R0527: 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) ≤ 0.09% (≈22 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) is negative AND price has already touched the prior-day high at 10:15

Target: the day closes more than 50 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

10%train hit (n=31) vs base 52% · lift 0.19

33%OOS hit (n=24) vs base 57% · lift 0.58

[18%–53%]OOS Wilson 95% CI

0.042OOS BH q (all) · family BH q 0.026 · Holm 1.000

0.011OOS 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 1.8e-06; train BH q 1.4e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.634 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	6	17%	61%	0.28
2023	15	7%	41%	0.16
2024	10	10%	54%	0.19
2025 (OOS)	11	36%	60%	0.61
2026 (OOS)	13	31%	55%	0.57

Spot-points backtest (estimated costs)

enter at 10:15 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)	31	61%	+30.2	+36.4	+936.7	+240.7	+3.0
OOS 2025–26	24	38%	-12.6	-1.4	-302.9	+450.2	+0.7

equity curve

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