R0114: 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 > +0.17% (≈+43 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) ≤ +0.08% (≈+19 pts at 25,000) AND India VIX change on the prior day (%) > -3.53 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

55%train hit (n=38) vs base 21% · lift 2.68

50%OOS hit (n=38) vs base 28% · lift 1.78

[35%–65%]OOS Wilson 95% CI

0.012OOS BH q (all) · family BH q 0.007 · Holm 1.000

0.001OOS 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 5.6e-06; train BH q 3.5e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.941 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	20	55%	22%	2.51
2023	5	60%	20%	3.00
2024	13	54%	20%	2.70
2025 (OOS)	20	60%	28%	2.13
2026 (OOS)	18	39%	28%	1.40

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)	38	50%	+12.1	+18.3	+458.8	+381.5	+1.3
OOS 2025–26	38	45%	+1.8	+12.2	+68.6	+484.6	+1.0

equity curve

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