R0542: 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 India VIX change on the prior day (%) ≤ -1.33 AND 1-min ADX(14) ≥ 25.1 at 10:15

Target: price never trades back to the open after 10:15 · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

88%train hit (n=33) vs base 40% · lift 2.18

89%OOS hit (n=19) vs base 46% · lift 1.93

[69%–97%]OOS Wilson 95% CI

6.9e-04OOS BH q (all) · family BH q 4.1e-04 · Holm 0.095

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 4.1e-08; train BH q 5.8e-06; train Holm 0.374 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.010 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	12	75%	44%	1.69
2023	9	100%	37%	2.69
2024	12	92%	39%	2.32
2025 (OOS)	8	100%	50%	1.98
2026 (OOS)	11	82%	41%	1.98

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)	33	42%	-2.6	+3.5	-86.1	+644.7	+0.9
OOS 2025–26	19	53%	+18.1	+29.1	+343.6	+379.8	+1.5

equity curve

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