R0078: 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 price vs session TWAP (time-weighted VWAP) ≥ +0.01% (≈+3 pts at 25,000) AND CPR width ≥ 0.20% (≈51 pts at 25,000) 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

42%train hit (n=31) vs base 14% · lift 3.00

52%OOS hit (n=29) vs base 22% · lift 2.37

[34%–69%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.308

5.0e-04OOS 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 2.7e-04; train BH q 0.007; 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	20	45%	19%	2.41
2023	6	33%	7%	4.54
2024	5	40%	16%	2.52
2025 (OOS)	10	60%	21%	2.81
2026 (OOS)	19	47%	22%	2.10

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)	31	39%	+22.0	+27.9	+681.2	+260.7	+1.5
OOS 2025–26	29	48%	-5.3	+5.2	-154.4	+628.1	+0.9

equity curve

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