Intraday Strategies

Read these first

1. 01Closing Auction Imbalance Strategies

   Exchanges publish, in the minutes before the close, exactly how many more shares want to buy than sell at the current indicated price. That published imbalance predicts which way the closing print will move, and traders who read it fast enough can front-run the auction itself, a strategy that only works because the information really is public but still moves the market.

2. 02Overnight Gaps: Continuation or Fade

   A stock closes at one price and opens the next morning meaningfully higher or lower, news arrived while the market was shut. Whether that gap tends to keep moving in the same direction or snap back depends on what caused it, and mixing up the two is the fastest way to lose money on this trade.

3. 03Intraday Momentum: The First Half-Hour Predicts the Last

   A documented U.S. equity pattern: the market's return in the first 30 minutes of trading is positively correlated with its return in the last 30 minutes, strongly enough to trade, until you account for what it actually costs to hold a position all day to capture it.

Then the rest

1. 040DTE Flow and Intraday Gamma Effects
2. 05Intraday Drift and Fade After an Earnings Release
3. 06Intraday VWAP Reversion
4. 07Leveraged ETF End-of-Day Rebalance Flows
5. 08News Headline Reaction Trading
6. 09Opportunistic Intraday Liquidity Provision
7. 10Short-Term Reversal at the Minute Horizon
8. 11The First Thirty Minutes Reversal
9. 12The MOC Imbalance Reversal the Next Morning
10. 13The Opening Range Breakout
11. 14The Overnight Drift in Index Futures
12. 15Trading Halts and Reopening Auctions
13. 16Trading Scheduled Macro Releases Intraday
14. 17Trading the Opening Auction Imbalance
15. 18Gap-Fill Statistics and How to Condition Them