sustained mechanical discipline over time. Every decision the bot makes follows predefined mathematical rules, with no deviations for intuition or emotion. One job, done the same way every time.

1.3 Primary instrument

The official presets of the product are optimized for:

• MNQ (Micro Nasdaq-100 futures)
• 5-minute bars
• 2 contracts per trade

The system is technically flexible and can operate other liquid instruments (MES, ES, NQ, metals, energies) and other timeframes, but requires user validation in backtest before live operation.

1.4 Compatibility

• Platform: NinjaTrader 8 (Windows 10/11, 64-bit)
• Brokers: any broker compatible with NinjaTrader 8 (NinjaTrader Brokerage, AMP, Continuum, Rithmic, CQG, etc.)
• Prop firms: works with prop firms that permit automated trading on NinjaTrader 8. Policies vary widely — some firms allow automated strategies, others restrict them, and others prohibit them entirely. It is the user's responsibility to verify each firm's algorithmic-trading policy before operating.
• VPS: works on any VPS where NinjaTrader 8 can be installed (optional, not required).

Section 2 — How the bot works

S-23 executes five sequential steps in each trading session. The logic is always the same — no variations by intuition, no "today is different," no exceptions.

Step 1 — Building the opening range

During a defined window at the start of the regular session (fully user-configurable), the bot records the highest and lowest price of the period. These two values form the Opening Range — the range the bot will monitor for the rest of the trading window.

Step 2 — Confirmed breakout detection

Once the range is established, the bot waits patiently. It does not anticipate, does not guess. It waits for a bar to close completely above the range (potential Long signal) or completely below (potential Short signal).

The bot automatically regulates re-entries within the same day according to user configuration, avoiding over-trading on difficult sessions.

Step 3 — Verification of all active filters

Before each entry, the bot executes an instant verification of all active filters. If any filter is not met, the bot does not enter. No discussion, no "this time it looks good."

The available filter groups are:

• Momentum Filters (ADX, CHOP, MACD)
• Volume Filters (Volume SMA, VWAP, CumDelta)
• Trend Filters (Trend SMA, SMA Slope)
• Session Filters (Cooldown between trades, Day Filter by day of week)
• Bar Quality Filters (Wick Rejection, Fair Value Gap)

Each filter can be individually activated or deactivated. Each parameter is user-configurable.

Step 4 — Dynamic stop loss and targets calculation

If all filters pass, the bot calculates the stop loss based on the actual volatility of the breakout bar — not on a fixed value. Quiet markets produce tighter stops; volatile markets produce proportionally wider stops.

The system includes configurable parameters for:

• Max Stop (maximum risk ceiling per trade).
• Min Stop (minimum risk floor per trade).

On top of the dynamic risk calculated, the bot defines targets as configurable multiples of the stop (by default 1.5x and 2.5x — fully adjustable by the user).

Step 5 — Position management and gains protection

Once in position, the bot can activate:

• Breakeven: moves the stop to the entry price when the trade reaches a favorable threshold.
• Trailing Stop: follows the price at a configurable distance.

Contracts are managed independently. When the first target is reached, the first contract closes; the others continue operating with their own management logic.

End-of-day closure

At the end of the configured trading window (fully user-configurable), the bot automatically closes all open positions via market order. No overnight risk.

Section 3 — Parameter structure

S-23 has more than 30 configurable parameters organized into logical groups. The complete manual includes detailed description, suggested range, and usage example for each one.

Available parameter groups

Group 1 — Parameters (general configuration).

Defines the opening range, trading window, number of contracts, target multipliers, and base system configuration.

Group 2 — Breakeven & Trailing Stop.

Controls when breakeven activates and how the trailing stop operates. Allows independent configuration for each.

Group 3.1 — Momentum Filters.

ADX, CHOP, MACD — each with configurable thresholds.

Group 3.2 — Volume Filters.

Volume SMA, VWAP, CumDelta (simple and divergence versions).

