R0655: 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 11:00 (either direction) ≥ 0.50% (≈126 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.19% (≈+48 pts at 25,000) AND India VIX change on the prior day (%) ≥ 0.773 at 11:00

Target: the day closes more than 150 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

70%train hit (n=40) vs base 20% · lift 3.53

72%OOS hit (n=18) vs base 25% · lift 2.86

[49%–88%]OOS Wilson 95% CI

2.8e-04OOS BH q (all) · family BH q 1.7e-04 · Holm 0.033

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 1.8e-11; train BH q 7.3e-09; train Holm 1.7e-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	21	67%	25%	2.65
2023	4	75%	9%	7.99
2024	15	73%	25%	2.96
2025 (OOS)	9	67%	26%	2.54
2026 (OOS)	9	78%	24%	3.23

Spot-points backtest (estimated costs)

enter at 11:00 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)	40	52%	+30.5	+36.7	+1218.7	+383.8	+1.9
OOS 2025–26	18	44%	-14.9	-4.5	-267.6	+762.4	+0.7

equity curve

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