R0238: 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 09:30 (either direction) ≤ 0.05% (≈13 pts at 25,000) AND distance from TWAP in the move's direction ≤ +0.02% (≈+6 pts at 25,000) AND the day opened inside the prior-day range at 09:30

Target: the day closes more than 50 pts beyond the open in the direction of the move so far · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: subgroup · Family: level / structure

10%train hit (n=50) vs base 45% · lift 0.22

31%OOS hit (n=29) vs base 53% · lift 0.59

[17%–49%]OOS Wilson 95% CI

0.044OOS BH q (all) · family BH q 0.027 · Holm 1.000

0.010OOS 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 2.5e-07; train BH q 2.7e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.119 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	10	20%	51%	0.39
2023	21	10%	36%	0.26
2024	19	5%	46%	0.11
2025 (OOS)	20	35%	55%	0.64
2026 (OOS)	9	22%	50%	0.45

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)	50	44%	+2.6	+9.0	+129.7	+373.0	+1.1
OOS 2025–26	29	48%	+4.4	+14.5	+127.1	+229.1	+1.1

equity curve

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