R0495: 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) > 0.54% (≈134 pts at 25,000) AND price vs prior-day low > +0.24% (≈+59 pts at 25,000) AND price vs prior-day low ≤ +2.65% (≈+661 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

80%train hit (n=41) vs base 33% · lift 2.44

60%OOS hit (n=25) vs base 38% · lift 1.57

[41%–77%]OOS Wilson 95% CI

0.058OOS BH q (all) · family BH q 0.036 · Holm 1.000

0.017OOS 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 1.1e-09; train BH q 2.6e-07; train Holm 0.010 (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: False.

By year

year	rule days	hit	base (all days)	lift
2022	18	83%	38%	2.20
2023	8	88%	24%	3.70
2024	15	73%	37%	1.96
2025 (OOS)	16	62%	39%	1.60
2026 (OOS)	9	56%	37%	1.49

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)	41	56%	+11.4	+17.4	+467.8	+314.8	+1.3
OOS 2025–26	25	36%	-27.3	-17.7	-683.1	+961.6	+0.5

equity curve

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