Market Profile + Delta + Footprint Combo

Entry Logic

• Long entry: Price pulls back to the session's Value Area Low (VAL). Footprint chart shows buyers absorbing sellers, and cumulative delta is positive or turning up.
• Short entry: Price rallies to the session's Value Area High (VAH). Footprint chart shows sellers absorbing buyers, and cumulative delta is negative or turning down.
• Confirmation: A large buy/sell imbalance on the footprint chart at the level.
• Timeframe: 30-minute Market Profile, 5-minute chart for entry, and 1-minute footprint.
• Location: At the edges of the value area.
• Market Condition: Range-bound or balanced market.

Exit Logic

• Profit Target: The other side of the value area (VAH for longs, VAL for shorts).
• Scaling Out: Not recommended for this strategy.
• Trailing Stop: Not recommended.
• Signal Failure: Exit if price is accepted outside the value area.
• Opposite Signal: Exit on a valid opposite signal.
• Time Expiration: Exit if the trade is not profitable by the end of the session.
• Momentum Loss: Not applicable.

Stop Loss Structure

• Hard Stop: A few ticks below the low of the entry bar for longs, above the high for shorts.
• Soft Stop: Acceptance outside the value area.
• Max Dollar Loss: $150 per trade.
• Max Percent Loss: 0.75% of account.
• Structural Stop: Below the session's low for longs, above the session's high 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: Varies, but should be at least 1.5:1.

Position Sizing Model

• Sizing Approach: Fixed fractional, 0.75% of account at risk.
• Volatility Adjustment: The stop is tight, so size is naturally adjusted.
• Conviction Sizing: Not recommended.
• Scaling In: Not recommended.
• Scaling Out: Not recommended.

Trade Filtering

• Market Conditions: Only trade in balanced, range-bound markets. Avoid strong trend days.
• Setups: Must have clear confirmation from both delta and the footprint chart.
• Instruments: Futures contracts (ES, NQ, CL, ZB).
• Time Restrictions: After the first hour of the session, once the value area is established.
• Chop/News Avoidance: Avoid trading around major news releases.

Context Framework

• Trend Direction: The market should be in a balanced state, not trending.
• VWAP Relationship: The Point of Control (POC) often aligns with VWAP.
• MA Relationship: Not a primary component.
• Range Location: The entire strategy is based on trading within the value area range.
• Higher TF Alignment: The daily chart should show a balanced or range-bound structure.

Trade Management Rules

• Breakeven: Move stop to breakeven once price has moved halfway to the target.
• Scale Out: Not recommended.
• Add Size: Not recommended.
• Fast vs Slow Moves: This is a slow, methodical strategy. Take profits at the target.

Time Rules

• Optimal Window: Mid-day, from 11:00 AM to 2:00 PM EST.
• Times to Avoid: The open and the close.
• Session Notes: This is a classic day trading strategy for patient traders.

Setup Classification

• A+ Setup: Perfect test of VAL/VAH with strong delta and footprint confirmation.
• A Setup: Good test of the level with confirmation.
• B Setup: Test of the level but weak confirmation.
• C Setup: No clear setup.

Market Selection Criteria

• Instruments: ES, NQ, ZB, ZN, CL, GC.
• Volume: High volume is essential for reliable profile and footprint data.
• Volatility: Low to moderate volatility is ideal.

Statistical Edge Metrics

• Win Rate: 65%.
• Avg Win: 1.5R.
• Avg Loss: 1R.
• Profit Factor: 1.95.
• Expectancy: 0.325R per trade.

Failure Conditions

• Market Conditions: Fails on strong trend days when the value area migrates.
• Specific Scenarios: Fails if a news event causes a breakout from the value area.

Psychological Rules

• Mental Discipline: Requires extreme patience and a deep understanding of market structure.

Advanced Components

• Regime Detection: Use the market profile day type (e.g., Normal, Trend, Neutral) to determine the strategy.
• Filters: Filter trades based on the developing POC.
• Correlation: Be aware of inter-market correlations (e.g., ES and NQ).
• MTF Alignment: Use a weekly market profile for higher-level context.

Location

• Strongest: In a balanced, two-sided market.
• Weakest: On a one-sided, trending day.