R0894: 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 price vs session TWAP (time-weighted VWAP) is positive AND prior day's close-to-close return is negative 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=37) vs base 38% · lift 2.60

100%OOS hit (n=21) vs base 47% · lift 2.12

[85%–100%]OOS Wilson 95% CI

2.5e-06OOS BH q (all) · family BH q 1.5e-06 · Holm 1.3e-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 8.3e-16; train BH q 1.0e-12; train Holm 7.7e-09 (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	17	100%	43%	2.32
2023	6	100%	26%	3.77
2024	14	100%	46%	2.20
2025 (OOS)	13	100%	47%	2.12
2026 (OOS)	8	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)	37	59%	+14.6	+21.0	+541.0	+216.9	+1.9
OOS 2025–26	21	48%	+2.9	+13.0	+60.6	+292.8	+1.1

equity curve

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