R0771: 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 13:00 (either direction) ≥ 0.64% (≈160 pts at 25,000) AND size of the opening gap ≤ 0.22% (≈55 pts at 25,000) AND it is not expiry day at 13:00

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: subgroup · Family: level / structure

97%train hit (n=37) vs base 36% · lift 2.69

84%OOS hit (n=25) vs base 45% · lift 1.85

[65%–94%]OOS Wilson 95% CI

5.0e-04OOS BH q (all) · family BH q 3.0e-04 · Holm 0.066

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 6.2e-15; train BH q 6.1e-12; train Holm 5.7e-08 (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: False.

By year

year	rule days	hit	base (all days)	lift
2022	10	100%	40%	2.51
2023	10	100%	25%	3.94
2024	17	94%	43%	2.18
2025 (OOS)	16	88%	46%	1.92
2026 (OOS)	9	78%	45%	1.73

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)	37	51%	-3.5	+2.9	-128.0	+484.5	+0.9
OOS 2025–26	25	48%	-0.6	+8.9	-15.9	+319.9	+1.0

equity curve

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