R0687: 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 range so far (high−low since 09:15) ≥ 0.63% (≈157 pts at 25,000) AND price is above the opening-range high AND expiry is 3+ trading days away at 11:00

Target: price never trades back to the open after 11:00 · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: subgroup · Family: level / structure

91%train hit (n=34) vs base 47% · lift 1.95

78%OOS hit (n=23) vs base 52% · lift 1.49

[58%–90%]OOS Wilson 95% CI

0.029OOS BH q (all) · family BH q 0.018 · Holm 1.000

0.004OOS 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 1.1e-07; train BH q 1.3e-05; train Holm 0.997 (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	13	100%	50%	2.02
2023	6	100%	42%	2.36
2024	15	80%	48%	1.67
2025 (OOS)	15	80%	58%	1.39
2026 (OOS)	8	75%	46%	1.65

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)	34	56%	+26.8	+33.3	+910.9	+254.1	+2.0
OOS 2025–26	23	70%	+16.8	+26.8	+386.5	+329.6	+1.6

equity curve

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