R0201: 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 opening-range size ≤ 0.22% (≈56 pts at 25,000) AND price has already touched the prior-day low AND it is not expiry day at 09:30

Target: the day closes on the same side of the open as the move so far · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: subgroup · Family: level / structure

30%train hit (n=30) vs base 61% · lift 0.49

0%OOS hit (n=9) vs base 68% · lift 0.00

[0%–30%]OOS Wilson 95% CI

2.8e-04OOS BH q (all) · family BH q 1.7e-04 · Holm 0.033

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 0.001; train BH q 0.022; 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	5	20%	63%	0.32
2023	13	46%	59%	0.78
2024	12	17%	61%	0.27
2025 (OOS)	5	0%	69%	0.00
2026 (OOS)	4	0%	66%	0.00

Spot-points backtest (estimated costs)

enter at 09:30 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)	30	63%	+51.8	+58.2	+1555.4	+294.2	+3.0
OOS 2025–26	9	100%	+108.3	+119.7	+974.7	+0.0	–

equity curve

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