R0349: 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 size of the move from the open to 09:45 (either direction) ≥ 0.35% (≈89 pts at 25,000) AND move from the open to 09:45 ≥ +0.02% (≈+6 pts at 25,000) AND CPR width ≥ 0.20% (≈51 pts at 25,000) at 09:45

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: subgroup · Family: level / structure

72%train hit (n=32) vs base 31% · lift 2.34

62%OOS hit (n=21) vs base 38% · lift 1.63

[41%–79%]OOS Wilson 95% CI

0.059OOS BH q (all) · family BH q 0.036 · Holm 1.000

0.016OOS 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 4.0e-06; train BH q 2.6e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.861 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	18	72%	35%	2.04
2023	7	71%	21%	3.42
2024	7	71%	36%	2.00
2025 (OOS)	12	67%	40%	1.67
2026 (OOS)	9	56%	36%	1.56

Spot-points backtest (estimated costs)

enter at 09:45 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)	32	50%	+26.7	+32.3	+855.7	+371.9	+1.8
OOS 2025–26	21	33%	-34.5	-25.1	-723.6	+800.9	+0.5

equity curve

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