R0109: 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 09:20 (either direction) > 0.30% (≈74 pts at 25,000) AND position in today's range so far (0 = at low, 1 = at high) > 0.116 AND price vs prior-day low ≤ +1.00% (≈+249 pts at 25,000) 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

60%train hit (n=42) vs base 21% · lift 2.89

58%OOS hit (n=31) vs base 28% · lift 2.07

[41%–74%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.335

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 8.7e-08; train BH q 1.1e-05; train Holm 0.799 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.020 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	23	56%	22%	2.57
2023	7	71%	20%	3.57
2024	12	58%	20%	2.93
2025 (OOS)	19	79%	28%	2.80
2026 (OOS)	12	25%	28%	0.90

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)	42	50%	+19.1	+25.2	+804.2	+437.9	+1.5
OOS 2025–26	31	45%	-6.5	+2.9	-201.4	+608.0	+0.9

equity curve

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