R0353: 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 09:45 (either direction) ≥ 0.35% (≈89 pts at 25,000) AND the first opening-range break was upward AND it is not expiry day 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

69%train hit (n=36) vs base 31% · lift 2.26

58%OOS hit (n=33) vs base 38% · lift 1.51

[41%–73%]OOS Wilson 95% CI

0.048OOS BH q (all) · family BH q 0.029 · 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 3.9e-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: False.

By year

year	rule days	hit	base (all days)	lift
2022	18	67%	35%	1.89
2023	8	75%	21%	3.59
2024	10	70%	36%	1.96
2025 (OOS)	22	59%	40%	1.48
2026 (OOS)	11	55%	36%	1.53

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)	36	61%	+28.9	+34.7	+1042.0	+481.9	+2.0
OOS 2025–26	33	42%	-20.3	-10.9	-668.3	+845.5	+0.7

equity curve

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