R0763: WATCH

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 13:00 (either direction) ≥ 0.64% (≈160 pts at 25,000) AND distance from TWAP in the move's direction ≥ +0.30% (≈+74 pts at 25,000) AND price has not touched the prior-day high yet at 13:00

Target: the day closes on the same side of the open as the move so far · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: subgroup · Family: level / structure

100%train hit (n=50) vs base 79% · lift 1.27

100%OOS hit (n=20) vs base 83% · lift 1.20

[84%–100%]OOS Wilson 95% CI

0.063OOS BH q (all) · family BH q 0.039 · Holm 1.000

0.020OOS 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 1.6e-05; train BH q 8.0e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	20	100%	80%	1.26
2023	13	100%	76%	1.31
2024	17	100%	81%	1.23
2025 (OOS)	6	100%	85%	1.18
2026 (OOS)	14	100%	81%	1.23

Spot-points backtest (estimated costs)

enter at 13:00 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)	50	38%	-11.7	-5.6	-585.1	+972.1	+0.7
OOS 2025–26	20	45%	-9.1	+2.0	-182.8	+441.8	+0.8

equity curve

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