Group 3.3 — Trend Filters.

Trend SMA (price position relative to a trend SMA) and SMA Slope (direction and slope of the SMA).

Group 3.4 — Other Filters.

Cooldown Filter (minimum time between trades), Wick Rejection Filter (breakout bar quality).

Group 3.5 — PnL Management.

Daily Loss Limit, Daily Profit Limit. Critical for clients with prop firms that have strict daily drawdown rules.

Group 3.6 — FVG & Offset.

Fair Value Gap (quality filter), Entry Offset (anti-sweep mechanism).

Group 3.7 — Day Filter.

Allows enabling or disabling specific days of the week (useful if your analysis shows that certain days are weaker for your instrument).

Section 4 — Optimized presets

The product includes two officially optimized presets:

Long preset (S-23_MNQ_Long)

Specific configuration to trade the long side of MNQ on 5-minute bars. Includes activated filters, calibrated values, and tuned risk management parameters.

Short preset (S-23_MNQ_Short)

Specific configuration to trade the short side of MNQ on 5-minute bars. The short-side parameters are different from the long-side parameters — the market behaves asymmetrically directionally, and the presets reflect that difference.

Both presets load directly into NinjaTrader and are ready to use with no additional configuration. The complete manual includes the exact values of each parameter, along with technical justification for each calibration decision.

Section 5 — Installation and activation

Summarized process

• Purchase: complete the purchase on the website.
• License activation: within 24 business hours, your NinjaTrader username will be authorized by the Seraphim Quant team.
• Delivery email: you will receive an email with the download link for the .zip file containing the bot, presets, complete manual, and step-by-step installation instructions.
• Installation: import the file in NinjaTrader 8 (standard process: Tools → Import → NinjaScript Add-On).
• Preset loading: apply the desired preset (Long or Short) on your MNQ 5-min chart.
• Verification: run a short backtest to confirm the license is active and the system responds.

The complete manual includes step-by-step screenshots of the installation process, troubleshooting for common issues, and a detailed guide to configure the chart correctly.

Suggested system specifications

These are the specifications we suggest for smooth operation — not strict requirements. The bot can run on lighter setups, but the following is what we recommend:

• Windows 10 or 11 (64-bit)
• NinjaTrader 8 installed and configured with a compatible broker
• Intel Core i5 or equivalent AMD Ryzen 5 processor
• 8 GB RAM (16 GB recommended)
• Stable internet connection
• 1920×1080 monitor or higher

Section 6 — What to expect in operation

Typical operational frequency

Over the historical backtest period (6.36 years):

• ~40 trades per month on average.
• ~240 trades per semester.
• ~480 trades per year.
• 0 dark months (months without trades) in 77 months of operation.

Expected drawdowns

Drawdowns are a normal part of any trading system. S-23 has shown in backtest:

• Maximum historical drawdown: $3,338.
• Max drawdown duration: 220 trades (approximately 5–6 months).
• Ulcer Index Moderate: drawdowns can be prolonged — the client should be mentally prepared for periods of "not at peak" that may last several months.

How to evaluate the system in live operation

The complete manual includes a section dedicated to monitoring and evaluating the system in live operation, with specific benchmarks:

• Expected win rate floor: 41% over rolling 6 months.
• DD Alert Level: $5,007 — if live drawdown exceeds this level, consider pausing and reassessing.
• Live vs. backtest gap: real execution typically runs 10–30% below backtest results due to slippage, fills, and commissions. Plan around the gap, not the backtest.

Section 7 — Statistical validation summary

The system was validated through an independent external statistical analyzer. Complete results are available in "The Numbers" section of the website. Executive summary:

Calculation base: 3,050 trades · MNQ 5-min · 2 contracts · $1.30 round-trip commission applied · Period Jan 2020 – May 2026.

Ready to begin?

To purchase S-23, visit seraphimquant.com and choose the plan that best fits your operation. If you have additional questions before buying, write to us: support@seraphimquant.com