R0941: 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 position in today's range so far (0 = at low, 1 = at high) ≤ 0.422 AND distance from TWAP in the move's direction ≥ +0.37% (≈+92 pts at 25,000) at 14:30

Target: price never trades back to the open after 14:30 · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: subgroup · Family: level / structure

100%train hit (n=81) vs base 76% · lift 1.31

95%OOS hit (n=40) vs base 80% · lift 1.19

[83%–99%]OOS Wilson 95% CI

0.022OOS BH q (all) · family BH q 0.013 · 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 5.0e-10; train BH q 1.3e-07; train Holm 0.005 (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	37	100%	77%	1.29
2023	15	100%	76%	1.32
2024	29	100%	75%	1.33
2025 (OOS)	19	95%	84%	1.12
2026 (OOS)	21	95%	74%	1.29

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)	81	43%	-1.2	+4.9	-98.6	+562.4	+1.0
OOS 2025–26	40	30%	-14.1	-4.0	-565.5	+735.5	+0.5

equity curve

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