R0666: 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 1-min EMA9 − EMA21 (as % of price) ≤ -0.00% (≈-1 pts at 25,000) 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

93%train hit (n=42) vs base 54% · lift 1.71

78%OOS hit (n=45) vs base 59% · lift 1.31

[64%–87%]OOS Wilson 95% CI

0.022OOS BH q (all) · family BH q 0.013 · 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 1.2e-07; train BH q 1.4e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.030 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	22	91%	61%	1.49
2023	9	100%	45%	2.21
2024	11	91%	57%	1.60
2025 (OOS)	21	86%	64%	1.35
2026 (OOS)	24	71%	53%	1.33

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)	42	50%	+17.8	+23.7	+747.3	+360.2	+1.6
OOS 2025–26	45	44%	-4.5	+5.8	-201.8	+465.0	+0.9

equity curve

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