R0843: 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 price vs session TWAP (time-weighted VWAP) ≤ -0.04% (≈-11 pts at 25,000) AND the first opening-range break was downward AND price is below the CPR at 13:00

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

57%train hit (n=37) vs base 10% · lift 5.70

50%OOS hit (n=18) vs base 8% · lift 6.08

[29%–71%]OOS Wilson 95% CI

4.5e-05OOS BH q (all) · family BH q 2.7e-05 · Holm 0.004

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 4.8e-12; train BH q 2.3e-09; train Holm 4.4e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	11	64%	10%	6.23
2023	17	53%	11%	4.74
2024	9	56%	8%	6.67
2025 (OOS)	9	33%	8%	4.33
2026 (OOS)	9	67%	9%	7.41

Spot-points backtest (estimated costs)

enter short at 13:00 price, take profit at PDL; 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)	37	65%	+15.7	+21.7	+581.4	+144.1	+2.3
OOS 2025–26	18	56%	-10.5	+0.4	-188.7	+253.4	+0.6

equity curve

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