Intraday Volatility Pattern Trade

Entry Logic

• Entry trigger: A predictable intraday volatility pattern, such as a spike in the morning followed by a lull in the afternoon.
• Confirmation: The pattern is consistent with historical data.
• Timeframe: 5-minute or 15-minute chart.
• Location context: Not applicable.
• Market condition: A market with a clear intraday volatility profile.

Exit Logic

• Profit target: The end of the predictable volatility period.
• Scaling out: Not applicable.
• Trailing stop: Not applicable.
• Signal failure exit: The intraday volatility pattern deviates from the norm.
• Opposite signal exit: Not applicable.
• Time expiration: Exit at the end of the trading day.
• Momentum loss: Not applicable.

Stop Loss Structure

• Hard stop: A predefined loss level based on the expected volatility.
• Soft stop: If the pattern does not play out as expected.
• Max dollar loss: 1% of account capital.
• Max percent loss: 1% of account capital.
• Structural stop: Not applicable.

Risk Management Framework

• Risk per trade: 0.5% of account capital.
• Daily limit: 2% of account capital.
• Weekly limit: 5% of account capital.
• Max drawdown: 15% of account capital.
• R:R requirement: Minimum 2:1 risk-reward ratio.

Position Sizing Model

• Sizing approach: Fixed fractional sizing.
• Volatility adjustment: The strategy is based on predictable volatility patterns.
• Conviction sizing: Not applicable.
• Scaling in: Not recommended.
• Scaling out: Not recommended.

Trade Filtering

• Market conditions to avoid: Markets with no clear intraday volatility pattern.
• Specific setups required: A consistent and predictable intraday volatility pattern.
• Instruments: Any liquid instrument with a clear intraday volatility profile.
• Time restrictions: The strategy is based on time of day.
• Chop/news avoidance: Be aware of news that could disrupt the pattern.

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: The strategy is based on predictable moves.

Time Rules

• Optimal window: During the predictable volatility periods.
• Times to avoid: Outside of the predictable volatility periods.
• Session notes: The patterns may vary by session.

Setup Classification

• A+ setup: A very consistent and predictable intraday volatility pattern.
• A setup: A moderately consistent pattern.
• B setup: A weak pattern.
• C setup: No clear pattern.

Market Selection Criteria

• Instruments: Any liquid instrument with a clear intraday volatility profile.
• Volume: High volume during the volatile periods.
• Volatility: The strategy is based on predictable volatility patterns.

Statistical Edge Metrics

• Win rate: 60-70%.
• Avg win: 1.5R.
• Avg loss: 1R.
• Profit factor: 1.6.
• Expectancy: 0.4R per trade.

Failure Conditions

• When strategy fails: When the intraday volatility pattern is disrupted by news or other events.
• Specific scenarios to avoid: Trading a pattern that is not statistically significant.

Psychological Rules

• Mental discipline: The discipline to only trade during the specific time windows.
• Key mental discipline requirements: Not overtrading outside of the high-probability periods.

Advanced Components

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

Location

• Where strongest: In markets with very consistent intraday volatility patterns.
• Where weakest: In markets with unpredictable intraday volatility.