R0688: 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 size of the opening gap ≤ 0.22% (≈55 pts at 25,000) AND position in today's range so far (0 = at low, 1 = at high) ≤ 0.205 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=33) vs base 47% · lift 1.95

78%OOS hit (n=37) vs base 52% · lift 1.50

[63%–89%]OOS Wilson 95% CI

0.004OOS BH q (all) · family BH q 0.003 · Holm 0.755

0.001OOS 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 2.1e-07; train BH q 2.3e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.089 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	9	78%	50%	1.57
2023	12	92%	42%	2.16
2024	12	100%	48%	2.08
2025 (OOS)	25	80%	58%	1.39
2026 (OOS)	12	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)	33	64%	+25.5	+31.7	+841.5	+194.7	+2.2
OOS 2025–26	37	38%	-8.7	+0.8	-323.0	+632.9	+0.8

equity curve

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