R0786: 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 size of the opening gap ≤ 0.22% (≈55 pts at 25,000) AND range so far (high−low since 09:15) ≥ 1.04% (≈260 pts at 25,000) 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: subgroup · Family: level / structure

88%train hit (n=34) vs base 21% · lift 4.27

87%OOS hit (n=15) vs base 28% · lift 3.09

[62%–96%]OOS Wilson 95% CI

4.2e-05OOS BH q (all) · family BH q 2.5e-05 · Holm 0.003

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 1.1e-16; train BH q 1.6e-13; train Holm 1.0e-09 (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	8	100%	26%	3.90
2023	8	88%	10%	8.90
2024	18	83%	26%	3.14
2025 (OOS)	12	83%	27%	3.13
2026 (OOS)	3	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)	34	47%	-5.6	+1.0	-188.8	+558.8	+0.8
OOS 2025–26	15	53%	+9.3	+17.7	+138.8	+330.5	+1.3

equity curve

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