SimmonsTrade

Model 3.1 Strategy

Quality Consolidation + Volume Confirmation

Strategy Overview

Model 3.1 combines the best of both worlds:

  • M1's consolidation quality filters (tight range, near highs, strong structure)
  • M3's volume spike confirmation (1.3-1.7x recent average)

Result: High-probability setups (77% WR) with momentum confirmation at inflection points.

Backtest Performance (1 Year, 500 Stocks)

76.5%

Win Rate

+0.54R

Avg R-Multiple

17

Trades/Year

2.2

Days Held

Key Insight: Model 3.1 catches M1-quality setups at momentum inflection points, resulting in fast 2-day holds with strong win rates.

Entry Criteria
Weekly Scan Filters (M1 Base)
  1. Price: $3-$100
  2. ADV: ≥ $2M daily dollar volume
  3. ADR: 3-12% average daily range
  4. RS (63D): Within 15% of 63-day high
  5. Tightness: 5D range / 20D range ≤ 0.65
  6. Extension: ≤ 15% from 20-SMA
  7. Score: ≥ 70 (quality threshold)
Daily Confirmation (M3 Addition)
  1. Trigger: Price crosses max(prior day high, 20D high) between 9:35-10:05 ET
  2. RVOL: ≥ 1.5x by 10:00 AM
  3. Volume Spike: 1.3-1.7x (5D avg vs 20D avg) — KEY HYBRID FILTER
Exit Rules
  • Target: Entry + 2R (typical hold: 1-3 days)
  • Stop: Max of (5D low - 2%), (Entry - 1.0×ATR), (Entry - 3%)
  • Time Stop: 10 days (if no target/stop hit)

Aggressive profit-taking leads to fast 2.2-day average holds = efficient capital use.

Weekly Workflow
  1. Friday 4-5 PM ET: Run weekly scan (~2,400 stocks, ~30-45 min)
  2. Review Results: Typically 1-2 setups per scan
  3. Daily 10:00 AM ET: Run CONFIRM to check for volume spike + trigger
  4. If Confirmed: Enter immediately (9:35-10:05 ET window)
  5. Manage: Fast exits (target in 1-3 days)
Comparison: Model 3.1 vs Pure M1 vs Pure M3
Strategy Trades/Year Win Rate Avg R Hold Time Use Case
M1 (Pure) 11 81.8% +0.81R 10.6 days Ultra-selective, core positions
Model 3.1 17 76.5% +0.54R 2.2 days Quality + momentum, fast exits
M3 (Pure) 150 35.3% +0.15R 13.0 days High-frequency, aggressive

Key Insight: Model 3.1 fills the gap between M1's ultra-selectivity and M3's high frequency, with only 18% overlap with M1.

Recommended Portfolio Allocation
Option A: M1 + Model 3.1 (Quality Focus) — RECOMMENDED
  • 60% capital → M1 (11 trades, 82% WR, ultra-safe)
  • 40% capital → Model 3.1 (17 trades, 77% WR, fast exits)
  • Expected: 28 total trades/year, ~80% blended WR, +0.71R avg
Option B: Run Model 3.1 Standalone
  • 100% capital → Model 3.1
  • Expected: 17 trades/year, 77% WR, +0.54R avg
  • Good for traders who want momentum confirmation on every trade
Important Notes
  • Distinctiveness: Model 3.1 has minimal overlap with M1 (only 2/11 symbols) and zero overlap with M3
  • Frequency: 17 trades/year is lower than target (50-80), but quality is excellent. Can be improved by loosening filters.
  • Capital Efficiency: Fast 2.2-day holds allow rapid capital recycling
  • Backtest: Based on 1-year test (Oct 2023-Oct 2024) on 500 M1 stocks. Production uses full ~2,400 stock universe.
  • Volume Requirement: The 1.3-1.7x volume spike is the KEY filter that makes this strategy distinct from pure M1