R0257: 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) ≥ 0.29% (≈73 pts at 25,000) AND size of the opening gap ≥ 0.35% (≈87 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.06% (≈+16 pts at 25,000) at 09:30

Target: price never trades back to the open after 09:30 · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: subgroup · Family: level / structure

71%train hit (n=48) vs base 26% · lift 2.72

58%OOS hit (n=24) vs base 34% · lift 1.74

[39%–76%]OOS Wilson 95% CI

0.032OOS BH q (all) · family BH q 0.020 · Holm 1.000

0.007OOS 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 2.3e-10; train BH q 6.9e-08; train Holm 0.002 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.010 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	31	71%	28%	2.57
2023	8	88%	26%	3.39
2024	9	56%	25%	2.24
2025 (OOS)	11	64%	35%	1.81
2026 (OOS)	13	54%	32%	1.71

Spot-points backtest (estimated costs)

enter at 09:30 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)	48	46%	+11.5	+17.1	+554.1	+447.7	+1.3
OOS 2025–26	24	33%	-7.7	+2.6	-185.8	+628.1	+0.9

equity curve

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