R0659: 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 distance from TWAP in the move's direction ≤ +0.06% (≈+14 pts at 25,000) AND price vs prior-day high ≥ -0.17% (≈-42 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0296 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

0%train hit (n=78) vs base 20% · lift 0.00

3%OOS hit (n=31) vs base 25% · lift 0.13

[1%–16%]OOS Wilson 95% CI

0.005OOS BH q (all) · family BH q 0.003 · Holm 0.999

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 6.6e-08; train BH q 8.8e-06; train Holm 0.609 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.020 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	17	0%	25%	0.00
2023	40	0%	9%	0.00
2024	21	0%	25%	0.00
2025 (OOS)	17	6%	26%	0.22
2026 (OOS)	14	0%	24%	0.00

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)	78	44%	-6.4	-0.4	-502.5	+612.8	+0.8
OOS 2025–26	31	42%	+9.2	+19.6	+285.6	+270.0	+1.4

equity curve

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