R0569: 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 price vs prior-day low ≤ +0.37% (≈+94 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) ≤ -0.01% (≈-2 pts at 25,000) 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

75%train hit (n=36) vs base 21% · lift 3.54

50%OOS hit (n=20) vs base 18% · lift 2.78

[30%–70%]OOS Wilson 95% CI

0.005OOS BH q (all) · family BH q 0.003 · Holm 0.830

0.030OOS 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 1.5e-11; train BH q 6.3e-09; train Holm 1.4e-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	12	75%	21%	3.55
2023	12	58%	21%	2.78
2024	12	92%	21%	4.28
2025 (OOS)	16	50%	18%	2.70
2026 (OOS)	4	50%	17%	2.89

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)	36	64%	-3.4	+2.6	-124.0	+315.5	+0.9
OOS 2025–26	20	50%	-23.9	-15.2	-477.0	+562.0	+0.4

equity curve

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