MOC (Market on Close) Imbalance Trade

Entry Logic

• Entry trigger: A significant MOC imbalance is announced at 3:50 PM EST.
• Confirmation: The imbalance is in the direction of the day's trend.
• Timeframe: 1-minute chart.
• Location context: Trade in the direction of the imbalance.
• Market condition: A trending day with a large MOC imbalance.

Exit Logic

• Profit target: The closing print.
• Scaling out: Not applicable.
• Trailing stop: Not used.
• Signal failure exit: Not applicable.
• Opposite signal exit: Not applicable.
• Time expiration: Exit at the market close.
• Momentum loss: Not applicable.

Stop Loss Structure

• Hard stop: A fixed percentage loss, e.g., 0.5%.
• Soft stop: Not used.
• Max dollar loss: $250 per trade.
• Max percent loss: 1.25% of account.
• Structural stop: Not applicable.

Risk Management Framework

• Risk per trade: 1.25% of account.
• Daily limit: 1 trade.
• Weekly limit: 3.75% drawdown.
• Max drawdown: 12.5%.
• R:R requirement: Not applicable.

Position Sizing Model

• Sizing approach: Based on the size of the MOC imbalance.
• Volatility adjustment: Not applicable.
• Conviction sizing: Not applicable.
• Scaling in/out: No scaling.

Trade Filtering

• Market conditions: Only trade on days with a large MOC imbalance.
• Setups: Only trade in the direction of the imbalance.
• Instruments: NYSE and NASDAQ stocks with published MOC imbalances.
• Time restrictions: Entry at 3:50 PM EST.
• Chop/news avoidance: Not applicable.

Context Framework

• Trend direction: Trade with the daily trend.
• VWAP relationship: Not relevant.
• Moving average relationship: Not relevant.
• Range location: Not relevant.
• Higher TF alignment: Not relevant.

Trade Management Rules

• Breakeven: Not applicable.
• Scale out: Not applicable.
• Add size: Not applicable.
• Fast vs slow moves: This is a very fast trade.

Time Rules

• Optimal trading window: 3:50-4:00 PM EST.
• Times to avoid: Any other time.
• Session notes: This is a specialized strategy that requires access to MOC imbalance data.

Setup Classification

• A+ criteria: A large imbalance in the direction of a strong trend.
• A criteria: A moderate imbalance in the direction of a trend.
• B criteria: A small imbalance.
• C criteria: An imbalance against the trend (avoid).

Market Selection Criteria

• Instruments: Stocks with significant MOC imbalances.
• Volume: High volume is expected.
• Volatility: High volatility is expected.

Statistical Edge Metrics

• Win rate: 60%.
• Avg win: Varies.
• Avg loss: Varies.
• Profit factor: Varies.
• Expectancy: Varies.

Failure Conditions

• Fails if the MOC imbalance is absorbed by the market without a significant price move.
• Avoid on days with conflicting market signals.

Psychological Rules

• Requires the ability to act instantly on the MOC data.
• Must be comfortable with the uncertainty of the closing auction.

Advanced Components

• Regime detection: Not applicable.
• Filters: Filter trades based on the size of the imbalance and the quality of the trend.
• Correlation: Be aware of market-wide imbalances.
• MTF alignment: Not applicable.

Location

• Strongest: On days with a clear institutional bias.
• Weakest: On quiet, uneventful days.