R0875: 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 prior day's close-to-close return > -1.35% (≈-337 pts at 25,000) AND price vs prior-day high ≤ -1.42% (≈-354 pts at 25,000) AND size of the opening gap ≤ 0.43% (≈107 pts at 25,000) at 14:30

Target: the close is further in the move's direction than the 14:30 price (continuation to close) · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: tree · Family: direction (continuation / reversal)

20%train hit (n=45) vs base 52% · lift 0.39

29%OOS hit (n=28) vs base 51% · lift 0.55

[15%–47%]OOS Wilson 95% CI

0.034OOS BH q (all) · family BH q 0.923 · Holm 1.000

0.004OOS 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 2.3e-05; train BH q 0.001; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	15	27%	58%	0.46
2023	12	8%	49%	0.17
2024	18	22%	48%	0.46
2025 (OOS)	16	31%	54%	0.58
2026 (OOS)	12	25%	48%	0.52

Spot-points backtest (estimated costs)

enter at 14:30 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)	45	71%	+20.2	+26.8	+907.7	+161.9	+2.7
OOS 2025–26	28	64%	+17.7	+27.4	+494.3	+92.5	+3.7

equity curve

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