R0781: 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) > 0.79% (≈197 pts at 25,000) AND range so far (high−low since 09:15) > 1.15% (≈288 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0501 at 13:00

Target: the day closes more than 150 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: tree · Family: level / structure

100%train hit (n=38) vs base 21% · lift 4.84

100%OOS hit (n=23) vs base 28% · lift 3.57

[86%–100%]OOS Wilson 95% CI

2.3e-11OOS BH q (all) · family BH q 1.4e-11 · Holm 1.9e-10

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 2.0e-26; train BH q 2.2e-22; train Holm 1.8e-19 (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	17	100%	26%	3.90
2023	4	100%	10%	10.17
2024	17	100%	26%	3.77
2025 (OOS)	12	100%	27%	3.76
2026 (OOS)	11	100%	30%	3.35

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)	38	58%	+12.0	+18.3	+456.0	+413.9	+1.5
OOS 2025–26	23	52%	+11.8	+21.7	+272.3	+312.9	+1.4

equity curve

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