R0506: 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 opening-range size ≥ 0.44% (≈110 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.12% (≈+30 pts at 25,000) AND it is Friday at 10:15

Target: the day closes more than 150 pts beyond the open in the direction of the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

63%train hit (n=30) vs base 19% · lift 3.38

62%OOS hit (n=16) vs base 25% · lift 2.47

[39%–82%]OOS Wilson 95% CI

0.007OOS BH q (all) · family BH q 0.004 · Holm 1.000

0.001OOS 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 1.9e-07; train BH q 2.1e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.069 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	13	54%	25%	2.17
2023	2	50%	8%	6.13
2024	15	73%	23%	3.16
2025 (OOS)	9	56%	25%	2.26
2026 (OOS)	7	71%	26%	2.73

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)	30	53%	+36.7	+43.1	+1099.9	+314.8	+2.0
OOS 2025–26	16	50%	-19.1	-8.9	-305.6	+592.5	+0.6

equity curve

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