High-Frequency Momentum Scalp

Entry Logic

• Exact entry trigger: A proprietary algorithm detects a short-term momentum anomaly.
• Confirmation requirements: The algorithm confirms the signal with a variety of other factors.
• Timeframe required: Milliseconds or microseconds.
• Location context: N/A.
• Market condition requirement: A highly volatile and liquid market.

Exit Logic

• Profit target(s): A few cents or ticks.
• Scaling out rules: No scaling out.
• Trailing stop rules: No trailing stop.
• Exit on signal failure: The algorithm automatically exits the trade if the anomaly disappears.
• Exit on opposite signal: The algorithm automatically exits the trade if a new anomaly appears in the opposite direction.
• Exit on time expiration: The algorithm automatically exits the trade after a few seconds.
• Exit on momentum loss: The algorithm automatically exits the trade if momentum wanes.

Stop Loss Structure

• Hard stop location: A few cents or ticks against the trade.
• Soft stop rules: None.
• Maximum dollar loss per trade: Varies depending on the algorithm's risk parameters.
• Maximum percent loss per trade: Varies depending on the algorithm's risk parameters.
• Structural stop placement: N/A.

Risk Management Framework

• Risk per trade: Varies depending on the algorithm's risk parameters.
• Maximum daily loss limit: Varies depending on the algorithm's risk parameters.
• Maximum weekly loss limit: Varies depending on the algorithm's risk parameters.
• Maximum drawdown allowed: Varies depending on the algorithm's risk parameters.
• Risk-reward ratio requirement: Varies depending on the algorithm's risk parameters.

Position Sizing Model

• Recommended sizing approach: The algorithm automatically determines the optimal position size.
• Volatility-based adjustment: The algorithm automatically adjusts the position size based on market volatility.
• Conviction-based sizing (A+/A/B setup): N/A.
• Scaling in rules: The algorithm may scale into a position if the anomaly becomes stronger.
• Scaling out rules: The algorithm may scale out of a position as the anomaly weakens.

Trade Filtering

• Market conditions to avoid: A slow or illiquid market.
• Specific setups required: A momentum anomaly detected by the algorithm.
• Stock/instrument requirements: Highly liquid stocks and futures.
• Time of day restrictions: N/A.
• Chop/news avoidance rules: The algorithm may be programmed to avoid trading around major news events.

Context Framework

• Trend direction assessment: N/A.
• VWAP relationship: N/A.
• Moving average relationship: N/A.
• Range location: N/A.
• Higher timeframe alignment: N/A.

Trade Management Rules

• When to move stop to breakeven: The algorithm automatically manages the trade.
• When to scale out: The algorithm automatically manages the trade.
• When to add size: The algorithm automatically manages the trade.
• How to handle fast moves vs slow moves: The algorithm is designed to trade in fast-moving markets.

Time Rules

• Optimal trading window: N/A.
• Times to avoid: N/A.
• Session-specific notes: This strategy is typically deployed by high-frequency trading firms.

Setup Classification

• A+ setup criteria: The algorithm assigns a high probability of success to the trade.
• A setup criteria: N/A.
• B setup criteria: N/A.
• C setup criteria: The algorithm assigns a low probability of success to the trade.

Market Selection Criteria

• Instrument requirements: Highly liquid stocks and futures.
• Volume/liquidity requirements: The instruments must be extremely liquid.
• Volatility requirements: The instruments must be highly volatile.

Statistical Edge Metrics

• Expected win rate: Varies depending on the algorithm.
• Average win size: Varies depending on the algorithm.
• Average loss size: Varies depending on the algorithm.
• Profit factor: Varies depending on the algorithm.
• Expectancy per trade: Varies depending on the algorithm.

Failure Conditions

• Market conditions where strategy fails: A slow or illiquid market.
• Specific scenarios to avoid: N/A.

Psychological Rules

• Key mental discipline requirements: This strategy is fully automated and does not require human intervention.

Advanced Components

• Market regime detection: The algorithm may incorporate market regime detection.
• Volatility/liquidity filters: The algorithm uses volatility and liquidity filters.
• Correlation filters: The algorithm may use correlation filters.
• Multi-timeframe alignment: N/A.

Location

• Where this setup is strongest: In highly volatile and liquid markets.
• Where this setup is weakest: In slow or illiquid markets.
• Location changes outcome: N/A.