Hermes-Skills/openclaw-imports/stock-analysis/references/intraday-trading.md

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

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

# 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