R0252: 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 prior-day range ≤ 2.07% (≈518 pts at 25,000) AND size of the move from the open to 09:30 (either direction) > 0.37% (≈93 pts at 25,000) AND prior day's close-to-close return > -0.04% (≈-9 pts at 25,000) at 09:30

Target: price never trades back to the open after 09:30 · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: rulefit · Family: level / structure

76%train hit (n=37) vs base 26% · lift 2.90

60%OOS hit (n=25) vs base 34% · lift 1.79

[41%–77%]OOS Wilson 95% CI

0.019OOS BH q (all) · family BH q 0.012 · Holm 1.000

0.010OOS 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 8.4e-10; train BH q 2.1e-07; train Holm 0.008 (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	14	71%	28%	2.58
2023	12	83%	26%	3.23
2024	11	73%	25%	2.93
2025 (OOS)	11	55%	35%	1.55
2026 (OOS)	14	64%	32%	2.04

Spot-points backtest (estimated costs)

enter at 09:30 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)	37	38%	+2.3	+8.3	+86.1	+457.1	+1.1
OOS 2025–26	25	36%	-8.8	+1.0	-219.8	+540.9	+0.8

equity curve

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