Intraday Slot Momentum Strategy Using Prior Session Returns

Summary

This strategy divides the trading day into six half-hour windows, from the market open through the afternoon. For each window it records the price change from that slot’s start to its end, then uses the sign of that return to guide a position at the next slot’s start. Long entries follow positive slot returns; shorts after negative returns are optional. Each slot can be enabled independently.

The script includes configurable profit targets, stop losses, and trailing exits for long trades, plus time-based closing at each slot’s end. It colors the chart by window and displays the most recent slot returns. Although comments claim a high win rate for the long-only setting, the supplied document gives no supporting backtest data or market specification. The time windows and point-based exits may need adjustment for the instrument, chart timeframe, and exchange timezone, and the code does not establish that the observed intraday pattern will persist.

Key ideas

• The strategy tracks price changes across six configurable intraday half-hour slots.
• A positive prior-slot return triggers a long at the next slot’s start, while shorting negative returns is optional.
• Trades use configurable stop and target levels, with trailing exits on longs and scheduled closes at slot ends.
• The stated win-rate claim is not accompanied by supporting results in the document.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.