R0765: 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) ≤ 0.11% (≈28 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0273 AND price vs session TWAP (time-weighted VWAP) is negative 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

37%train hit (n=30) vs base 79% · lift 0.46

65%OOS hit (n=26) vs base 83% · lift 0.79

[46%–81%]OOS Wilson 95% CI

0.057OOS BH q (all) · family BH q 0.035 · Holm 1.000

0.015OOS 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 1.2e-06; train BH q 1.0e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.465 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	7	29%	80%	0.36
2023	17	47%	76%	0.62
2024	6	17%	81%	0.21
2025 (OOS)	14	64%	85%	0.76
2026 (OOS)	12	67%	81%	0.82

Spot-points backtest (estimated costs)

enter at 13:00 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)	30	67%	+13.3	+19.2	+398.8	+211.3	+2.2
OOS 2025–26	26	35%	-10.5	+0.5	-274.0	+359.9	+0.6

equity curve

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