Confluence v1 — Trap + AMD + ATM Option Premium Support
Nifty 50 1m spot · walk-forward yearly folds · hard SL · trail-to-cost after +10–15 pts · min 1:2 R:R · oversized entry-candle filter · SL-first same bar · next-bar open fills
← Setups index
Caveats
- ONE confluence setup: retailer trap AND AMD fake-break AND ATM option premium black-box support — all same direction within the window.
- Index/futures-style costs on spot entry; option chain is confirmation only.
- Hard SL beyond sweep extreme; trail-to-cost after +10–15 pts; min 1:2 R:R; oversized entry-candle filter vs ATR.
- 1m option coverage from local mirror of 105 by_expiry files (~2024-08 onward). No option data → no confluence trade.
- Walk-forward: params chosen only on prior years (adapted folds IS_2024→OOS_2025, IS_2024_25→OOS_2026). Classic yearly folds also saved.
- SL-first if stop & target same bar. No lookahead. Do not invent edges.
- Expiry weekday approx Thu until 2025-08-28 / Tue thereafter is unrelated to this confirmation (any session with chain data).
Out-of-sample (stitched) net summary
| Strategy | Trades | Win% | Avg net | Total net | PF net | Max DD | Avg cost | t-stat | p-value | Prof. folds% |
|---|
| CONFLUENCE | 20 | 25.0 | -4.192 | -83.837 | 0.686 | -130.243 | 11.389 | -0.699 | 0.4846 | 0.0 |
CONFLUENCE
Requires ALL of: (1) liquidity sweep/reclaim of day H/L or round 100/500, (2) AMD morning-range fake-break + reverse confirm, (3) ATM± option premium touch of recent support + reversal candle high break — same direction within window. OOS_2025:confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 || OOS_2026:confluence_window_min=15|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0
OOS stitched equity (net points)
Full-period default params equity (net)
Default (untuned) full-period
| Metric | Value |
|---|
| Trades | 11 |
| Win% | 9.09 |
| Avg gross | -2.864 |
| Avg net | -13.029 |
| Total gross | -31.5 |
| Total net | -143.321 |
| PF gross | 0.567 |
| PF net | 0.187 |
| Max DD net | -107.517 |
| Avg cost | 10.166 |
| t-stat | -2.148 |
| p-value | 0.0317 |
| Profitable years% | 0.0 |
Walk-forward OOS (stitched)
| Metric | Value |
|---|
| Trades | 20 |
| Win% | 25.0 |
| Avg gross | 7.197 |
| Avg net | -4.192 |
| Total gross | 143.95 |
| Total net | -83.837 |
| PF gross | 2.533 |
| PF net | 0.686 |
| Max DD net | -130.243 |
| Avg cost | 11.389 |
| t-stat | -0.699 |
| p-value | 0.4846 |
| Profitable years% | 0.0 |
Per-fold detail
| fold |
chosen_params |
is_total_net |
oos_n |
oos_avg_net |
oos_total_net |
oos_win_rate |
oos_pf |
oos_max_dd |
| OOS_2025 |
confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 |
0.0 |
7 |
-7.98 |
-55.858 |
14.286 |
0.371 |
-36.052 |
| OOS_2026 |
confluence_window_min=15|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 |
-95.799 |
13 |
-2.152 |
-27.979 |
30.769 |
0.843 |
-130.243 |
Flags
- OOS sample too thin (20 trades < 50) — do not treat as a robust edge.
- OOS total net ≤ 0 after costs — no robust edge claimed.
- Confluence requires trap + AMD + ATM option premium support within the window; option coverage begins ~2024-08 (105 expiries). Early years have no option data → no trades.
- Adapted walk-forward choices: OOS_2025:confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 || OOS_2026:confluence_window_min=15|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0
- Classic yearly fold choices (for reference): OOS_2023:confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 || OOS_2024:confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 || OOS_2025:confluence_window_min=10|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0 || OOS_2026:confluence_window_min=15|level_mode=day_ext|max_entry_candle_atr=0.35|max_or_atr=0.6|min_breach_pts=3.0|or_min=30|reclaim_within=5|support_lookback=20|sweep_buffer_pts=5.0|target_r=2.0|trail_activate_pts=12.0
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