| # | IF … THEN take ATM that side | train lift (cov) | holdout lift (cov) | 90% CI | P(>1) | after 09:45 | early | excl-wkend | old-asym | hold log WR | fires/day | sim/fire | verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| R6 | position in day range toward trade side (1=at day high for CE / day low for PE) >= 0.85 AND day range so far < 120 pts AND ATM premium >= 130 | 5.18 (12) | 2.25 (4/89) | 0.57–4.33 | 87% | 1.67 (2) | 50% | 2.14 | NA | 75% | 2.1 | -4.00 | too few holdout takes |
| R3 | spot vs day open, in trade direction >= 25 pts AND signal-bar body/range >= 0.32 AND day range so far / ATR20 < 0.35x | 5.20 (13) | 1.49 (4/89) | 0.23–4.21 | 70% | 2.50 (2) | 50% | 1.11 | NA | 100% | 1.8 | -2.06 | too few holdout takes |
| R9 | spot vs day open, in trade direction >= -2 pts AND 5-min spot move in trade direction < 0 pts AND day range so far / ATR20 < 0.35x | 4.87 (13) | 1.44 (5/89) | 0.52–3.97 | 76% | 1.44 (3) | 40% | 1.44 | NA | 100% | 3.7 | -3.77 | too few holdout takes |
| B1 | spot vs day open, in trade direction >= -2 pts AND day range so far / ATR20 < 0.35x Early-day with-open entry: spot is on the trade side of the day open and the day has used < 35% of ATR. About two-thirds of the matched takes are before 09:45, and after 09:45 the lift is < 1. | 2.27 (30) | 1.30 (14/89) | 0.74–3.10 | 78% | 0.92 (5) | 64% | 1.14 | 1.58 | 93% | 9.8 | -3.13 | opening-window artifact |
| B4 | distance to day extreme in trade direction < 25 pts AND 3-min spot move in trade direction < 5 pts Near-extreme pause: price is within 25 pts of the day high (CE) or day low (PE), but the last 3 min hasn't spiked your way (< +5 pts). It reads as buying the breakout/continuation on a pause, not chasing the candle. This is the only rule whose lift survives after 09:45. | 2.09 (30) | 1.24 (22/89) | 0.84–1.61 | 84% | 1.27 (14) | 36% | 1.07 | 1.56 | 86% | 20.7 | -2.33 | best candidate |
| B2 | 30-min spot move in trade direction >= 15 pts AND 15-min OI change of traded ATM leg >= +3% | 2.18 (30) | 1.14 (7/89) | 0.42–2.29 | 59% | 0.58 (2) | 71% | 0.81 | NA | 71% | 8.0 | -0.80 | too few holdout takes |
| R10 | distance from opposite day extreme (support for CE / resistance for PE) < 100 pts AND position in day range toward trade side (1=at day high for CE / day low for PE) >= 0.85 AND distance to nearest 50-pt round level < 20 pts | 4.70 (14) | 1.10 (5/89) | 0.34–2.13 | 57% | 0.85 (2) | 60% | 1.09 | NA | 80% | 6.6 | -3.25 | too few holdout takes |
| B6 | distance to day extreme in trade direction < 25 pts AND 15-min OI change of traded ATM leg >= -0% | 1.95 (36) | 1.07 (17/89) | 0.74–1.46 | 59% | 1.05 (7) | 59% | 0.91 | 1.12 | 88% | 16.3 | -1.81 | did not hold |
| prev | rule | prev holdout (OCR) | Excel, old ±30 controls | Excel, symmetric controls |
|---|---|---|---|---|
| T1 | 5-min spot move in trade direction >= 0 pts AND spot vs 5-EMA (5m), in trade direction < 4 pts AND day range so far / ATR20 < 0.31x | 3.83 (8) | 3.41 (9) | 1.03 (9) |
| T2 | 15-min spot move in trade direction >= 0 pts AND 30-min spot move in trade direction >= 0 pts AND spot vs 5-EMA (5m), in trade direction < 4 pts | 2.34 (10) | 2.38 (15) | 1.15 (15) |
| T3 | distance to day extreme in trade direction < 50 pts AND spot vs 20-EMA (1m), in trade direction >= 0 pts AND spot vs 5-EMA (5m), in trade direction < 4 pts | 2.02 (9) | 2.00 (13) | 1.08 (13) |
| T4 | distance from opposite day extreme (support for CE / resistance for PE) < 25 pts AND spot vs 20-EMA (1m), in trade direction >= -10 pts AND 15-min OI change of traded ATM leg < +9% | 1.51 (9) | 1.49 (14) | 1.09 (14) |
The data change reproduces them. Their lift came from the control window sitting entirely after 09:15–09:45 entries.
| window IST | train share | train lift | holdout share | holdout lift | holdout log WR | sim/take | sim/grid |
|---|---|---|---|---|---|---|---|
| 09:16-09:30 open | 11% | 2.9 | 8% | 2.1 | 100% | 2.86 | 4.29 |
| 09:30-10:00 | 15% | 1.8 | 16% | 1.9 | 86% | 2.86 | -1.86 |
| 10:00-11:15 | 29% | 1.5 | 18% | 0.9 | 100% | 1.25 | -1.34 |
| 11:15-14:15 midday | 35% | 0.7 | 34% | 0.7 | 67% | 4.52 | -1.41 |
| 14:15-14:55 | 2% | 0.2 | 4% | 0.4 | 100% | -2.50 | -2.55 |
| 14:55-15:26 3PM | 7% | 0.9 | 20% | 2.4 | 89% | 0.41 | -2.54 |
ATR ≥ 290 occurs only in May–Jun, so this is partly a regime split.
Logged WR 78% (mean +50.3 pts). Simulated at the printed minute, ATM SL10/TP20: WR 36%, -0.43 (train) / +2.46 (holdout) option pts vs -0.79 / -1.53 for other slots. Printed times are still mostly round (44 distinct; 09:30 and 10:15 ×19, 15:10 ×13).