R0116: 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) ≤ 0.04% (≈10 pts at 25,000) AND prior-day range ≤ 0.78% (≈196 pts at 25,000) AND price has not touched the prior-day low yet 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

0%train hit (n=54) vs base 21% · lift 0.00

5%OOS hit (n=19) vs base 28% · lift 0.19

[1%–25%]OOS Wilson 95% CI

0.045OOS BH q (all) · family BH q 0.027 · Holm 1.000

0.015OOS 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 7.7e-06; train BH q 4.5e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.990 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	8	0%	22%	0.00
2023	29	0%	20%	0.00
2024	17	0%	20%	0.00
2025 (OOS)	13	8%	28%	0.27
2026 (OOS)	6	0%	28%	0.00

Spot-points backtest (estimated costs)

enter at 09:20 price against 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)	54	50%	+0.1	+6.2	+5.9	+481.6	+1.0
OOS 2025–26	19	53%	+21.8	+32.0	+414.4	+333.8	+1.6

equity curve

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