# Intraday Trading: Factors, Screening & Strategies

## Stock Screening Criteria for Day Trading

### Universal Filters
| Factor | Metric | Threshold | Weight |
|--------|--------|-----------|--------|
| Volatility | Average Daily Range (ADR%) | > 2% (ideal > 3%) | 40% |
| Liquidity | Volume | > 1M shares/day (HK: > 5M HKD turnover) | — |
| Spread | Bid-Ask Spread | < 0.05% (scalping) / < 0.2% (swing) | — |
| Activity | Volume Ratio (RVOL) | > 1.5x average | 30% |
| Activity | Turnover Rate | > 1% | 30% |
| Trend | ADX | > 25 (trending market) | bonus |

### Composite Day Trading Score
```python
day_trade_score = (min(ADR% / 3, 1) * 40 +    # 3% ADR = max
                   min(RVOL / 2, 1) * 30 +      # 2x RVOL = max
                   min(Turnover% / 2, 1) * 30)   # 2% turnover = max

# > 60: Excellent for day trading
# 40-60: Good for day trading
# < 40: Not ideal
```

### HK-Specific Screening
- Price: HKD 2-500
- HSI/HSCEI constituents or high-beta stocks
- Connect stocks (Southbound/Northbound eligible)
- AH spread opportunities
- Note: HK has 0.1% stamp duty

## Intraday Strategies

### 1. Momentum Scalping
- **Entry**: Breakout of consolidation with volume surge
- **Exit**: Quick profit (0.2-0.5%), trailing stop
- **Timeframe**: 1-5 min
- **Key**: Speed, tight spreads

### 2. Mean Reversion
- **Entry**: RSI extremes (< 30 buy, > 70 sell), Bollinger Band touches
- **Exit**: Return to VWAP or MA
- **Timeframe**: 5-15 min
- **Key**: Identify overextended moves

### 3. VWAP Trading
- **Entry**: Price crosses VWAP with volume confirmation
- **Exit**: Previous swing high/low
- **Timeframe**: 5-15 min
- **Key**: Institutional reference point

### 4. Opening Range Breakout (ORB)
- **Entry**: Break of first 15-30 min high/low
- **Exit**: 1:2 risk-reward or trailing stop
- **Timeframe**: 15-min opening range

### 5. AH Spread Arbitrage (HK-specific)
- **Pairs**: AH premium/discount stocks (e.g., 700.HK vs TCEHY)
- **Entry**: Spread deviation > 2 std from mean
- **Exit**: Spread normalization
- **Key**: Currency hedging, execution timing

### 6. Gap Trading
- **Gap & Go**: Trade in gap direction with momentum
- **Gap Fill**: Fade gaps that tend to fill
- **Timeframe**: First 30-60 min

## Key Technical Indicators for Intraday

| Indicator | Use | Setting |
|-----------|-----|---------|
| ATR | Volatility measurement | 14-period |
| VWAP | Institutional benchmark | Intraday |
| RSI | Overbought/oversold | 14-period |
| Bollinger Bands | Volatility channels | 20, 2σ |
| MACD | Trend direction | 12, 26, 9 |
| ADX | Trend strength | 14-period |
| Volume Profile | Support/resistance levels | POC, VAH, VAL |

## Risk Management

- Position sizing: 1-2% risk per trade
- Max daily loss: 3-5% of capital
- Always use stop losses
- Avoid revenge trading
- Track all trades for review

## LongPort Data for Intraday

```python
# Real-time quote
resp = ctx.quote(['1024.HK', '9868.HK'])
for q in resp:
    print(f'{q.symbol}: {q.last_done}, vol={q.volume}')

# K-line for ADR calculation
candles = ctx.candlesticks('1024.HK', Period.Day, 20, AdjustType.ForwardAdjust)
adr = sum(float(c.high) - float(c.low) for c in candles) / len(candles)

# Volume ratio and turnover
from longport.openapi import CalcIndex
resp = ctx.calc_indexes(['1024.HK'], [CalcIndex.VolumeRatio, CalcIndex.TurnoverRate])

# Order book depth
depth = ctx.depth('1024.HK')
```

## HK Day Trading Candidates (2026-06-01 snapshot)

| Stock | Price | ADR% | Score | Strategy |
|-------|-------|------|-------|----------|
| 快手(1024) | $46.54 | 5.07% | 78.7 | Momentum breakout |
| 小鹏(9868) | $67.80 | 4.18% | 78.5 | Gap + trend |
| 美团(3690) | $78.25 | 3.73% | 76.8 | VWAP bounce |
| 理想(2015) | $58.55 | 4.35% | 65.7 | Trend follow |
| 小米(1810) | $28.72 | 3.77% | 63.7 | Mean reversion |
| 百度(9888) | $129.10 | 3.61% | 63.7 | AI momentum |