R0408: 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 price vs prior-day high > -0.38% (≈-95 pts at 25,000) AND move from the open to 09:45 > +0.12% (≈+30 pts at 25,000) at 09:45

Target: price reaches the prior-day high after 09:45 (days not yet at PDH) · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: rulefit · Family: level / structure

84%train hit (n=32) vs base 24% · lift 3.56

78%OOS hit (n=23) vs base 20% · lift 3.97

[58%–90%]OOS Wilson 95% CI

8.7e-08OOS BH q (all) · family BH q 5.3e-08 · Holm 2.3e-06

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 1.5e-12; train BH q 8.0e-10; train Holm 1.4e-05 (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	9	100%	20%	4.93
2023	12	83%	22%	3.72
2024	11	73%	28%	2.59
2025 (OOS)	16	81%	22%	3.69
2026 (OOS)	7	71%	17%	4.25

Spot-points backtest (estimated costs)

enter long at 09:45 price, take profit at PDH; 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	72%	+2.0	+8.2	+64.9	+212.4	+1.1
OOS 2025–26	23	65%	+2.5	+12.5	+56.9	+194.3	+1.1

equity curve

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