R0493: 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 size of the move from the open to 10:15 (either direction) > 0.67% (≈167 pts at 25,000) AND 1-min RSI(14) > 29.1 AND prior-day range ≤ 1.56% (≈390 pts at 25,000) at 10:15

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: rulefit · Family: level / structure

84%train hit (n=31) vs base 33% · lift 2.54

79%OOS hit (n=19) vs base 38% · lift 2.06

[57%–91%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.283

1.0e-03OOS 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 1.5e-08; train BH q 2.5e-06; train Holm 0.137 (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	14	86%	38%	2.27
2023	6	67%	24%	2.82
2024	11	91%	37%	2.43
2025 (OOS)	14	86%	39%	2.19
2026 (OOS)	5	60%	37%	1.61

Spot-points backtest (estimated costs)

enter at 10:15 price in 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)	31	52%	+43.4	+49.8	+1345.7	+369.5	+2.3
OOS 2025–26	19	47%	+9.1	+18.5	+173.0	+305.7	+1.2

equity curve

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