13F Filing Momentum Trade

Entry Logic

• Exact Entry Trigger: A respected hedge fund discloses a new large position in a stock in its quarterly 13F filing.
• Confirmation: The stock price shows upward momentum following the filing date.
• Timeframe: Daily chart for analysis, 4-hour for entry timing.
• Location Context: Price trading above the 50-day SMA.
• Market Condition: Generally bullish or neutral market sentiment.

Exit Logic

• Profit Target(s): 15-20% gain or until the next 13F filing period.
• Scaling Out: Sell 50% at a 10% gain, trail the rest.
• Trailing Stop: A close below the 50-day SMA.
• Signal Failure: The stock fails to show momentum and breaks below the 50-day SMA.
• Opposite Signal: The respected fund files a 13F showing they sold the position.
• Time Expiration: 90 days or the next 13F filing.
• Momentum Loss: Price consolidates for more than 10 trading sessions with no upward progress.

Stop Loss Structure

• Hard Stop: 8% below the entry price.
• Soft Stop: A close below the low of the signal day.
• Maximum Dollar Loss: $800 per trade.
• Maximum Percent Loss: 8% of the trade value.
• Structural Stop: Below the most recent major swing low.

Risk Management Framework

• Risk Per Trade: 1% of account capital.
• Maximum Daily Loss: 2.5% of the account.
• Maximum Weekly Loss: 6% of the account.
• Maximum Drawdown: 20% of the account.
• R:R Requirement: Minimum 2:1.

Position Sizing Model

• Sizing Approach: Fixed fractional sizing.
• Volatility Adjustment: Reduce size for stocks with ATR greater than 5% of the stock price.
• Conviction Sizing: A+ setups (top-tier fund, strong chart) get full size; A setups (good fund, decent chart) get 75%.
• Scaling In: Not recommended.
• Scaling Out: As per exit logic.

Trade Filtering

• Market Conditions to Avoid: Bear markets (SPY below 200-day SMA).
• Specific Setups: Focus on high-conviction new buys, not minor additions.
• Instrument Requirements: Mid to large-cap stocks with sufficient liquidity.
• Time Restrictions: Enter within 5 days of the 13F filing becoming public.
• Chop/News Avoidance: Avoid stocks with upcoming earnings or major binary events.

Context Framework

• Trend Direction: Stock should be in an established or emerging uptrend.
• VWAP Relationship: Entry should be above the yearly VWAP.
• MA Relationship: Price above the 50-day and 200-day SMAs.
• Range Location: Breaking out of a consolidation base is ideal.
• Higher TF Alignment: Weekly chart should confirm the bullish bias.

Trade Management Rules

• Breakeven: Move stop to entry after the stock has moved up by the initial risk amount.
• Scale Out: At predefined profit targets.
• Add Size: Not recommended.
• Fast vs Slow Moves: Let fast moves run; manage slow moves with a tighter trail on the 20-day EMA.

Time Rules

• Optimal Window: The 5 trading days following the 13F filing deadline.
• Times to Avoid: The week before the next 13F filing deadline.
• Session Notes: Entry timing is not session-dependent.

Setup Classification

• A+ Criteria: New, high-conviction position by a top-performing fund in a stock breaking out of a base.
• A Criteria: Significant position increase by a respected fund.
• B Criteria: Minor position increase or a new position by a less-known fund.
• C Criteria: Avoid.

Market Selection Criteria

• Instruments: Common stocks listed on major exchanges.
• Volume/Liquidity: Minimum 500,000 shares average daily volume.
• Volatility: Moderate volatility is preferred.

Statistical Edge Metrics

• Expected Win Rate: 55-65%.
• Average Win Size: 15-25%.
• Average Loss Size: 7-9%.
• Profit Factor: 2.0+.
• Expectancy: Positive.

Failure Conditions

• Market Conditions: A sudden market downturn can negate the signal.
• Specific Scenarios: The fund's thesis is wrong, or the filing is 'window dressing'.

Psychological Rules

• Mental Discipline: Trust the process and the research of the selected fund. Avoid emotional exits.

Advanced Components

• Market Regime Detection: Use a market-wide breadth indicator to confirm bullish conditions.
• Filters: Filter for funds with a strong long-term track record.
• Correlation: Avoid taking positions in multiple stocks from the same industry based on 13F filings.
• MTF Alignment: Ensure weekly and daily charts are aligned.

Location

• Where Strongest: In stable, bullish markets where fundamental stories have time to play out.
• Where Weakest: In volatile, news-driven markets.