Day Vector
An intraday momentum and trend strategy based on Average True Range (ATR). It adapts to changing volatility levels to find high-probability entry points during the trading session.
Performance Highlights
CAGR
19.6%
Total Return
597.2%
Max Drawdown
-18.0%
Sharpe Ratio
1.17
Equity Curve
Live Trading + Backtest
Day Vector
Total Return
597.2%
Annual Growth
19.6%
Max Drawdown
-18.0%
Sharpe Ratio
1.17
Current Index
697.2
Return / Drawdown
33.16
Why Trade This?
Markets often exhibit strong intraday momentum once a trend is established. This strategy uses the Average True Range (ATR) to identify significant price moves relative to the day's open that signal a continuation of the trend.
By adapting to the current volatility regime, the strategy avoids entering too early in calm markets or getting whipsawed in chop. It seeks to capture the "meat" of the intraday move by riding the momentum until the end of the session.
Key Advantages
- Adaptive Logic: Thresholds expand and contract with market volatility.
- Trend Capture: Capitalizes on sustained intraday moves.
- Intraday Only: No overnight risk; all positions are closed by EOD.
Market Conditions
✓ Works Best In
- Strong trending days
- High volatility expansion
- Clear directional momentum
✕ Struggles In
- Strong unidirectional trend days
- Extreme volatility spikes (stops hit)
- Low liquidity environments
Strategy Specs
- Asset Class
- US Equities / ETFs
- Frequency
- Daily / Intraday
- Initial Capital
- $100,000
- Status
- Active