01 · Day Trading in Practice

Day trading (Intraday Trading): open and close positions within the same day, holding no position overnight. T+0 venues include: domestic futures, crypto perpetuals and spot, US stocks, and intraday round-trips on an A-share existing holding (using a base position to sell high and buy low under the T+1 regime).

Day trading is the style with the lowest entry barrier and the highest attrition rate — anyone with an account can do it, but the No. 1 reason 90% of day traders lose is not poor technique: they never ran the numbers on fees and slippage. This article runs the numbers first, then covers the methods.

1. The Survival Threshold: Settle the Fee and Slippage Math First

1.1 Where the costs come from

Key insight: fees and slippage are charged on notional value, regardless of whether you profit. Every 100,000-CNY trade you make pays out a fixed amount up front; how large this becomes over a year is calculated directly below.

1.2 Numerical walkthrough: 20 trades a day at 0.05% per side — how much capital does a year burn

Assume 100,000 CNY of capital, fully deployed per trade (100,000 CNY notional per trade), one complete round-trip (open + close) each time:

Now the sensitivity across parameter combinations:

The above is a walkthrough at historically common fee levels and does not represent the current rates of any specific broker/exchange — defer to actual rates. But the order-of-magnitude conclusion stands: the more frequently you trade, the deadlier the costs.

1.3 Three iron rules for day trading survival

1. Choose a low-fee venue. Check before trading: for futures pick a discounted commission tier; for crypto place limit orders as maker (often less than half the taker fee); for US stocks note zero-commission brokers but watch payment for order flow and the spread.
2. Write costs into your trading rules. Target a risk-reward of at least 1.5:1 per trade, net of round-trip costs — a trade with 0.3% expected gross profit has only 0.2% left after 0.1% costs, not worth taking.
3. Control frequency. Day trading does not reward trading "a lot"; it rewards trading "well". Three to five high-quality trades a day beat 20 frantic high-frequency shots over the long run.

2. Instrument Traits That Suit Day Trading

Not every instrument suits day trading. Survival conditions: enough volatility (meat to eat), enough liquidity (affordable to trade), enough trading hours (you can watch it).

Quick reference: day trading traits by market

3. Patterns of the First 30 Minutes (A-Shares / Futures as Examples)

3.1 Statistical traits (historical statistics, not predictive; defer to actual conditions)

Note: these are probabilistic tendencies, not ironclad rules. "Gap up, then fade" is merely "more likely", not grounds for a heavy counter-position. Use it as a reason to be cautious during the opening phase, not as a signal to short the open.

3.2 How to avoid chasing the open chaotically

The first 30 minutes are where retail traders bleed most. Three rules:

1. No orders in the first 5 minutes. The first momentum spike/dive after the auction is often unsustainable — wait for the first 5-minute candle to set.
2. Do not chase instant pulses over 2%. A vertical 2%+ spike at the open is either real (it will pull back and give you a chance) or a bull trap (chase in and you are the bagholder). Wait for a pullback that holds the session VWAP.
3. Only chase gap-up-and-hold; never bottom-fish gap-up-and-fade. The precondition for buying "gap down, then rally" is seeing volume-backed absorption (price stabilizing on the intraday chart with rising volume), not merely seeing a lower open.

4. Common Day Trading Methods (Pick One, Master It)

4.1 Prior high/low breakout

• Logic: price breaks the high/low of the last 20-30 five-minute candles, taken as trend continuation.
• Entry: enter on a break of the prior high (or prior low); confirm with volume (volume breakouts have a higher win rate, per historical statistics).
• Stop-loss: 1.5 × ATR on the other side of the breakout point (or beyond the breakout candle's high/low).
• Best for: instruments with clear highs/lows; all false breakouts in range markets — do not use.

4.2 Opening Range Breakout (ORB)

• Logic: the first 15-30 minutes form the "opening range" (high − low); a break of the range boundary is taken as the day's direction.
• Steps:
  1. No trading for the first 30 minutes; only mark the range high H and low L;
  2. Volume-backed break above H → go long; break below L → go short (historical statistics: ORB breakouts win more on trend days than range days, but on most days the range is never broken);
  3. Stop-loss on the other side of the range (H-to-L is usually wide enough; size the position accordingly);
  4. Flat before the close (e.g. the last 30 minutes) if the target is not reached — no overnight holds in day trading.
• Caution: if the range is too narrow (< 1 ATR), most breakouts are noise — wait for a wider range or skip the day.

4.3 Mean reversion to the moving average

• Logic: after price spikes/dives far from the moving average (e.g. beyond 2 standard deviations from the 20 MA on the 5-minute chart), it reverts to the mean.
• Entry: enter counter-trend when a stalling candle prints after a fast deviation (long upper wick, bearish engulfing).
• Stop-loss: a fixed distance beyond the deviation extreme (e.g. 0.5% or 1 ATR).
• Best for: narrow ranges and brief overbought/oversold stretches mid-trend; forbidden in strong one-sided trends (strength can keep deviating).

4.4 Reversal at key intraday levels

• Logic: reverse when an intraday key level fails (prior settlement, prior day's high/low, round numbers, session VWAP).
• Typical setups: price breaks the prior day's low, bounces weakly, then breaks it again → short with the trend; price hits a round number and is caught on heavy volume → go long.
• Stop-loss: the failed-reversal point (a short distance on the other side of the key level).
• Discipline: reversing requires a structural break (a clear key level broken with volume confirmation), not "it feels like it has fallen enough".

5. Intraday Stop-Loss Discipline (The Lifeline of Day Trading)

An intraday stop-loss is not "part of the strategy" — it is the precondition for still having money to trade tomorrow. Four hard rules:

The time stop is a weapon unique to day trading: if the direction is right, the market rewards you quickly; if you are still grinding near breakeven after 2 hours, your call is probably wrong — get out and watch first.

6. The Day Trading Review Template (10 Minutes After the Close)

The purpose of the review template: record for every trade "why in, why out, how much won or lost, and what emotion at the time". All four columns are indispensable; the emotion column is the most often skipped and the most important.

## Daily Review (Date: ____)

| Time | Instrument/Direction | Why in (trigger) | Why out (rule/emotion) | Entry | Exit | P&L | Emotion (fear/greed/calm) | Rule violated? |
|---|---|---|---|---|---|---|---|---|
| 09:45 | Rebar/Long | Prior-high breakout + volume | No profit in 2 hours, time stop | 4100 | 4085 | -15 pts | Anxious | No |
| 13:30 | BTC/Short | Broke opening range | Stop hit at range top | 66500 | 66700 | -200 | Reluctant | No |
| 14:10 | Apple/Long | MA reversion + long lower wick | Target 1.5R hit | 9.20 | 9.32 | +1.2% | Calm | No |

Then aggregate once a week:

• This week's trade count, win rate, average P&L, total P&L vs total fees (costs must be listed separately);
• How many rule-violating trades? What emotions accompanied them?
• Which methods made money and which lost → cut the losing methods, even if they only lost twice.

Sample-size reminder: statistics on fewer than 30 trades are meaningless. Do not kill a method based on 5 trades, and do not size up based on 5 winners.

7. Common Ways Day Traders Die

8. A Day Trader's Daily Routine (Action Checklist)

08:50  Review overnight overseas markets and news; mark today's key levels (prior settlement/prior day's high/low/round numbers)
09:00  Open: no orders for the first 5 minutes; mark the opening range (ORB prep)
09:30  Trade only the top-priority method (e.g. ORB breakout / prior high-low); before every entry, run the four questions:
       Basis for direction? Stop level? Risk-reward ≥ 1.5? Size ≤ 1% risk? — if unanswered, skip
11:30  Morning close: quickly log morning positions and mindset
13:00  Afternoon session: same routine; fewer new entries late in the day (insufficient time-stop room near the close)
15:00  Close: forcibly flatten all intraday positions (except A-share base-position round-trips)
15:10  Review per the Part 6 template and write the journal