R0487: 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 10:15 (either direction) ≥ 0.43% (≈108 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) ≥ +0.03% (≈+7 pts at 25,000) 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

97%train hit (n=36) vs base 69% · lift 1.41

91%OOS hit (n=22) vs base 71% · lift 1.28

[72%–97%]OOS Wilson 95% CI

0.069OOS BH q (all) · family BH q 0.042 · Holm 1.000

0.017OOS 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-05; train BH q 0.002; 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	17	94%	73%	1.29
2023	2	100%	64%	1.55
2024	17	100%	69%	1.45
2025 (OOS)	11	100%	73%	1.37
2026 (OOS)	11	82%	69%	1.18

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	50%	+29.0	+35.3	+1044.0	+312.9	+1.7
OOS 2025–26	22	41%	-23.6	-12.9	-518.1	+543.4	+0.5

equity curve

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