R0711: 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 price vs session TWAP (time-weighted VWAP) ≤ -0.04% (≈-9 pts at 25,000) AND price vs prior-day low ≤ +0.37% (≈+94 pts at 25,000) AND price is below the CPR at 11:00

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

72%train hit (n=32) vs base 18% · lift 4.05

70%OOS hit (n=23) vs base 16% · lift 4.48

[49%–84%]OOS Wilson 95% CI

2.5e-07OOS BH q (all) · family BH q 1.5e-07 · Holm 8.7e-06

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 5.8e-11; train BH q 2.0e-08; train Holm 5.3e-04 (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	12	58%	19%	3.06
2023	12	75%	20%	3.73
2024	8	88%	14%	6.37
2025 (OOS)	15	60%	15%	4.04
2026 (OOS)	8	88%	16%	5.30

Spot-points backtest (estimated costs)

enter short at 11:00 price, take profit at PDL; 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	72%	+5.2	+11.1	+166.0	+293.3	+1.3
OOS 2025–26	23	70%	+18.4	+28.2	+423.5	+123.2	+3.0

equity curve

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