R0635: 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 11:00 (either direction) ≤ 0.13% (≈33 pts at 25,000) AND size of the opening gap ≤ 0.08% (≈19 pts at 25,000) at 11:00

Target: the day closes on the same side of the open as the move so far · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: level / structure

35%train hit (n=31) vs base 73% · lift 0.49

42%OOS hit (n=19) vs base 73% · lift 0.57

[23%–64%]OOS Wilson 95% CI

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

0.005OOS 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 3.3e-05; train BH q 0.001; 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: True.

By year

year	rule days	hit	base (all days)	lift
2022	1	0%	77%	0.00
2023	22	41%	68%	0.60
2024	8	25%	74%	0.34
2025 (OOS)	10	30%	78%	0.39
2026 (OOS)	9	56%	68%	0.82

Spot-points backtest (estimated costs)

enter at 11:00 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)	31	61%	+17.7	+23.9	+549.8	+197.5	+1.9
OOS 2025–26	19	63%	+26.3	+37.6	+499.3	+189.4	+2.1

equity curve

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