This paper examines the profitability of a straightforward yet effective intraday momentum strategy applied to SPY, one of the most liquid ETFs tracking the S&P500. Unlike typical academic studies that restrict trading to the last 30 minutes of the session, our model initiates trend-following positions whenever there is an indication of abnormal demand/supply imbalance during intraday price movements. Leveraging trading techniques commonly used by active day traders, as discussed in our previous papers, we introduce dynamic trailing stops to mitigate downside risks while allowing for unlimited upside potential. From 2007 to early 2024, the intraday momentum portfolio achieved a total return of 1,985% (net of costs), an annualized return of 19.6%, and a Sharpe Ratio of 1.33. We conduct extensive statistical tests to determine if different market volatility regimes affect the strategy’s profitability and if the estimated gamma imbalance of dealers can predict changes in profitability. We analyze daily profitability with respect to day-of-the-week effects and compare the strategy’s performance against well-known technical daily patterns to understand its behavior under various market conditions. Given the short-term nature of the model, we also assess the impact of commissions and slippage on overall profitability.

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