R0421: 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 low ≤ +0.32% (≈+81 pts at 25,000) AND size of the move from the open to 09:45 (either direction) > 0.04% (≈10 pts at 25,000) AND size of the opening gap > 0.16% (≈41 pts at 25,000) at 09:45

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

84%train hit (n=32) vs base 26% · lift 3.26

74%OOS hit (n=23) vs base 22% · lift 3.31

[54%–87%]OOS Wilson 95% CI

3.5e-06OOS BH q (all) · family BH q 2.1e-06 · Holm 1.9e-04

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 1.4e-11; train BH q 5.7e-09; train Holm 1.3e-04 (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	11	91%	26%	3.57
2023	13	77%	26%	2.97
2024	8	88%	26%	3.33
2025 (OOS)	16	81%	24%	3.43
2026 (OOS)	7	57%	20%	2.83

Spot-points backtest (estimated costs)

enter short at 09:45 price, take profit at PDL; 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	84%	+13.4	+19.2	+428.7	+126.0	+2.2
OOS 2025–26	23	65%	+3.3	+13.3	+75.6	+224.5	+1.2

equity curve

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