R0647: 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 11:00 (either direction) ≤ 0.10% (≈24 pts at 25,000) AND range so far (high−low since 09:15) ≤ 0.39% (≈98 pts at 25,000) AND India VIX (prior day's close) ≤ 12.1 at 11:00

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: subgroup · Family: level / structure

0%train hit (n=36) vs base 35% · lift 0.00

12%OOS hit (n=24) vs base 41% · lift 0.31

[4%–31%]OOS Wilson 95% CI

0.011OOS BH q (all) · family BH q 0.007 · Holm 1.000

0.003OOS 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 4.6e-07; train BH q 4.4e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.238 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	0	–	39%	–
2023	33	0%	25%	0.00
2024	3	0%	40%	0.00
2025 (OOS)	12	0%	44%	0.00
2026 (OOS)	12	25%	37%	0.68

Spot-points backtest (estimated costs)

enter at 11:00 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)	36	56%	+4.8	+10.5	+174.6	+176.6	+1.3
OOS 2025–26	24	50%	+4.7	+16.0	+112.3	+265.7	+1.2

equity curve

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