R0819: 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 CPR width ≥ 0.20% (≈51 pts at 25,000) AND India VIX change on the prior day (%) is positive at 13:00

Target: price never trades back to the open after 13:00 · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: subgroup · Family: level / structure

100%train hit (n=50) vs base 61% · lift 1.64

100%OOS hit (n=18) vs base 67% · lift 1.50

[82%–100%]OOS Wilson 95% CI

0.003OOS BH q (all) · family BH q 0.002 · Holm 0.519

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 3.6e-11; train BH q 1.3e-08; train Holm 3.3e-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	26	100%	61%	1.63
2023	10	100%	60%	1.66
2024	14	100%	61%	1.63
2025 (OOS)	6	100%	72%	1.39
2026 (OOS)	12	100%	60%	1.66

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)	50	54%	+15.9	+22.0	+796.7	+396.8	+1.6
OOS 2025–26	18	28%	-43.0	-31.8	-773.4	+773.4	+0.3

equity curve

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