R0399: 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) > 0.25% (≈62 pts at 25,000) AND 1-min RSI(14) > 50.3 AND price vs session TWAP (time-weighted VWAP) ≤ +0.17% (≈+43 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

78%train hit (n=68) vs base 32% · lift 2.41

64%OOS hit (n=56) vs base 40% · lift 1.61

[51%–76%]OOS Wilson 95% CI

0.001OOS BH q (all) · family BH q 6.2e-04 · Holm 0.151

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 3.0e-14; train BH q 2.5e-11; train Holm 2.8e-07 (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	29	83%	36%	2.31
2023	17	88%	31%	2.83
2024	22	64%	30%	2.12
2025 (OOS)	29	55%	42%	1.33
2026 (OOS)	27	74%	38%	1.97

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)	68	56%	+30.3	+36.3	+2061.2	+344.7	+2.1
OOS 2025–26	56	54%	+4.7	+15.5	+261.6	+465.6	+1.1

equity curve

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