🏛️ Institutional SMC Logic & Auction Market Thesis
Approximately 15-20% of trading days develop into non-mean-reverting Super-Trend days characterized by sustained institutional accumulation throughout the session. Fading these days is catastrophic. The Trend Day Runner identifies this regime early and rides runners until 3:15 PM EOD.
Permitted Market Regimes:
TREND_DOWN EXPANSION TREND_UP
🔍 Phase 1: 1. Opening Drive Confirmation
Session opens near day extreme (Open == Low or High) with zero mean-reversion into open.
Active Structural Pivot
Super-Trend Drive: Open = Low (09:15) | 20 EMA Support: 24,510.0
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 Extreme Gate | ADX >= 28.0 and rising (Mandatory) | Ensures true runaway trend state is active |
| EMA Slope Alignment | 20 EMA slope >= 40 degrees | Confirms strong directional velocity |
| VWAP Non-Violation Gate | Price has not crossed VWAP since opening hour | Confirms one-sided institutional drive |
| Relative Volume Gate | RVOL >= 1.45x sustained across session | Proves relentless institutional buying/selling |
| No Structural Invalidation | Higher Highs / Lower Lows sequence fully intact | Eliminates choppy multi-direction days |
🛑 Risk Geometry & Profit Booking Execution
Stop-Loss Geometry:
Trailing 20 EMA on M5 timeframe or prior swing low + 4.0 points. Max risk: 24.0 spot points.
Profit Booking & Scaling:
TREND_RUNNER profile: 30% partial at +2.5R, 30% partial at +4.0R, 40% super-runner held until 15:15 IST EOD square-off.
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 ~0.60 - 0.70) to capture maximum point-for-point underlying delta on super-trend days. 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:
TrendDayRunnerStrategySource File:
nifty_expansion_runner/strategies/trend_day_runner.py