R0670: 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) ≤ 0.10% (≈24 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0248 AND price is inside the prior-day range 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

10%train hit (n=30) vs base 54% · lift 0.18

27%OOS hit (n=15) vs base 59% · lift 0.45

[11%–52%]OOS Wilson 95% CI

0.032OOS BH q (all) · family BH q 0.020 · Holm 1.000

0.011OOS 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 8.8e-07; train BH q 7.7e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.347 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	2	50%	61%	0.82
2023	20	5%	45%	0.11
2024	8	12%	57%	0.22
2025 (OOS)	11	27%	64%	0.43
2026 (OOS)	4	25%	53%	0.47

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)	30	43%	-8.5	-2.4	-256.4	+350.1	+0.7
OOS 2025–26	15	40%	+1.2	+11.4	+17.4	+201.2	+1.0

equity curve

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