R0253: 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 India VIX (prior day's close) ≤ 15.9 AND size of the move from the open to 09:30 (either direction) > 0.25% (≈62 pts at 25,000) AND India VIX change on the prior day (%) ≤ -2.36 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

75%train hit (n=32) vs base 26% · lift 2.88

75%OOS hit (n=28) vs base 34% · lift 2.23

[57%–87%]OOS Wilson 95% CI

8.1e-05OOS BH q (all) · family BH q 4.9e-05 · Holm 0.008

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 2.1e-08; train BH q 3.3e-06; train Holm 0.191 (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	2	50%	28%	1.81
2023	16	81%	26%	3.15
2024	14	71%	25%	2.88
2025 (OOS)	15	80%	35%	2.28
2026 (OOS)	13	69%	32%	2.19

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)	32	53%	+20.9	+27.3	+668.9	+259.0	+1.8
OOS 2025–26	28	57%	+36.1	+46.5	+1010.6	+323.3	+2.2

equity curve

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