Intraday Momentum Strategy by singh14sandeep
By singh14sandeep
Performance Metrics
- Author: singh14sandeep
- Symbol: NYSE:ASAN
- Timeframe: 1 day
- Net P&L: +19.01 USD (+0.00%)
- Win Rate: 17.2%
- Profit Factor: 1.85
- Max Drawdown: 21.12 USD (0.00%)
- Total Trades: 29
- Sharpe Ratio: −369.7
Description
Explanation of the StrategyIndicators:Fast and Slow EMA: A crossover of the 9-period EMA over the 21-period EMA signals a bullish trend (long entry), while a crossunder signals a bearish trend (short entry).RSI: Ensures entries are not in overbought (RSI > 70) or oversold (RSI < 30) conditions to avoid reversals.VWAP: Acts as a dynamic support/resistance. Long entries require the price to be above VWAP, and short entries require it to be below.Trading Session:The strategy only trades during a user-defined session (e.g., 9:30 AM to 3:45 PM, typical for US markets).All positions are closed at the session end to avoid overnight risk.Risk Management:Stop Loss: 1% below/above the entry price for long/short positions.Take Profit: 2% above/below the entry price for long/short positions.These can be adjusted via inputs for optimization.Position Sizing:Fixed lot size of 1 for simplicity. Adjust based on your account size during backtesting.