R0402: WATCH

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) > 0.15% (≈36 pts at 25,000) AND 1-min ADX(14) > 51 AND 1-min Bollinger %B ≤ 0.906 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

76%train hit (n=41) vs base 32% · lift 2.34

61%OOS hit (n=28) vs base 40% · lift 1.52

[42%–76%]OOS Wilson 95% CI

0.054OOS BH q (all) · family BH q 0.034 · Holm 1.000

0.011OOS 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 3.3e-08; train BH q 4.9e-06; train Holm 0.306 (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	15	73%	36%	2.05
2023	17	76%	31%	2.46
2024	9	78%	30%	2.59
2025 (OOS)	12	58%	42%	1.40
2026 (OOS)	16	62%	38%	1.66

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)	41	49%	+13.9	+19.8	+571.9	+219.3	+1.4
OOS 2025–26	28	54%	-9.9	+1.0	-276.3	+627.4	+0.8

equity curve

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