🏛️ Institutional SMC Logic & Auction Market Thesis
Smart money leaves footprints when breaking structural Higher Highs or Lower Lows. Once a structural swing is breached with institutional displacement, retail counter-trend positions are forced to liquidate, creating a powerful continuation expansion runway.
Permitted Market Regimes:
TREND_UP TREND_DOWN EXPANSION
🔍 Phase 1: 1. Trend Structure
Active uptrend establishes higher highs and higher lows with ADX rising > 20.
Active Structural Pivot
Key Swing High (BOS Level): 24,520.0
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
TREND_RUNNER
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 |
|---|---|---|
| ADX Trend Gate | ADX >= 20.0 (Mandatory) | Rejects choppy / range-bound environments |
| VWAP Directional Alignment | Close > VWAP (Bullish) or Close < VWAP (Bearish) | Ensures institutional volume backing |
| ADX Strength Bonus | ADX >= 25.0 (+0.10 Score) | Signals runaway expansion velocity |
| Multi-Timeframe Alignment | HTF Bias == Intraday Bias (+0.10 Score) | Prevents counter-trend headfakes |
| RVOL Expansion Bonus | Volume Ratio >= 1.30x (+0.05 Score) | Confirms institutional participation |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points beyond the origin swing pivot before the breakout. Max spot risk capped at 28.0 points. Option stop-loss pegged at 50% premium or spot invalidation.
Profit Booking & Scaling:
Adaptive TREND_RUNNER profile: 40% partial bank at +2.0R, 30% bank at +3.5R, 30% runner trailed via 20 EMA / high-watermark profit locking aiming for +6R to +10R.
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:
1 Strike In-The-Money (ITM) or At-The-Money (ATM) (Delta 0.55-0.65) to maximize delta participation on sustained trend legs. 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:
BOSContinuationStrategySource File:
nifty_expansion_runner/strategies/bos_continuation.py