R0111: 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 move from the open to 09:20 ≤ -0.26% (≈-66 pts at 25,000) AND prior day's close-to-close return > -0.46% (≈-116 pts at 25,000) AND CPR width ≤ 0.53% (≈131 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

57%train hit (n=44) vs base 21% · lift 2.75

63%OOS hit (n=41) vs base 28% · lift 2.26

[48%–76%]OOS Wilson 95% CI

2.8e-05OOS BH q (all) · family BH q 1.7e-05 · Holm 0.002

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 3.1e-07; train BH q 3.2e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.139 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	16	50%	22%	2.28
2023	14	57%	20%	2.86
2024	14	64%	20%	3.23
2025 (OOS)	20	65%	28%	2.30
2026 (OOS)	21	62%	28%	2.23

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)	44	45%	+22.7	+28.8	+998.9	+857.3	+1.6
OOS 2025–26	41	46%	+12.3	+22.8	+504.6	+645.1	+1.3

equity curve

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