R0365: 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 CPR width ≥ 0.20% (≈51 pts at 25,000) AND India VIX change on the prior day (%) ≥ 0.773 at 09:45

Target: the day closes more than 150 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

50%train hit (n=36) vs base 17% · lift 2.94

44%OOS hit (n=25) vs base 25% · lift 1.76

[27%–63%]OOS Wilson 95% CI

0.074OOS BH q (all) · family BH q 0.046 · Holm 1.000

0.026OOS 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 1.1e-05; train BH q 5.9e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	17	65%	23%	2.84
2023	10	30%	7%	4.07
2024	9	44%	21%	2.14
2025 (OOS)	10	50%	25%	2.00
2026 (OOS)	15	40%	25%	1.59

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	44%	+26.7	+32.4	+962.6	+311.5	+1.7
OOS 2025–26	25	20%	-69.1	-59.4	-1726.7	+1804.0	+0.2

equity curve

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