R0411: 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 distance from TWAP in the move's direction > +0.05% (≈+11 pts at 25,000) AND size of the opening gap > 0.08% (≈19 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

80%train hit (n=40) vs base 24% · lift 3.37

65%OOS hit (n=20) vs base 20% · lift 3.30

[43%–82%]OOS Wilson 95% CI

1.1e-04OOS BH q (all) · family BH q 6.5e-05 · Holm 0.011

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 1.9e-13; train BH q 1.3e-10; train Holm 1.8e-06 (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	12	83%	20%	4.11
2023	15	80%	22%	3.57
2024	13	77%	28%	2.74
2025 (OOS)	13	54%	22%	2.45
2026 (OOS)	7	86%	17%	5.10

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)	40	75%	+13.7	+19.7	+549.5	+152.9	+1.7
OOS 2025–26	20	55%	-6.3	+3.7	-126.0	+437.7	+0.8

equity curve

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