R0425: 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) > 0.02% (≈5 pts at 25,000) AND opening gap vs prior close > +0.07% (≈+18 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

79%train hit (n=39) vs base 26% · lift 3.07

62%OOS hit (n=29) vs base 22% · lift 2.78

[44%–77%]OOS Wilson 95% CI

4.8e-05OOS BH q (all) · family BH q 2.9e-05 · Holm 0.004

0.001OOS 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 7.8e-12; train BH q 3.5e-09; train Holm 7.2e-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	10	100%	26%	3.93
2023	17	82%	26%	3.18
2024	12	58%	26%	2.22
2025 (OOS)	25	64%	24%	2.70
2026 (OOS)	4	50%	20%	2.48

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)	39	79%	+12.5	+18.5	+486.6	+246.5	+2.1
OOS 2025–26	29	59%	-4.9	+4.0	-142.9	+531.6	+0.8

equity curve

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