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STRATEGY 17 Derivatives & Order Flow NIFTY 50 (M5) PROFILE: STANDARD_BALANCED

📊 Volume Profile POC & OBV Force Expansion

Exploiting breakouts away from high volume institutional accumulation nodes (Point of Control) backed by On-Balance Volume (OBV) force expansion.

Win Rate
67.4%
Backtested
Profit Factor
2.65
Net Edge
Min Entry Score
0.70
Quality Gate
Runner Score
0.60
Threshold

🏛️ Institutional SMC Logic & Auction Market Thesis

The Point of Control (POC) represents the price where the greatest volume of contracts was traded, establishing true fair value. When price breaks out of the Value Area (VAH/VAL) accompanied by an OBV moving average crossover, it signals that institutions are forcing price into a new value zone.

Permitted Market Regimes: TREND_DOWN REVERSAL EXPANSION TREND_UP

🔍 Phase 1: 1. Volume Profile Mapping

Intraday volume profile calculates Point of Control (POC), Value Area High (VAH), and Low (VAL).

Active Structural Pivot
Value Area High (VAH): 24,535.0 | POC: 24,510.0 | OBV Crossing 20 EMA
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
STANDARD_BALANCED
Dynamic High-Watermark

⚙️ 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
Value Area Clearance Close beyond VAH or VAL by >= 3.0 points Confirms exit from fair value equilibrium
OBV Moving Average Cross OBV crosses above/below its 20 EMA with positive slope Proves volume force is initiating expansion
POC Distance Filter Breakout occurs within 35 pts of Point of Control Prevents chasing exhausted late moves
RVOL Expansion Gate Volume Ratio >= 1.40x on breakout bar Confirms presence of institutional block volume
Regime Verification Active in EXPANSION, TREND_UP, TREND_DOWN, REVERSAL Ensures market is ready to leave balance

🛑 Risk Geometry & Profit Booking Execution

Stop-Loss Geometry: Placed 3.0 points inside the broken Value Area boundary or POC. Max risk: 22.0 spot points.
Profit Booking & Scaling: STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner with dynamic 65% profit floor.
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.

🎯 Option Strike & Greeks Architecture

Strike Selection Rule: ATM strike (Delta ~0.50). Tuesday weekly contract.
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: VolumeProfileOBVForceStrategy
Source File: nifty_expansion_runner/strategies/volume_profile_obv_force.py