Especially if you're connecting to a computer on your home network:
Since the port assigned for the data connection can be anything in the range 1,024 to 65,535; you may need to forward that entire range on your router to the computer with your FTP server. Routers will have different options to set this up, but all should have some way in their settings to do it. Forward that port range to your FTP Server computer. (On my router, it is in the "NAT" tab, then there is a "Port Forwarding" section.)
The default FTP port for the main connection is 21, you may also need to forward that from your router to the FTP Server as well.
Another setting to try changing:
Within FTP On The Go: on the "Settings" tab, in the "Security" section, try switching off the top two items.
Port Forwarding, Background
A bit about how the FTP protocol works helps explain why this setup is needed...
The FTP protocol uses two connections to the server, one is the "control" connection, and a second "data" connection is used for directory listings and file transfers. The control is on a known standard "port" (number 21), but the data connection is on an arbitrary port picked by the operating system on the Server computer.
There are two types of connections that can be used for the Data, either the client connecting to the server (PASV) or the server connecting back to the client (PORT). Using the PASV type often works better, helping clients connect out through a router or firewall. (You can change this PASV/PORT connection type within FTP On The Go: on the "Settings" tab, then the "Advanced" section.)
However, if you are connecting back to a computer on your own home network, it can also have a router or firewall to get through. Routers will look at the FTP communications to forward the correct port from the Internet side to the computer on your home network on the fly. But if you're using SSL security, a non-standard port other than 21, or other reasons, then the router may not be able to automatically forward the port to your server computer.
Forwarding the whole range 1,024 to 65,535 covers all the possible "data" ports that could be picked by the server computer's operating system.