1) Market Microstructure Snapshot

Price moves where liquidity is thin and urgency is high. Before you trade, map:

• Liquidity Pockets Prior highs/lows, session opens, round numbers.
• Book Imbalance One-sided depth often front-runs a quick sweep.
• Volatility State Use ATR(14) and session range vs 20-day average.

2) Order Flow Momentum (OFM)

OFM rides short bursts when aggressive orders hit the book.

Rules

1. Signal: 3-bar micro impulse where each bar closes in top 30% of its range and cumulative delta > 1.5× its 20-bar average.
2. Filter: Spread ≤ 1.2× usual, ATR above its 50-day median.
3. Entry: Buy stop 1 tick above signal bar high. Short is the mirror.
4. Stop: Below signal low (long) or above high (short).
5. Exit: Scale half at 1R, trail remainder with a Chandelier ATR(3).

Why it works: It aligns with real urgency, not just plotted indicators.

3) Volatility Breakout System

Classic range expansion with modern protections.

Setup

• Compute NR7 (narrowest range of last 7 bars) or a 20-day Donchian channel.
• Confirm rising volatility: today’s true range > 1.2× 20-day median.

Entry & Management

1. Entry stop at High(NR7)+ϵ for long; short at Low(NR7)-ϵ.
2. Initial stop at opposite side of the NR7 bar.
3. Take partial at 1.5R. Hold rest until a close back inside yesterday’s range.

4) Pairs Trading (Stat Arb Lite)

Trade relative value instead of direction.

Quick Build

1. Select two correlated symbols (e.g., same sector or currency crosses with a common base).
2. Compute the spread: Spread = Price(A) - β·Price(B) where β is from a 60-day regression.
3. Z-score the spread over 60 sessions.

Rules

• Enter when |Z| ≥ 2.0 against the mean. Exit at Z = 0.5.
• Stop if |Z| ≥ 3.0 or if correlation < 0.5 for 10 days.
• Dollar-neutral sizing: notional A ≈ β·notional B.

Edge comes from mean reversion in relative pricing while market direction cancels out.

5) Regime Filters

Apply a simple switch to stay aligned with the market.

• Trend filter: Trade long setups only if price > SMA200 and SMA50 > SMA200.
• Chop filter: If 14-day ADX < 18, prefer mean-reversion or stand aside.
• Vol filter: If 20-day ATR percentile < 30, use smaller targets or skip breakouts.

6) Execution & Slippage Control

• Use a limit-to-market ladder: place a small lead limit, then convert the rest to market only if price prints through.
• VWAP/TWAP for low urgency orders. For high urgency, accept a small slippage budget.
• Avoid thin books around news and session handovers.
• Benchmark each trade: record fill − mid in ticks and review weekly.

7) Risk & Sizing Math

Risk a fixed fraction of equity, sized from stop distance.

Position Size

Size = (Account × Risk%) ÷ StopDistance

Example: Account 2,000; risk 0.5% (=10); stop 25 pips ⇒ size = 10/25 = 0.40 mini-lots.

Portfolio Rules

• Max open risk: 2% of equity across all positions.
• Cut losers fast. If trade is −0.5R with no improvement, consider exit.
• After two consecutive full-R losses, reduce risk by 50% until back to equity highs.

8) Daily Playbook Checklist

• Mark HTF levels, sessions, and news windows.
• Classify regime with trend, ADX, and ATR percentile.
• Pick tactics: OFM or Breakout for high vol; Pairs for chop.
• Define entries, stops, targets in advance. Pre-write orders.
• Set risk per trade and max daily loss. Log every fill and slippage.

FAQ

Do I use fixed or trailing stops?

Start with a structure-based fixed stop. Trail only after partial profit, using ATR or swing lows/highs.

Which timeframe is best?

Signal on your working timeframe (e.g., M15/H1), confirm with higher timeframe, and manage on the signal chart.

How do I avoid overtrading?

One playbook, two setups per session, and a max of three trades unless a high-quality replay appears.