R0821: 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) ≥ 0.64% (≈160 pts at 25,000) AND price vs prior-day high ≤ -0.54% (≈-134 pts at 25,000) AND India VIX change on the prior day (%) ≥ 0.773 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=47) vs base 61% · lift 1.64

100%OOS hit (n=21) vs base 67% · lift 1.50

[85%–100%]OOS Wilson 95% CI

0.001OOS BH q (all) · family BH q 6.5e-04 · Holm 0.162

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 1.6e-10; train BH q 4.8e-08; train Holm 0.001 (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	18	100%	61%	1.63
2023	9	100%	60%	1.66
2024	20	100%	61%	1.63
2025 (OOS)	8	100%	72%	1.39
2026 (OOS)	13	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)	47	53%	+5.7	+12.2	+270.1	+395.4	+1.2
OOS 2025–26	21	48%	+19.9	+31.1	+418.6	+255.8	+1.6

equity curve

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