Futures Rollover Trade

Entry Logic

• Exact Entry Trigger: Enter a trade to capture the price difference between the expiring futures contract and the next-month contract during the rollover period.
• Confirmation: The rollover spread should be trading at a level that offers a profitable opportunity.
• Timeframe: Not applicable.
• Location Context: Not applicable.
• Market Condition: The futures rollover period.

Exit Logic

• Profit Targets: A fixed target based on the expected price difference.
• Scaling Out: Not applicable.
• Trailing Stop: Not used.
• Signal Failure Exit: Not applicable.
• Opposite Signal Exit: Not applicable.
• Time Expiration: Exit the trade before the expiring contract settles.
• Momentum Loss: Not applicable.

Stop Loss Structure

• Hard Stop: Not applicable.
• Soft Stop: Not used.
• Max Dollar Loss: Not applicable.
• Max Percent Loss: Not applicable.
• Structural Stop: Not applicable.

Risk Management Framework

• Risk Per Trade: Not applicable.
• Maximum Daily Loss Limit: Not applicable.
• Maximum Weekly Loss Limit: Not applicable.
• Maximum Drawdown: Not applicable.
• R:R Requirement: Not applicable.

Position Sizing Model

• Sizing Approach: Varies.
• Volatility Adjustment: Not applicable.
• Conviction Sizing: Not applicable.
• Scaling In: Not applicable.
• Scaling Out: Not applicable.

Trade Filtering

• Market Conditions to Avoid: Not applicable.
• Specific Setups Required: The futures rollover period.
• Instruments: Any futures contract.
• Time Restrictions: Only during the rollover period.
• 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: This is a very fast trade. Be prepared for immediate execution.

Time Rules

• Optimal Trading Window: The last few days before the front-month contract expires.
• Times to Avoid: Any other time.
• Session Notes: This is a trade that is executed once per contract cycle.

Setup Classification

• A+ Setup: A large and predictable rollover spread.
• A Setup: A decent rollover spread.
• B Setup: A small rollover spread.
• C Setup: Avoid. No profitable opportunity.

Market Selection Criteria

• Instruments: Any futures contract.
• Volume/Liquidity: High volume and liquidity are essential.
• Volatility: Not applicable.

Statistical Edge Metrics

• Win Rate: Very high.
• Avg Win: Varies.
• Avg Loss: Varies.
• Profit Factor: Varies.
• Expectancy: Varies.

Failure Conditions

• When Strategy Fails: This is a very low-risk trade, but it can fail if there is a sudden and unexpected market event.
• Specific Scenarios to Avoid: Not applicable.

Psychological Rules

• Mental Discipline: This is a mechanical trade that requires no emotional involvement.

Advanced Components

• Regime Detection: Not applicable.
• Filters: Not applicable.
• Correlation: Not applicable.
• MTF Alignment: Not applicable.

Location

• Where Strongest: During the futures rollover period.
• Where Weakest: At any other time.