R0800: 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) ≤ 0.11% (≈28 pts at 25,000) AND range so far (high−low since 09:15) ≤ 0.47% (≈119 pts at 25,000) AND price vs session TWAP (time-weighted VWAP) is negative at 13:00

Target: the day closes more than 50 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

3%train hit (n=30) vs base 60% · lift 0.06

20%OOS hit (n=20) vs base 67% · lift 0.30

[8%–42%]OOS Wilson 95% CI

2.0e-04OOS BH q (all) · family BH q 1.2e-04 · Holm 0.023

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-10; train BH q 3.4e-08; train Holm 9.8e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	4	0%	64%	0.00
2023	17	6%	52%	0.11
2024	9	0%	64%	0.00
2025 (OOS)	9	0%	69%	0.00
2026 (OOS)	11	36%	63%	0.57

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	60%	+13.7	+19.7	+410.8	+102.6	+2.4
OOS 2025–26	20	40%	+0.8	+12.7	+16.4	+206.2	+1.0

equity curve

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