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I think the route taken in "Unbreakable" (a Bruce Willis movie) is a good example of how to do this. Mainly, there are compelling clues that can be interpreted as either an effect, or extremely go...
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Source: https://writers.stackexchange.com/a/40890 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#3: Attribution notice added
Source: https://writers.stackexchange.com/a/40890 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#2: Initial revision
I think the route taken in _"Unbreakable"_ (a Bruce Willis movie) is a good example of how to do this. Mainly, there are compelling clues that can be interpreted as either an effect, or extremely good luck, and even the character is leaning toward luck. In _Unbreakable_ Bruce is the sole survivor of a horrific train wreck that kills hundreds of people; yet he survives (With minor cuts and bruises, as I recall). Then there are other incidents he also survives. In this case he doesn't believe he is special. At one point his troubled son does believe it, and intends to shoot his father with a handgun to **prove** to Bruce that Bruce is a super-hero; and Bruce is terrified and trying to talk his distraught kid down. The list of things Willis _can_ survive grows; and I think the movie resolves itself without any definitive resolution, but by the end we (viewers) are convinced he is indeed unbreakable. My point is, provide your evidence of the improbable in a way so it always seems true (and is explicitly stated) that a simple 1% chance of good luck _could_ explain the outcome; but when these incidents get stacked it becomes implausible to think the character is hitting this 1% chance **_every single time it matters._** So the character was the sole survivor of battle; and claims he was just in the right place at the right time. Okay. Then he was shot down in an aerial battle, his fighter **blew up** in mid-air, he claims he ejected just in time. Eyewitnesses claim that was impossible he couldn't see the missile coming! He claims it was luck, his plane got hit by strafing and wasn't responsive to controls so he ejected as the missile hit, got knocked out by the blast, and next thing he knows he was in his chute and hitting the water. But chute and ejection seat are at the bottom of the ocean, now. Make each incident explainable by some other means so we can't be sure. But when this evidence accumulates we the viewers come to the conclusion the character **_can't_** be just lucky, there is something else going on. Then your reveal (wherever it occurs) is the twist. The character gets shot in the head point blank and is barely scratched, or the gun won't fire, or the gun fires and the bullet shatters the picture on the wall directly behind his head without doing anything TO his head. Whatever your immortality mechanism may be. Then the reader can go back and see all his previous explanations were lies or deflections; he just can't be killed. And they knew something was up, so they don't feel like there was a deus ex machina.