R0922: 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) ≤ 0.13% (≈32 pts at 25,000) AND range so far (high−low since 09:15) ≤ 0.54% (≈134 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0267 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

5%train hit (n=40) vs base 65% · lift 0.08

29%OOS hit (n=21) vs base 72% · lift 0.40

[14%–50%]OOS Wilson 95% CI

3.1e-04OOS BH q (all) · family BH q 1.9e-04 · Holm 0.038

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 2.4e-15; train BH q 2.6e-12; train Holm 2.2e-08 (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	4	0%	71%	0.00
2023	23	9%	57%	0.15
2024	13	0%	68%	0.00
2025 (OOS)	10	30%	75%	0.40
2026 (OOS)	11	27%	69%	0.40

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)	40	38%	-5.3	+0.9	-210.8	+322.6	+0.6
OOS 2025–26	21	24%	-25.3	-13.6	-531.4	+575.5	+0.2

equity curve

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