R0921: 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 move from the open to 14:30 (either direction) ≤ 0.13% (≈32 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0267 AND the day opened inside the prior-day range at 14:30

Target: the day closes more than 50 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

3%train hit (n=31) vs base 65% · lift 0.05

26%OOS hit (n=19) vs base 72% · lift 0.37

[12%–49%]OOS Wilson 95% CI

3.2e-04OOS BH q (all) · family BH q 1.9e-04 · Holm 0.039

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 6.9e-13; train BH q 4.1e-10; train Holm 6.3e-06 (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	3	33%	71%	0.47
2023	15	0%	57%	0.00
2024	13	0%	68%	0.00
2025 (OOS)	11	36%	75%	0.49
2026 (OOS)	8	12%	69%	0.18

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)	31	45%	-1.7	+4.7	-53.2	+164.9	+0.8
OOS 2025–26	19	32%	-17.0	-6.1	-323.8	+407.8	+0.3

equity curve

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