R0113: WATCH

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 size of the move from the open to 09:20 (either direction) ≥ 0.14% (≈35 pts at 25,000) AND price vs prior-day low ≥ +1.04% (≈+260 pts at 25,000) AND 1-min ADX(14) ≥ 36.8 at 09:20

Target: price never trades back to the open after 09:20 · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: subgroup · Family: level / structure

55%train hit (n=38) vs base 21% · lift 2.68

48%OOS hit (n=21) vs base 28% · lift 1.70

[28%–68%]OOS Wilson 95% CI

0.103OOS BH q (all) · family BH q 0.064 · Holm 1.000

0.031OOS 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 5.6e-06; train BH q 3.5e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.941 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	20	60%	22%	2.73
2023	8	62%	20%	3.12
2024	10	40%	20%	2.01
2025 (OOS)	10	50%	28%	1.77
2026 (OOS)	11	46%	28%	1.64

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)	38	50%	+26.7	+32.4	+1014.0	+385.3	+1.8
OOS 2025–26	21	48%	+33.2	+43.0	+697.1	+391.8	+1.8

equity curve

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