ATR Extension Mean Reversion

Entry Logic

• Long Entry: Price moves 3x ATR (14) below the opening price.
• Short Entry: Price moves 3x ATR (14) above the opening price.
• Confirmation: A reversal candle on a lower timeframe (1-minute).
• Timeframe: 5-minute for the setup, 1-minute for entry.
• Location: Extreme intraday extension.
• Market Condition: Volatile.

Exit Logic

• Profit Target: A return to the midpoint of the day's range.
• Scaling Out: Exit 50% at 1R, trail the rest.
• Trailing Stop: A tight 3-bar trailing stop.
• Signal Failure: Exit if price continues to move against you.
• Opposite Signal: Not applicable.
• Time Expiration: Exit by the end of the day.
• Momentum Loss: Exit if the reversion stalls.

Stop Loss Structure

• Hard Stop: 1x ATR (14) from the entry price.
• Soft Stop: If the 1-minute trend does not reverse.
• Max Dollar Loss: $800.
• Max Percent Loss: 1.6%.
• Structural Stop: The high/low of the day.

Risk Management Framework

• Risk Per Trade: 1%.
• Daily Limit: 2 trades.
• Weekly Limit: 5%.
• Max Drawdown: 15%.
• R:R Requirement: 2:1.

Position Sizing Model

• Sizing Approach: Volatility-based.
• Volatility Adjustment: The entry itself is volatility-based.
• Conviction Sizing: All setups are treated equally.
• Scaling In: No.
• Scaling Out: Yes.

Trade Filtering

• Market Conditions: High volatility days.
• Setups: Requires a large, directional move from the open.
• Instruments: High-beta stocks and futures.
• Time Restrictions: Usually occurs in the first hour of trading.
• Chop/News Avoidance: The setup is often caused by news.

Context Framework

• Trend Direction: Counter-trend to the intraday move.
• VWAP Relationship: The move is likely far from VWAP.
• MA Relationship: The move is likely far from all MAs.
• Range Location: At a new high or low for the day.
• Higher TF Alignment: Not relevant.

Trade Management Rules

• Breakeven: After 1R.
• Scale Out: At 1R and the day's midpoint.
• Add Size: No.
• Fast vs Slow Moves: This is a strategy for very fast moves.

Time Rules

• Optimal Window: First hour of the US session.
• Times to Avoid: The rest of the day.
• Session Notes: This is an opening drive reversal strategy.

Setup Classification

• A+ Setup: A 3x ATR move on a stock that is gapping up or down.
• A Setup: A 2.5x ATR move.
• B Setup: A 2x ATR move.
• C Setup: Anything less than 2x ATR.

Market Selection Criteria

• Instruments: TSLA, NVDA, AMD.
• Volume: Very high.
• Volatility: Very high.

Statistical Edge Metrics

• Win Rate: 50%.
• Avg Win: 2.5R.
• Avg Loss: 1R.
• Profit Factor: 1.75.
• Expectancy: +0.375R.

Failure Conditions

• Market Conditions: A true gap-and-go trend day.
• Specific Scenarios: A stock with a major catalyst that runs all day.

Psychological Rules

• Discipline: Must be willing to enter as the market is moving very fast against you.

Advanced Components

• Regime Detection: Use the VIX to identify high-volatility days where this setup is more likely.
• Filters: Focus on stocks with a high ATR relative to their price.
• Correlation: Be aware of the overall market direction.
• MTF Alignment: Not relevant.

Location

• Strongest: On high-momentum stocks after a large gap.
• Weakest: On slow, grinding stocks.