R0505: 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) > 0.63% (≈158 pts at 25,000) AND India VIX (prior day's close) ≤ 21 AND distance from TWAP in the move's direction > +0.15% (≈+38 pts at 25,000) at 10:15

Target: the day closes more than 150 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

67%train hit (n=36) vs base 19% · lift 3.56

65%OOS hit (n=20) vs base 25% · lift 2.57

[43%–82%]OOS Wilson 95% CI

0.001OOS BH q (all) · family BH q 6.5e-04 · Holm 0.163

5.0e-04OOS 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 8.1e-10; train BH q 2.0e-07; train Holm 0.007 (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	13	62%	25%	2.48
2023	7	29%	8%	3.50
2024	16	88%	23%	3.78
2025 (OOS)	14	64%	25%	2.61
2026 (OOS)	6	67%	26%	2.55

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)	36	53%	+18.1	+24.4	+652.4	+508.0	+1.5
OOS 2025–26	20	30%	-40.5	-30.8	-810.6	+984.3	+0.4

equity curve

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