R0488: 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 size of the move from the open to 10:15 (either direction) ≤ 0.09% (≈23 pts at 25,000) AND (it is weekly-expiry day or expiry is 1 trading day away) AND position in today's range so far (0 = at low, 1 = at high) > 0.366 at 10:15

Target: the day closes on the same side of the open as the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: rulefit · Family: level / structure

22%train hit (n=49) vs base 69% · lift 0.33

47%OOS hit (n=30) vs base 71% · lift 0.65

[30%–64%]OOS Wilson 95% CI

0.013OOS BH q (all) · family BH q 0.008 · Holm 1.000

0.004OOS 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 5.7e-11; train BH q 2.0e-08; train Holm 5.3e-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	9	22%	73%	0.30
2023	20	15%	64%	0.23
2024	20	30%	69%	0.43
2025 (OOS)	20	45%	73%	0.62
2026 (OOS)	10	50%	69%	0.72

Spot-points backtest (estimated costs)

enter at 10:15 price against the move direction; 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)	49	71%	+42.6	+48.7	+2085.3	+305.8	+3.3
OOS 2025–26	30	50%	+8.7	+18.9	+261.5	+244.5	+1.3

equity curve

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