Index Rebalance Trade

Entry Logic

• Entry trigger: A stock is being added to or removed from a major index.
• Confirmation: High volume and a clear trend in the direction of the rebalance.
• Timeframe: Daily and weekly charts.
• Location context: Buy stocks being added and sell stocks being removed.
• Market condition: Any market condition.

Exit Logic

• Profit targets: Take profits on the rebalance date.
• Scaling out: Not applicable.
• Trailing stop: Not applicable.
• Signal failure exit: Not applicable.
• Opposite signal exit: Not applicable.
• Time expiration: Exit on the rebalance date.
• Momentum loss: Not applicable.

Stop Loss Structure

• Hard stop: Not applicable.
• Soft stop: Not applicable.
• Max dollar loss: Not applicable.
• Max percent loss: Not applicable.
• Structural stop: Not applicable.

Risk Management Framework

• Risk per trade: Not applicable.
• Daily limit: Not applicable.
• Weekly limit: Not applicable.
• Max drawdown: Not applicable.
• R:R requirement: Not applicable.

Position Sizing Model

• Sizing approach: Not applicable.
• Volatility adjustment: Not applicable.
• Conviction sizing: Not applicable.
• Scaling in/out: Not applicable.

Trade Filtering

• Market conditions: Not applicable.
• Setups: Only trade when a stock is being added to or removed from a major index.
• Instruments: Stocks being rebalanced.
• Time restrictions: Not applicable.
• Chop/news avoidance: Not applicable.

Context Framework

• Trend direction: Not applicable.
• VWAP relationship: Not applicable.
• MA relationship: Not applicable.
• Range location: Not applicable.
• Higher TF alignment: Not applicable.

Trade Management Rules

• Breakeven: Not applicable.
• Scale out: Not applicable.
• Add size: Not applicable.
• Fast vs slow moves: Not applicable.

Time Rules

• Optimal window: The days leading up to the rebalance date.
• Times to avoid: Any other time.
• Session notes: Not applicable.

Setup Classification

• A+ criteria: Not applicable.
• A criteria: Not applicable.
• B criteria: Not applicable.
• C criteria: Not applicable.

Market Selection Criteria

• Instruments: Stocks being rebalanced.
• Volume: Not applicable.
• Volatility: Not applicable.

Statistical Edge Metrics

• Win rate: Very high.
• Avg win: Varies.
• Avg loss: Varies.
• Profit factor: Varies.
• Expectancy: Varies.

Failure Conditions

• The rebalance is canceled.

Psychological Rules

• This is a low-risk trade.

Advanced Components

• Regime detection: Not applicable.
• Filters: Not applicable.
• Correlation: Not applicable.
• MTF alignment: Not applicable.

Location

• Strongest: In major indexes like the S&P 500.
• Weakest: In minor indexes.