R0691: 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 move from the open to 11:00 ≤ -0.34% (≈-85 pts at 25,000) AND size of the opening gap ≤ 0.22% (≈55 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.11% (≈+26 pts at 25,000) 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=32) vs base 47% · lift 1.94

91%OOS hit (n=22) vs base 52% · lift 1.74

[72%–97%]OOS Wilson 95% CI

7.9e-04OOS BH q (all) · family BH q 4.8e-04 · Holm 0.113

5.0e-04OOS 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 4.2e-07; train BH q 4.1e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.218 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	7	86%	50%	1.73
2023	11	91%	42%	2.14
2024	14	93%	48%	1.94
2025 (OOS)	15	93%	58%	1.62
2026 (OOS)	7	86%	46%	1.88

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)	32	59%	+26.8	+33.3	+858.7	+230.3	+2.0
OOS 2025–26	22	45%	+3.4	+12.8	+74.0	+393.9	+1.1

equity curve

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