R0108: 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 09:20 (either direction) > 0.30% (≈74 pts at 25,000) AND prior day's close-to-close return > -0.51% (≈-127 pts at 25,000) AND India VIX change on the prior day (%) > -4.89 at 09:20

Target: price never trades back to the open after 09:20 · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: rulefit · Family: level / structure

69%train hit (n=45) vs base 21% · lift 3.34

62%OOS hit (n=37) vs base 28% · lift 2.22

[46%–76%]OOS Wilson 95% CI

1.3e-04OOS BH q (all) · family BH q 7.6e-05 · Holm 0.013

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 8.2e-12; train BH q 3.7e-09; train Holm 7.6e-05 (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	19	74%	22%	3.36
2023	10	70%	20%	3.50
2024	16	62%	20%	3.14
2025 (OOS)	22	64%	28%	2.25
2026 (OOS)	15	60%	28%	2.16

Spot-points backtest (estimated costs)

enter at 09:20 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)	45	53%	+9.8	+15.9	+440.7	+755.1	+1.3
OOS 2025–26	37	51%	+23.3	+33.3	+862.6	+430.2	+1.6

equity curve

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