R0074: PASS

Descriptive statistics, no trading costs in the probabilities (the backtest columns alone use estimated costs). Rules were discovered and tuned on 2022-01 → 2024-12 only, frozen, then tested once on 2025-01 → 2026-10. Millions of hypotheses were searched, so read the corrected p-values and the out-of-sample columns, not the training hit rates. Not investment advice; not a trading system.

Rule: When range so far (high−low since 09:15) ≥ 0.37% (≈94 pts at 25,000) AND India VIX (prior day's close) ≥ 15.2 AND India VIX change on the prior day (%) ≥ 3.36 at 09:20

Target: the day closes more than 150 pts beyond the open in the direction of the move so far · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: subgroup · Family: level / structure

43%train hit (n=30) vs base 14% · lift 3.10

41%OOS hit (n=29) vs base 22% · lift 1.89

[26%–59%]OOS Wilson 95% CI

0.040OOS BH q (all) · family BH q 0.024 · Holm 1.000

0.013OOS matched-random placebo p

Verdict criteria

✔ Out-of-sample lift in the same direction as train
✔ OOS Wilson 95% CI excludes the OOS base rate
✔ OOS BH q ≤ 0.05 across all candidates tested OOS AND within its target family
✔ Train BH q ≤ 0.05 (across all hypotheses searched)
✔ Stable by year (same direction in ≥80% of years with ≥10 days, incl. every OOS year with ≥10)
✔ OOS matched-random placebo p ≤ 0.05
✔ OOS sample ≥ 20 days

Train p 1.8e-04; train BH q 0.005; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	23	52%	19%	2.79
2023	2	0%	7%	0.00
2024	5	20%	16%	1.26
2025 (OOS)	9	33%	21%	1.56
2026 (OOS)	20	45%	22%	2.00

Spot-points backtest (estimated costs)

enter at 09:20 price in the move direction; stop 0.4% of entry; exit at close. Costs: Nifty futures round-trip model from nifty-setups-backtest/src/costs.py (brokerage, exchange, SEBI, stamp, GST, STT by date: 0.0125% → 0.02% from Oct-2024 → 0.05% from Apr-2026) + 0.5 pt slippage per side; spot used as a futures proxy (basis ignored); stop-first on ambiguous bars.

window	trades	win rate	avg net pts	avg gross pts	total net	max DD pts	PF
train 2022–24 (in-sample)	30	33%	+7.1	+12.7	+212.6	+652.6	+1.1
OOS 2025–26	29	38%	-16.1	-5.4	-468.2	+1055.9	+0.7

equity curve

trades.csv · Generated 2026-10-10 00:44 IST.