R0115: 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 size of the move from the open to 09:20 (either direction) ≥ 0.22% (≈54 pts at 25,000) AND India VIX change on the prior day (%) ≥ 0.773 AND 1-min RSI(14) ≤ 48.9 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=40) vs base 21% · lift 2.67

52%OOS hit (n=27) vs base 28% · lift 1.85

[34%–69%]OOS Wilson 95% CI

0.023OOS BH q (all) · family BH q 0.014 · Holm 1.000

0.014OOS 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 3.7e-06; train BH q 2.5e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.851 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	21	57%	22%	2.60
2023	9	67%	20%	3.33
2024	10	40%	20%	2.01
2025 (OOS)	15	67%	28%	2.36
2026 (OOS)	12	33%	28%	1.20

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)	40	45%	+5.5	+11.4	+219.6	+551.7	+1.1
OOS 2025–26	27	33%	-19.9	-9.8	-538.1	+1024.8	+0.7

equity curve

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