R0660: 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) ≥ 0.30% (≈74 pts at 25,000) AND position in today's range so far (0 = at low, 1 = at high) ≤ 0.205 AND opening gap vs prior close is negative at 11:00

Target: the day closes more than 50 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

95%train hit (n=37) vs base 54% · lift 1.74

79%OOS hit (n=39) vs base 59% · lift 1.34

[64%–89%]OOS Wilson 95% CI

0.020OOS BH q (all) · family BH q 0.012 · Holm 1.000

0.005OOS 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 1.7e-07; train BH q 1.9e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.069 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	15	93%	61%	1.53
2023	10	90%	45%	1.99
2024	12	100%	57%	1.76
2025 (OOS)	18	89%	64%	1.40
2026 (OOS)	21	71%	53%	1.34

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)	37	59%	+33.5	+39.5	+1238.9	+226.7	+2.6
OOS 2025–26	39	44%	-9.6	+1.1	-375.1	+630.7	+0.8

equity curve

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