ðïļ Institutional SMC Logic & Auction Market Thesis
Retail traders place buy stops above swing highs and sell stops below swing lows. Institutional algorithms trigger these stops to generate the liquidity needed to enter large opposing positions, creating distinctive long rejection wicks that snap back inside the range.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN REVERSAL
ð Phase 1: 1. Key Structural Boundary
Established PDH/PDL or clear horizontal resistance level attracts retail breakout orders.
Active Structural Pivot
Key Swing High (PDH / ORH): 24,550.0
M5 Benchmark Level
Risk Geometry (SL)
18.0 - 24.0 Spot Pts
Capped by Max Risk Cap
Composite Entry Score
82.0% Conviction
Quality Gate Passed
Adaptive Scaling Profile
QUICK_HARVEST
Dynamic High-Watermark
âïļ Quantitative Quality Gates & Entry Scoring Filters
The strategy enforces strict fail-fast validation before computing the multi-factor confluence score:
| Filter / Quality Gate | Condition & Mathematical Threshold | Operational Impact & Protection |
|---|---|---|
| Rejection Wick Ratio | Wick >= 35.0% of total candle height | Validates violent institutional rejection |
| Inside Close Gate | Candle close strictly back inside key level | Confirms false breakout failure |
| Volume Absorption Bonus | RVOL >= 1.30x (+0.10 Score) | Proves large orders absorbed liquidity |
| Level Piercing Threshold | High breached level by >= 3.0 points | Ensures liquidity pool was properly swept |
| HTF Alignment Bonus | Trap aligns with higher timeframe bias (+0.10) | Enhances reversal follow-through |
ð Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 3.0 to 4.0 points beyond the extreme tip of the rejection wick. Spot risk strictly between 12.0 and 26.0 points.
Profit Booking & Scaling:
QUICK_HARVEST profile: 50% partial at +1.5R, 35% partial at +2.5R, 15% runner with rapid 75% profit locking.
Position Sizing Protocol:
Strictly allocated in integer multiples of 65 shares (NIFTY default) or configured
LOT_SIZE. Fractional lots are mathematically rounded up/down to preserve exchange execution validity.
ðŊ Option Strike & Greeks Architecture
Strike Selection Rule:
ATM strike (Delta ~0.50) for immediate gamma responsiveness on rapid mean-reversion cascades. Tuesday weekly expiry.
Weekly Expiry Cycle:
Matures on Tuesday (or preponed to Monday if Tuesday is an official NSE exchange holiday). Automated holiday shift handled via
ExchangeCalendar.
Codebase Implementation:
Class:
Source File:
FailedBreakoutStrategySource File:
nifty_expansion_runner/strategies/failed_breakout.py