Day Trading Playbook

Holding Period: Minutes to hours · Flat by session close · Exploit short-term order flow imbalances and intraday structural levels

1. Core Entry Criteria

Pre-market context established: Stock in play due to news, gap, unusual pre-market volume (≥50% of ADV before open), or sector-wide momentum.
Gap-and-go setup: Gap ≥3%, pre-market high break on volume, first 1-min or 5-min opening range breakout.
VWAP-based entries: VWAP reclaim (price reclaims VWAP from below on expanding volume after a morning flush) or VWAP rejection (price tests VWAP from above and resumes trend).
Opening Range Breakout (ORB): Break of the 5-min or 15-min opening range high/low with volume confirmation.
Intraday flag/pullback continuation: Consolidation after an initial impulse, followed by break of the flag in the direction of the trend.
Level-to-level trades: Entries at pre-identified levels (prior day H/L, pre-market H/L, overnight range, key round numbers).
Tape/order-flow confirmation: Visible absorption on Level 2, large prints at bid/offer, or a shift in tape aggression.

2. Market Context

Works best when: Index futures (ES, NQ) are directionally trending intraday. Stock has a catalyst creating directional conviction. ATR% elevated vs. recent sessions. Liquidity deep enough (>1M shares by 10:30 AM ET).

Avoid when: Extremely low-volatility compressed sessions (pre-holiday, mid-August, pre-FOMC drift). First 1–2 minutes of the open for breakout strategies. During scheduled macro releases unless strategy is specifically designed for event-driven volatility. Illiquid small-caps where a single order can move the tape.

3. Confirmation Signals

Volume on signal bar ≥ 2× the prior 5-bar average on the relevant timeframe (1-min or 5-min).
Price holds above/below the triggering level for at least one subsequent bar without immediate reversal.
VWAP alignment: longs above a rising VWAP, shorts below a falling VWAP.
Relative strength vs. sector ETF and index: stock making new intraday highs while SPY is flat/pulling back signals institutional accumulation.
Tape reads: aggressive buying at the ask with thin offer liquidity being absorbed.
Clean break without long upper/lower wicks on the trigger bar.

4. Risk Framing at Entry

Risk defined as the distance to the invalidation point on the execution timeframe: low of breakout bar, opposite side of opening range, VWAP, or pre-market H/L.
Hard per-trade risk caps: 0.25%–0.5% of account for discretionary day trading, given higher trade frequency.
Daily loss limits (e.g., 2–3× average winning trade) halt trading to prevent emotional spiral.
Position sizing derived from stop distance, not conviction.

5. Institutional Perspective

Why this works: Institutional desks, execution algorithms (VWAP, TWAP, POV), and HFT liquidity providers operate around reference levels: VWAP, prior day levels, and opening range. The inefficiency exploited is short-term liquidity imbalance — when large orders are being worked, price must move to attract counterparties, creating tradeable momentum.

VWAP is the algorithmic benchmark for institutional execution; price deviation from VWAP creates mean-reversion or trend-continuation flow.
Opening range breakouts signal completion of overnight positioning adjustment, after which directional conviction drives follow-on flow.
Gap-and-go entries front-run institutional accumulation that begins once algos confirm the overnight move has not been faded.

6. Common Entry Mistakes

Entering in the first minute on unconfirmed moves driven by retail and stop-runs.
Chasing extended moves more than 1 ATR beyond the trigger level.
Trading illiquid tickers where technical signals are unreliable due to thin books.
Ignoring the broader tape: taking longs while index futures are breaking down.
Revenge trading after a loss, resulting in oversized, low-quality entries.
Fading strong trends without evidence of exhaustion (climactic volume, failed new highs, bearish tape divergence).