R0382: 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) ≤ 0.13% (≈33 pts at 25,000) AND prior-day range ≤ 0.60% (≈150 pts at 25,000) AND 1-min ADX(14) ≤ 24.8 at 09:45

Target: the day closes more than 50 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

12%train hit (n=32) vs base 49% · lift 0.26

30%OOS hit (n=20) vs base 55% · lift 0.55

[15%–52%]OOS Wilson 95% CI

0.057OOS BH q (all) · family BH q 0.035 · Holm 1.000

0.019OOS 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 3.2e-05; train BH q 0.001; 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: True.

By year

year	rule days	hit	base (all days)	lift
2022	3	0%	57%	0.00
2023	19	5%	39%	0.14
2024	10	30%	51%	0.59
2025 (OOS)	14	29%	57%	0.50
2026 (OOS)	6	33%	52%	0.64

Spot-points backtest (estimated costs)

enter at 09:45 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)	32	56%	+16.1	+22.2	+514.6	+327.3	+1.8
OOS 2025–26	20	45%	-5.7	+4.6	-114.4	+321.9	+0.8

equity curve

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