Hermes Skills Manager
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119 lines
3.8 KiB
Markdown
119 lines
3.8 KiB
Markdown
# Intraday Trading: Factors, Screening & Strategies
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## Stock Screening Criteria for Day Trading
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### Universal Filters
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| Factor | Metric | Threshold | Weight |
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|--------|--------|-----------|--------|
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| Volatility | Average Daily Range (ADR%) | > 2% (ideal > 3%) | 40% |
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| Liquidity | Volume | > 1M shares/day (HK: > 5M HKD turnover) | — |
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| Spread | Bid-Ask Spread | < 0.05% (scalping) / < 0.2% (swing) | — |
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| Activity | Volume Ratio (RVOL) | > 1.5x average | 30% |
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| Activity | Turnover Rate | > 1% | 30% |
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| Trend | ADX | > 25 (trending market) | bonus |
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### Composite Day Trading Score
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```python
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day_trade_score = (min(ADR% / 3, 1) * 40 + # 3% ADR = max
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min(RVOL / 2, 1) * 30 + # 2x RVOL = max
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min(Turnover% / 2, 1) * 30) # 2% turnover = max
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# > 60: Excellent for day trading
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# 40-60: Good for day trading
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# < 40: Not ideal
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```
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### HK-Specific Screening
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- Price: HKD 2-500
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- HSI/HSCEI constituents or high-beta stocks
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- Connect stocks (Southbound/Northbound eligible)
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- AH spread opportunities
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- Note: HK has 0.1% stamp duty
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## Intraday Strategies
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### 1. Momentum Scalping
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- **Entry**: Breakout of consolidation with volume surge
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- **Exit**: Quick profit (0.2-0.5%), trailing stop
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- **Timeframe**: 1-5 min
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- **Key**: Speed, tight spreads
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### 2. Mean Reversion
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- **Entry**: RSI extremes (< 30 buy, > 70 sell), Bollinger Band touches
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- **Exit**: Return to VWAP or MA
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- **Timeframe**: 5-15 min
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- **Key**: Identify overextended moves
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### 3. VWAP Trading
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- **Entry**: Price crosses VWAP with volume confirmation
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- **Exit**: Previous swing high/low
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- **Timeframe**: 5-15 min
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- **Key**: Institutional reference point
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### 4. Opening Range Breakout (ORB)
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- **Entry**: Break of first 15-30 min high/low
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- **Exit**: 1:2 risk-reward or trailing stop
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- **Timeframe**: 15-min opening range
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### 5. AH Spread Arbitrage (HK-specific)
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- **Pairs**: AH premium/discount stocks (e.g., 700.HK vs TCEHY)
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- **Entry**: Spread deviation > 2 std from mean
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- **Exit**: Spread normalization
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- **Key**: Currency hedging, execution timing
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### 6. Gap Trading
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- **Gap & Go**: Trade in gap direction with momentum
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- **Gap Fill**: Fade gaps that tend to fill
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- **Timeframe**: First 30-60 min
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## Key Technical Indicators for Intraday
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| Indicator | Use | Setting |
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|-----------|-----|---------|
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| ATR | Volatility measurement | 14-period |
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| VWAP | Institutional benchmark | Intraday |
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| RSI | Overbought/oversold | 14-period |
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| Bollinger Bands | Volatility channels | 20, 2σ |
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| MACD | Trend direction | 12, 26, 9 |
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| ADX | Trend strength | 14-period |
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| Volume Profile | Support/resistance levels | POC, VAH, VAL |
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## Risk Management
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- Position sizing: 1-2% risk per trade
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- Max daily loss: 3-5% of capital
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- Always use stop losses
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- Avoid revenge trading
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- Track all trades for review
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## LongPort Data for Intraday
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```python
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# Real-time quote
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resp = ctx.quote(['1024.HK', '9868.HK'])
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for q in resp:
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print(f'{q.symbol}: {q.last_done}, vol={q.volume}')
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# K-line for ADR calculation
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candles = ctx.candlesticks('1024.HK', Period.Day, 20, AdjustType.ForwardAdjust)
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adr = sum(float(c.high) - float(c.low) for c in candles) / len(candles)
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# Volume ratio and turnover
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from longport.openapi import CalcIndex
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resp = ctx.calc_indexes(['1024.HK'], [CalcIndex.VolumeRatio, CalcIndex.TurnoverRate])
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# Order book depth
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depth = ctx.depth('1024.HK')
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```
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## HK Day Trading Candidates (2026-06-01 snapshot)
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| Stock | Price | ADR% | Score | Strategy |
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|-------|-------|------|-------|----------|
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| 快手(1024) | $46.54 | 5.07% | 78.7 | Momentum breakout |
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| 小鹏(9868) | $67.80 | 4.18% | 78.5 | Gap + trend |
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| 美团(3690) | $78.25 | 3.73% | 76.8 | VWAP bounce |
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| 理想(2015) | $58.55 | 4.35% | 65.7 | Trend follow |
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| 小米(1810) | $28.72 | 3.77% | 63.7 | Mean reversion |
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| 百度(9888) | $129.10 | 3.61% | 63.7 | AI momentum |
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