R0441: 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 prior day's close-to-close return ≤ -1.34% (≈-336 pts at 25,000) AND size of the opening gap > 0.04% (≈10 pts at 25,000) AND gap measured in the direction of the move so far ≤ +1.03% (≈+257 pts at 25,000) at 10:15

Target: price at 13:00 is further in the move's direction than at 10:15 · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: rulefit · Family: direction (continuation / reversal)

16%train hit (n=31) vs base 51% · lift 0.31

29%OOS hit (n=21) vs base 50% · lift 0.57

[14%–50%]OOS Wilson 95% CI

0.088OOS BH q (all) · family BH q 0.999 · Holm 1.000

0.039OOS 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 1.0e-04; train BH q 0.004; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	18	17%	55%	0.30
2023	5	40%	48%	0.84
2024	8	0%	52%	0.00
2025 (OOS)	5	0%	52%	0.00
2026 (OOS)	16	38%	48%	0.78

Spot-points backtest (estimated costs)

enter at 10:15 price against the move direction; stop 0.4% of entry; exit at 13:00. 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)	31	58%	+23.1	+29.0	+716.4	+214.7	+1.8
OOS 2025–26	21	48%	-4.6	+5.6	-97.6	+410.3	+0.9

equity curve

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