Momentum + Breadth + Relative Strength Triple Screen

Entry Logic

• Long entry: Stock is on a 5-minute momentum scan (up >2% on high volume), market breadth ($ADD) is strong (> +1000), and stock has high relative strength (>90).
• Short entry: Stock is on a 5-minute momentum scan (down >2% on high volume), market breadth ($ADD) is weak (< -1000), and stock has low relative strength (<10).
• Confirmation: Entry on a 1-minute pullback to the 9 EMA.
• Timeframe: 5-minute for screening, 1-minute for entry.
• Location: Near the high of day for longs, near the low of day for shorts.
• Market Condition: Strong trending day.

Exit Logic

• Profit Target: 3R or a major intraday level.
• Scaling Out: Scale out 50% at 2R.
• Trailing Stop: Trail stop below the 20 EMA on the 1-minute chart.
• Signal Failure: Exit if the stock loses momentum and breaks the 1-minute trend.
• Opposite Signal: Not applicable.
• Time Expiration: Exit by end of day.
• Momentum Loss: Exit if volume dries up and the trend stalls.

Stop Loss Structure

• Hard Stop: 1-minute ATR(14) x 2 below entry for longs, above for shorts.
• Soft Stop: A break of the 1-minute uptrend/downtrend.
• Max Dollar Loss: $150 per trade.
• Max Percent Loss: 0.75% of account.
• Structural Stop: Below the last 1-minute swing low for longs, above for shorts.

Risk Management Framework

• Risk Per Trade: 0.75% of account.
• Daily Limit: 3 losing trades.
• Weekly Limit: 5% drawdown.
• Max Drawdown: 10%.
• R:R Requirement: Minimum 2.5:1.

Position Sizing Model

• Sizing Approach: Volatility-based position sizing.
• Volatility Adjustment: Position size is determined by the stop loss distance.
• Conviction Sizing: A+ setups (all criteria met perfectly) get 1% risk.
• Scaling In: Add to the position on a successful retest of the entry point.
• Scaling Out: Scale out 50% at 2R.

Trade Filtering

• Market Conditions: Only trade on strong trend days.
• Setups: All three criteria (Momentum, Breadth, RS) must be met.
• Instruments: High-volume, high-beta stocks.
• Time Restrictions: First 3 hours of the trading day.
• Chop/News Avoidance: Avoid trading on choppy days or during major news.

Context Framework

• Trend Direction: Aligned with the overall market trend for the day.
• VWAP Relationship: Entry should be above VWAP for longs, below for shorts.
• MA Relationship: Price should be above the 50 SMA on the 5-minute chart for longs.
• Range Location: Breakout from an opening range.
• Higher TF Alignment: Daily chart should be in a clear uptrend/downtrend.

Trade Management Rules

• Breakeven: Move stop to breakeven after 1.5R of profit.
• Scale Out: Scale out 50% at 2R.
• Add Size: Add on a successful pullback and hold of a key level.
• Fast vs Slow Moves: Let fast moves run, trail stop tightly.

Time Rules

• Optimal Window: 9:30 AM - 12:30 PM EST.
• Times to Avoid: Mid-day and late-day trading.
• Session Notes: Strategy relies on strong morning momentum.

Setup Classification

• A+ Setup: All criteria met, stock is a clear market leader.
• A Setup: All criteria met.
• B Setup: Only two of the three criteria are met.
• C Setup: Less than two criteria are met.

Market Selection Criteria

• Instruments: Stocks in play, gapping up or down with news.
• Volume: Minimum 500k shares traded in the first 15 minutes.
• Volatility: High ATR and beta.

Statistical Edge Metrics

• Win Rate: 45%.
• Avg Win: 3.5R.
• Avg Loss: 1R.
• Profit Factor: 1.57.
• Expectancy: 0.57R per trade.

Failure Conditions

• Market Conditions: Fails in choppy, range-bound markets.
• Specific Scenarios: Fails if market breadth reverses suddenly.

Psychological Rules

• Mental Discipline: Must act quickly and decisively. No hesitation.

Advanced Components

• Regime Detection: Use market internals (TICK, TRIN) to confirm the market trend.
• Filters: Filter for stocks with a high short interest for short setups.
• Correlation: Avoid trading multiple correlated stocks in the same sector.
• MTF Alignment: 5-minute, 15-minute, and 60-minute charts should be aligned.

Location

• Strongest: At the market open on a strong trend day.
• Weakest: During mid-day chop.