R0692: 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) ≤ 0.10% (≈24 pts at 25,000) AND price has not touched the prior-day low yet AND 1-min Supertrend is down 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

0%train hit (n=47) vs base 47% · lift 0.00

10%OOS hit (n=29) vs base 52% · lift 0.20

[4%–26%]OOS Wilson 95% CI

2.8e-05OOS BH q (all) · family BH q 1.7e-05 · Holm 0.002

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 2.9e-13; train BH q 1.9e-10; train Holm 2.7e-06 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.010 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	7	0%	50%	0.00
2023	26	0%	42%	0.00
2024	14	0%	48%	0.00
2025 (OOS)	20	15%	58%	0.26
2026 (OOS)	9	0%	46%	0.00

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)	47	47%	-1.5	+4.5	-72.7	+470.6	+0.9
OOS 2025–26	29	55%	+22.7	+32.4	+657.5	+597.0	+1.7

equity curve

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