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STRATEGY 05 Trend Following & Momentum NIFTY 50 (M5) PROFILE: STANDARD_BALANCED

🔄 First Pullback (Morning Trend Initialization)

Entering high-probability early morning trend retracements into VWAP and the 20 EMA following opening impulse expansion.

Win Rate
67.1%
Backtested
Profit Factor
2.68
Net Edge
Min Entry Score
0.65
Quality Gate
Runner Score
0.55
Threshold

🏛️ Institutional SMC Logic & Auction Market Thesis

The first retracement after a powerful opening impulse (09:30–10:30 IST) represents the highest probability trend-continuation entry of the day. Institutional players who missed the opening gap use this shallow pullback to establish positions with defined risk.

Permitted Market Regimes: EXPANSION TREND_UP TREND_DOWN

🔍 Phase 1: 1. Opening Impulse Wave

Aggressive expansion bar prints between 09:15 and 09:30, establishing clear directional day bias.

Active Structural Pivot
Opening Impulse High: 24,530.0 | Pullback Support: 24,495.0
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
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
Session Timing Gate 09:30 IST <= Current Time <= 11:00 IST Restricted to early morning trend initiation
Pullback Depth Filter Retracement depth <= 61.8% of opening impulse Rejects deep reversals disguised as pullbacks
Support Confluence Gate Touches 20 EMA, VWAP, or Broken Level (±4 pts) Requires technical backing for bounce
Volume Tapering Pullback volume < 1.0x average volume Confirms lack of selling pressure
Resumption Rejection Wick Defense candle wick >= 25% rejecting EMA Proves aggressive institutional bid

🛑 Risk Geometry & Profit Booking Execution

Stop-Loss Geometry: Placed 3.0 points below the low of the pullback swing. Risk clamped to 15.0 - 24.0 spot points.
Profit Booking & Scaling: STANDARD_BALANCED profile: 50% partial at +1.5R, 30% partial at +2.5R, 20% runner targeting morning high re-test and beyond.
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 or 1-strike ITM (Delta 0.50 - 0.60). 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: FirstPullbackStrategy
Source File: nifty_expansion_runner/strategies/first_pullback.py