R0260: 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 price vs session TWAP (time-weighted VWAP) ≥ +0.02% (≈+5 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

0%train hit (n=64) vs base 26% · lift 0.00

9%OOS hit (n=23) vs base 34% · lift 0.26

[2%–27%]OOS Wilson 95% CI

0.020OOS BH q (all) · family BH q 0.012 · 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 7.9e-09; train BH q 1.4e-06; train Holm 0.073 (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: False.

By year

year	rule days	hit	base (all days)	lift
2022	18	0%	28%	0.00
2023	23	0%	26%	0.00
2024	23	0%	25%	0.00
2025 (OOS)	16	12%	35%	0.36
2026 (OOS)	7	0%	32%	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)	64	45%	+7.4	+13.5	+475.1	+399.5	+1.2
OOS 2025–26	23	57%	+28.9	+38.9	+664.0	+277.3	+1.8

equity curve

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