R0566: 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 move from the open to 10:15 ≤ -0.11% (≈-28 pts at 25,000) AND 1-min Bollinger %B ≤ 0.398 AND price is below the CPR at 10:15

Target: price reaches the prior-day low after 10:15 (days not yet at PDL) · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

77%train hit (n=31) vs base 21% · lift 3.65

57%OOS hit (n=21) vs base 18% · lift 3.17

[37%–76%]OOS Wilson 95% CI

4.4e-04OOS BH q (all) · family BH q 2.6e-04 · Holm 0.055

0.002OOS 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 7.2e-11; train BH q 2.4e-08; train Holm 6.6e-04 (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	10	90%	21%	4.25
2023	9	56%	21%	2.65
2024	12	83%	21%	3.89
2025 (OOS)	14	57%	18%	3.09
2026 (OOS)	7	57%	17%	3.31

Spot-points backtest (estimated costs)

enter short at 10:15 price, take profit at PDL; 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	71%	+6.7	+12.9	+206.9	+345.7	+1.3
OOS 2025–26	21	57%	+1.6	+10.9	+34.5	+373.7	+1.0

equity curve

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