R0118: 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 gap measured in the direction of the move so far ≤ -0.18% (≈-44 pts at 25,000) 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=52) vs base 21% · lift 0.00

0%OOS hit (n=18) vs base 28% · lift 0.00

[0%–18%]OOS Wilson 95% CI

0.010OOS BH q (all) · family BH q 0.006 · Holm 1.000

0.002OOS 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 1.2e-05; train BH q 6.5e-04; 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)
2022	18	0%	22%
2023	19	0%	20%
2024	15	0%	20%
2025 (OOS)	9	0%	28%
2026 (OOS)	9	0%	28%

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)	52	35%	-31.6	-25.7	-1642.5	+1642.5	+0.4
OOS 2025–26	18	61%	+28.1	+39.1	+505.9	+264.7	+1.8

equity curve

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