I published a paper on Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies. which builds on the results of a paper co-authored by Andrew Aziz: https://dx.doi.org/10.2139/ssrn.5095349 Abstract Building on the results of Zarattini, C., Aziz, A., & Barbon, A. (2024). Beat the market: An effective intraday momentum strategy for S&P500 ETF (SPY), we explore improvements to noise boundary based intraday momentum strategies by investigating different exit strategies and applying parameter optimization to all parameters of the strategies. We show that the returns of the momentum strategy can be significantly improved by such an approach. The best results are achieved with exits based on VWAP, VWAP & Ladder and Ladder exit strategies, with Sharpe ratios over 3.0 and annualized returns of over 50%, which are significant improvements against the baseline strategy. All feedback welcome

Hello, a narration of my play on $SPCE for a breakout of 21. I am sorry if it is too lenghty. My idea was to pass a couple of messages on what I see in Level 2 + Time & Sales. BIG PICTURE Market moving sideways, with no big prospects of big moves: INTRADAY FUNDAMENTALS Not a great catalyst but a catalyst nonetheless: TECHNICAL ANALYSIS The stock trended nicely over VWAP since the open. Plan was to enter for the breakout over 21. 21 as daily high and also a multiple resistance point when looking into the daily chart. I also marked the 21.50 as important resistance, used for profit target READING THE TAPE As expected, Big push at 21. I got filled at 21.04. It consolidated sideways for a moment before moving higher. Tape was holding the BID at 21.05, after a big test lower: 3 Seconds later: Continued sideways for a while but with rising BID and multiple prints taking down the ASK. At 21.20 Big seller appeared: It was taken down: The stock moved rapidly with prints reaching 20.30. A test on BID came at 21.27: It holded and start move higher breaking the ASK on 21.30: Took a first partial (30%) at 21.32 locking some profits. Then end up closing position once the stock started to show it couldn’t break the accumulated positions at 21.35/36: It eventually dropped to .20s where it seem to hold the bid (remember the big seller? Resistance turning support!), my prediction was that the move was not done yet as we had some room to .50s: It flushed once below .20s but got bought in very fast, showing strenght. Then after a period of upwards consolidation, I got in at 21.30 with stop on low .20s (the entry was late. I got bit hesitant on those moments and was enough to lose the chance to get an entry on 21.25 which would give a much better R/R ratio. Time is key on these momentum plays). The idea was to capture a move towards .50s. But the momentum was not that strong and felt weakness once the stock tried to push into the .40s. See how all those green prints on the ASK did not move the ASK above: I as a matter of contrast see how the prints on ask moved the ASK up by .02 cents, 3 seconds earlier: followed by a further take down of the big ASK at 21.36: I ended up closing the position at 21.40/21.35. The stock made another attempt before falling all the way to 21 again. PS: Played the stock to the short side in the below 1min set up with hanging man on top: