The prosecutor says Balfour and Julia Hudson left together but Balfour returned to the home, and the bodies of Hudson's mother and brother were found there later that day.
Prosecutors say Balfour that day admitted to the shootings and asked for an alibi.
The body of Julia Hudson's 7-year-old son was found in an SUV three days later.
A defense attorney says Balfour insists he's innocent.
A judge denied bail Wednesday.
