R0405: 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) ≤ 0.07% (≈18 pts at 25,000) AND CPR width ≤ 0.13% (≈33 pts at 25,000) AND it is not expiry day at 09:45

Target: price never trades back to the open after 09:45 · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: subgroup · Family: level / structure

0%train hit (n=51) vs base 32% · lift 0.00

7%OOS hit (n=29) vs base 40% · lift 0.17

[2%–22%]OOS Wilson 95% CI

4.9e-04OOS BH q (all) · family BH q 2.9e-04 · Holm 0.064

5.0e-04OOS 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 4.5e-09; train BH q 8.8e-07; train Holm 0.041 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.010 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	12	0%	36%	0.00
2023	23	0%	31%	0.00
2024	16	0%	30%	0.00
2025 (OOS)	14	7%	42%	0.17
2026 (OOS)	15	7%	38%	0.18

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)	51	37%	-14.6	-8.4	-743.5	+900.8	+0.6
OOS 2025–26	29	41%	-8.2	+2.8	-237.9	+592.1	+0.8

equity curve

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