R0892: 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 14:30 (either direction) ≥ 0.76% (≈190 pts at 25,000) AND India VIX change on the prior day (%) ≥ 3.36 at 14:30

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: subgroup · Family: level / structure

100%train hit (n=42) vs base 38% · lift 2.60

100%OOS hit (n=20) vs base 47% · lift 2.12

[84%–100%]OOS Wilson 95% CI

4.6e-06OOS BH q (all) · family BH q 2.8e-06 · Holm 2.7e-04

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 7.0e-18; train BH q 1.3e-14; train Holm 6.4e-11 (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	18	100%	43%	2.32
2023	9	100%	26%	3.77
2024	15	100%	46%	2.20
2025 (OOS)	10	100%	47%	2.12
2026 (OOS)	10	100%	47%	2.12

Spot-points backtest (estimated costs)

enter at 14:30 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)	42	52%	+9.2	+15.4	+384.7	+417.0	+1.4
OOS 2025–26	20	40%	-14.5	-4.3	-289.1	+424.2	+0.5

equity curve

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