R0362: 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 1-min ADX(14) > 10.6 AND range so far (high−low since 09:15) > 0.90% (≈225 pts at 25,000) at 09:45

Target: the day closes more than 150 pts beyond the open in the direction of the move so far · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: rulefit · Family: level / structure

53%train hit (n=32) vs base 17% · lift 3.13

57%OOS hit (n=21) vs base 25% · lift 2.28

[37%–76%]OOS Wilson 95% CI

0.007OOS BH q (all) · family BH q 0.004 · Holm 1.000

0.003OOS 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 6.8e-06; train BH q 4.1e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.990 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	19	63%	23%	2.77
2023	4	50%	7%	6.78
2024	9	33%	21%	1.61
2025 (OOS)	9	67%	25%	2.67
2026 (OOS)	12	50%	25%	1.99

Spot-points backtest (estimated costs)

enter at 09:45 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	25%	-24.5	-18.5	-783.6	+1059.0	+0.6
OOS 2025–26	21	29%	-35.2	-25.5	-738.5	+801.0	+0.5

equity curve

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