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STRATEGY 15 Trend Following & Momentum NIFTY 50 (M5) PROFILE: TREND_RUNNER

📐 Trendline Break Safety Reversal

Disciplined multi-touch trendline breakdown entries with safety confirmation filters to avoid false trendline wicks.

Win Rate
65.8%
Backtested
Profit Factor
2.55
Net Edge
Min Entry Score
0.68
Quality Gate
Runner Score
0.80
Threshold

🏛️ Institutional SMC Logic & Auction Market Thesis

Trendlines with 3 or more verified touches concentrate enormous retail stop-loss liquidity. When institutions break a mature trendline with displacement, retail trend followers are stopped out in waves. The safety algorithm waits for confirmation close beyond invalidation buffers before triggering.

Permitted Market Regimes: TREND_DOWN REVERSAL EXPANSION TREND_UP

🔍 Phase 1: 1. Multi-Touch Trendline

Trendline verified with 3 or more clean structural swing touches on M5 timeframe.

Active Structural Pivot
Ascending Trendline Support Broken: 24,520.0 → Confirmed Break: 24,505.0
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
Trendline Verification Gate Trendline touches >= 3 clean swing pivots Rejects arbitrary or two-point trendlines
Displacement Through Line Breakout candle body >= 55% of candle range Prevents entering weak indecision candles
Safety Threshold Clearance Close cleared trendline by >= 4.0 points Filters out near-touch false wick breaks
Volume Surge Gate RVOL >= 1.35x on the breakdown candle Proves genuine institutional commitment
ADX Trend Alignment ADX >= 20.0 or ADX slope inflecting upward Ensures momentum backs the new reversal

🛑 Risk Geometry & Profit Booking Execution

Stop-Loss Geometry: Placed 4.0 points beyond the last swing pivot along the broken trendline. Max risk: 26.0 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). 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: TrendlineBreakSafetyStrategy
Source File: nifty_expansion_runner/strategies/trendline_break_safety.py