R0835: 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 opening gap ≤ 0.22% (≈55 pts at 25,000) AND the move from the open is UP AND price is above the CPR at 13:00

Target: price reaches the prior-day high after 13:00 (days not yet at PDH) · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: subgroup · Family: level / structure

50%train hit (n=32) vs base 12% · lift 4.07

28%OOS hit (n=18) vs base 6% · lift 4.50

[12%–51%]OOS Wilson 95% CI

0.013OOS BH q (all) · family BH q 0.008 · Holm 1.000

0.011OOS 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 4.6e-07; train BH q 4.5e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.238 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	8	62%	12%	5.38
2023	7	57%	10%	5.52
2024	17	41%	15%	2.80
2025 (OOS)	10	40%	5%	7.49
2026 (OOS)	8	12%	7%	1.75

Spot-points backtest (estimated costs)

enter long at 13:00 price, take profit at PDH; 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	56%	-5.8	+0.7	-186.1	+390.9	+0.7
OOS 2025–26	18	56%	+3.1	+13.7	+55.5	+196.9	+1.1

equity curve

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