🏛️ Institutional SMC Logic & Auction Market Thesis
The opening 15-minute range (OR15) establishes the initial balance of institutional auction for the trading day. A genuine breakout confirmed by a successful retest that holds boundary support proves that value is migrating and unlocks high-probability trend expansion.
Permitted Market Regimes:
EXPANSION TREND_UP TREND_DOWN
🔍 Phase 1: 1. OR15 Benchmark Setup
High and Low of the first 15-minute session (09:15-09:30 IST) are frozen as day pivots.
Active Structural Pivot
OR15 High (09:15-09:30): 24,530.0 | Retest Support: 24,530.0
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 |
|---|---|---|
| Session Timing Gate | 09:30 IST <= Current Time <= 11:15 IST | Enforces morning momentum window |
| Breakout Body Ratio | Breakout candle body >= 60% of candle range | Prevents weak wick-only breaks |
| Retest Tolerance Zone | Retest touches within ±4.0 pts of boundary | Confirms precise retest respect |
| Boundary Defense Bar | Close points away from boundary into expansion | Validates boundary now acts as support/resistance |
| ADX Trend Confirmation | ADX >= 20.0 and rising | Filters out false breakouts in stagnant markets |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Placed 4.0 points inside the broken Opening Range boundary. Max risk: 24.0 spot points.
Profit Booking & Scaling:
TREND_RUNNER profile: 40% partial at +2.0R, 30% partial at +3.5R, 30% runner trailing via 20 EMA.
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 ITM (Delta ~0.55 - 0.65) for maximum directional delta efficiency. 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:
Source File:
OpeningRangeBreakRetestStrategySource File:
nifty_expansion_runner/strategies/opening_range_break_retest.py