R0415: 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 move from the open to 09:45 ≥ +0.16% (≈+40 pts at 25,000) AND price is above the CPR at 09:45

Target: price reaches the prior-day high after 09:45 (days not yet at PDH) · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: subgroup · Family: level / structure

68%train hit (n=31) vs base 24% · lift 2.86

68%OOS hit (n=25) vs base 20% · lift 3.45

[48%–83%]OOS Wilson 95% CI

3.6e-06OOS BH q (all) · family BH q 2.2e-06 · Holm 2.0e-04

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 5.2e-07; train BH q 4.9e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.267 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	12	75%	20%	3.70
2023	13	85%	22%	3.78
2024	6	17%	28%	0.59
2025 (OOS)	15	73%	22%	3.33
2026 (OOS)	10	60%	17%	3.57

Spot-points backtest (estimated costs)

enter long at 09:45 price, take profit at PDH; 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)	31	65%	-6.0	-0.3	-187.1	+536.1	+0.8
OOS 2025–26	25	68%	+12.9	+23.3	+321.3	+148.5	+1.8

equity curve

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