End of Day Reversal

Entry Logic

• Entry trigger: A sharp reversal in the last 15 minutes of the trading day.
• Confirmation: A strong reversal candle on the 5-minute chart.
• Timeframe: 5-minute chart.
• Location context: Trade against the afternoon trend.
• Market condition: A trending afternoon session that shows signs of exhaustion near the close.

Exit Logic

• Profit target: 50% retracement of the afternoon trend.
• Scaling out: Not recommended.
• Trailing stop: Not used.
• Signal failure exit: Exit if the price makes a new high/low in the direction of the trend.
• Opposite signal exit: Not applicable.
• Time expiration: Exit at the market close.
• Momentum loss: Exit if the reversal stalls.

Stop Loss Structure

• Hard stop: Beyond the high/low of the day.
• Soft stop: Not used.
• Max dollar loss: $150 per trade.
• Max percent loss: 0.75% of account.
• Structural stop: Beyond the most recent swing high/low.

Risk Management Framework

• Risk per trade: 0.75% of account.
• Daily limit: 1 trade.
• Weekly limit: 2.25% drawdown.
• Max drawdown: 7.5%.
• R:R requirement: Minimum 2:1.

Position Sizing Model

• Sizing approach: Risk-based.
• Volatility adjustment: Not applicable.
• Conviction sizing: Not applicable.
• Scaling in/out: No scaling.

Trade Filtering

• Market conditions: Avoid strong trend days that are closing at their highs/lows.
• Setups: Only trade clear reversals.
• Instruments: High-beta stocks and ETFs.
• Time restrictions: Entry between 3:45 and 3:55 PM EST.
• Chop/news avoidance: Not applicable.

Context Framework

• Trend direction: Counter-trend trade.
• VWAP relationship: Look for price to cross back over VWAP.
• Moving average relationship: Price crossing back over the 20 EMA.
• Range location: Trade from the edge of the day's range back towards the mean.
• Higher TF alignment: Look for divergence on the 60-minute chart.

Trade Management Rules

• Breakeven: Move stop to breakeven after 1R of profit.
• Scale out: Not applicable.
• Add size: Not applicable.
• Fast vs slow moves: Expect a fast move.

Time Rules

• Optimal trading window: 3:45-3:55 PM EST.
• Times to avoid: Before 3:45 PM EST.
• Session notes: This is a high-risk, high-reward strategy.

Setup Classification

• A+ criteria: A sharp reversal with strong volume.
• A criteria: A clear reversal with good volume.
• B criteria: A weak reversal signal.
• C criteria: No clear reversal (avoid).

Market Selection Criteria

• Instruments: Volatile stocks that have made a large move during the day.
• Volume: High volume is preferred.
• Volatility: High volatility is required.

Statistical Edge Metrics

• Win rate: 35%.
• Avg win: 3R.
• Avg loss: 1R.
• Profit factor: 1.05.
• Expectancy: 0.05R per trade.

Failure Conditions

• Fails if the trend continues into the close.
• Avoid on strong trend days.

Psychological Rules

• Must be comfortable taking counter-trend trades.
• Requires the ability to act quickly in a fast-moving market.

Advanced Components

• Regime detection: Use a mean-reversion indicator.
• Filters: Filter trades based on the extent of the day's trend.
• Correlation: Be aware of the overall market sentiment.
• MTF alignment: Look for divergence on a higher timeframe.

Location

• Strongest: After a parabolic move.
• Weakest: In a slowly grinding trend.