R0480: 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 10:15 (either direction) ≥ 0.43% (≈108 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.12% (≈+30 pts at 25,000) AND price has already touched the prior-day high at 10:15

Target: the day closes on the same side of the open as the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

100%train hit (n=36) vs base 69% · lift 1.45

92%OOS hit (n=25) vs base 71% · lift 1.29

[75%–98%]OOS Wilson 95% CI

0.036OOS BH q (all) · family BH q 0.022 · 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 3.0e-06; train BH q 2.1e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.812 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	14	100%	73%	1.37
2023	7	100%	64%	1.55
2024	15	100%	69%	1.45
2025 (OOS)	16	94%	73%	1.28
2026 (OOS)	9	89%	69%	1.29

Spot-points backtest (estimated costs)

enter at 10:15 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	58%	+46.4	+52.6	+1669.1	+332.4	+2.6
OOS 2025–26	25	44%	+4.9	+14.4	+121.6	+768.2	+1.1

equity curve

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