R0776: 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) ≤ 0.23% (≈59 pts at 25,000) AND India VIX (prior day's close) ≤ 13.7 AND the first opening-range break was downward 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

0%train hit (n=57) vs base 36% · lift 0.00

24%OOS hit (n=51) vs base 45% · lift 0.52

[14%–37%]OOS Wilson 95% CI

0.004OOS BH q (all) · family BH q 0.003 · Holm 0.793

1.0e-03OOS 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 1.5e-11; train BH q 6.2e-09; train Holm 1.4e-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: False.

By year

year	rule days	hit	base (all days)	lift
2022	1	0%	40%	0.00
2023	41	0%	25%	0.00
2024	15	0%	43%	0.00
2025 (OOS)	29	24%	46%	0.53
2026 (OOS)	22	23%	45%	0.50

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)	57	53%	+2.5	+8.6	+144.0	+219.8	+1.2
OOS 2025–26	51	49%	-9.5	+0.7	-485.2	+734.5	+0.7

equity curve

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