R0827: 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) ≤ 0.11% (≈28 pts at 25,000) AND CPR width ≤ 0.06% (≈16 pts at 25,000) AND it is not expiry day 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

3%train hit (n=32) vs base 61% · lift 0.05

17%OOS hit (n=18) vs base 67% · lift 0.25

[6%–39%]OOS Wilson 95% CI

1.5e-04OOS BH q (all) · family BH q 8.8e-05 · Holm 0.015

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 8.7e-12; train BH q 3.9e-09; train Holm 8.0e-05 (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	3	0%	61%	0.00
2023	15	7%	60%	0.11
2024	14	0%	61%	0.00
2025 (OOS)	9	22%	72%	0.31
2026 (OOS)	9	11%	60%	0.18

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)	32	59%	+14.1	+20.5	+449.8	+199.6	+1.8
OOS 2025–26	18	33%	-16.8	-5.0	-303.2	+515.7	+0.5

equity curve

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