R0271: 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 vs session TWAP (time-weighted VWAP) is positive AND price is above the CPR at 09:30

Target: price reaches the prior-day high after 09:30 (days not yet at PDH) · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: subgroup · Family: level / structure

68%train hit (n=31) vs base 26% · lift 2.63

67%OOS hit (n=15) vs base 23% · lift 2.84

[42%–85%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.356

1.0e-03OOS 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-06; train BH q 1.7e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.703 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	2	50%	22%	2.28
2023	12	67%	25%	2.65
2024	17	71%	30%	2.36
2025 (OOS)	11	73%	27%	2.73
2026 (OOS)	4	50%	19%	2.58

Spot-points backtest (estimated costs)

enter long at 09:30 price, take profit at PDH; 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)	31	65%	-5.0	+1.7	-153.8	+232.0	+0.8
OOS 2025–26	15	73%	+14.6	+24.3	+218.4	+209.8	+2.0

equity curve

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