R0396: 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 size of the move from the open to 09:45 (either direction) > 0.19% (≈48 pts at 25,000) AND move from the open to 09:45 > +0.33% (≈+83 pts at 25,000) AND range so far (high−low since 09:15) ≤ 0.67% (≈168 pts at 25,000) at 09:45

Target: price never trades back to the open after 09:45 · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: rulefit · Family: level / structure

84%train hit (n=38) vs base 32% · lift 2.60

67%OOS hit (n=27) vs base 40% · lift 1.67

[48%–81%]OOS Wilson 95% CI

0.015OOS BH q (all) · family BH q 0.009 · 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 1.2e-10; train BH q 3.8e-08; train Holm 0.001 (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	93%	36%	2.60
2023	10	90%	31%	2.89
2024	14	71%	30%	2.37
2025 (OOS)	15	60%	42%	1.44
2026 (OOS)	12	75%	38%	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)	38	63%	+35.2	+41.2	+1338.9	+249.4	+2.9
OOS 2025–26	27	56%	+0.6	+11.3	+15.9	+417.7	+1.0

equity curve

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