Daily Moving Average + 5-Min VWAP Entry

Entry Logic

• Entry trigger: 5-minute chart shows a bounce off of VWAP.
• Confirmation: Daily chart shows price trading above the 50 SMA.
• Timeframe: Daily for trend, 5-minute for entry.
• Location: Entry taken at VWAP on the 5-minute chart.
• Market condition: Trending market on the daily chart.

Exit Logic

• Profit target: 2.5R or the next resistance level on the daily chart.
• Scaling out: Scale out 50% at 1.5R.
• Trailing stop: Trail stop below the 5-minute 20 EMA.
• Signal failure: Exit if the 5-minute chart closes below VWAP.
• Opposite signal: Exit on a reversal pattern on the 5-minute chart.
• Time expiration: Exit if the trade is not profitable within 90 minutes.
• Momentum loss: Exit if the 5-minute chart shows declining volume.

Stop Loss Structure

• Hard stop: 15 cents below VWAP.
• Soft stop: A close below the 5-minute 20 EMA.
• Max dollar loss: $100 per trade.
• Max percent loss: 0.5% of account.
• Structural stop: Below the most recent swing low on the 5-minute chart.

Risk Management Framework

• Risk per trade: 0.5% of account.
• Daily limit: 3 losing trades.
• Weekly limit: 4% drawdown.
• Max drawdown: 12%.
• R:R requirement: Minimum 2:1.

Position Sizing Model

• Sizing approach: Fixed fractional, 0.5% of account per trade.
• Volatility adjustment: Reduce size if the daily ATR is high.
• Conviction sizing: A+ setups get 1% risk.
• Scaling in: Not used in this strategy.
• Scaling out: 50% at 1.5R.

Trade Filtering

• Market conditions: Avoid choppy markets.
• Setups: Only take long trades when the daily chart is in an uptrend.
• Instruments: Mid-cap and large-cap stocks.
• Time restrictions: First 3 hours of the trading session.
• Chop/news avoidance: Avoid trading during major news events.

Context Framework

• Trend direction: Determined by the daily 50 SMA.
• VWAP relationship: Entry is taken at VWAP.
• MA relationship: 5-minute 9 EMA should be above the 20 EMA.
• Range location: Entry taken on a pullback to VWAP.
• Higher TF alignment: The weekly chart should also be in an uptrend.

Trade Management Rules

• Breakeven: Move stop to breakeven after a 1R move.
• Scale out: At 1.5R profit target.
• Add size: Not used in this strategy.
• Fast vs slow moves: Let fast moves run, take partial profits on slow moves.

Time Rules

• Optimal window: 9:30 AM - 12:30 PM EST.
• Times to avoid: After 1:00 PM EST.
• Session notes: Strategy performs best with strong morning momentum.

Setup Classification

• A+ setup: Strong daily trend, clean bounce off VWAP, high volume.
• A setup: Good daily trend, but bounce off VWAP is messy.
• B setup: Daily trend is weak.
• C setup: No clear daily trend.

Market Selection Criteria

• Instruments: F, GE, BAC.
• Volume: Minimum 3 million shares traded daily.
• Volatility: Moderate intraday volatility.

Statistical Edge Metrics

• Win rate: 60%.
• Avg win: 2.5R.
• Avg loss: 1R.
• Profit factor: 1.5.
• Expectancy: 0.5R per trade.

Failure Conditions

• Strategy fails when the daily trend breaks down.
• Avoid using this strategy in low-volume, choppy markets.

Psychological Rules

• Patience is required to wait for the pullback to VWAP.
• Discipline is needed to take the entry when it presents itself.

Advanced Components

• Regime detection: Use the weekly chart to determine the market regime.
• Filters: Avoid stocks with a large spread.
• Correlation: Ensure the sector is also trending.
• MTF alignment: Weekly and daily charts should be aligned.

Location

• Strongest: In a strong, trending market.
• Weakest: In a ranging, choppy market.