R0705: 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 opening gap ≥ 0.35% (≈87 pts at 25,000) AND prior day's close-to-close return is negative AND price is below the CPR at 11:00

Target: price reaches the prior-day high after 11:00 (days not yet at PDH) · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: subgroup · Family: level / structure

0%train hit (n=77) vs base 19% · lift 0.00

0%OOS hit (n=37) vs base 11% · lift 0.00

[0%–9%]OOS Wilson 95% CI

0.034OOS BH q (all) · family BH q 0.021 · Holm 1.000

0.005OOS 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 2.4e-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)
2022	47	0%	16%
2023	15	0%	18%
2024	15	0%	22%
2025 (OOS)	15	0%	12%
2026 (OOS)	22	0%	10%

Spot-points backtest (estimated costs)

n/a (lower-probability reach rule). 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)	0	–	–	–	–	–	–
OOS 2025–26	0	–	–	–	–	–	–

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