R0651: 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 11:00 (either direction) > 0.70% (≈176 pts at 25,000) AND India VIX (prior day's close) ≤ 20.4 AND opening-range size > 0.48% (≈121 pts at 25,000) at 11:00

Target: the day closes more than 150 pts beyond the open in the direction of the move so far · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: level / structure

72%train hit (n=39) vs base 20% · lift 3.62

79%OOS hit (n=24) vs base 25% · lift 3.13

[60%–91%]OOS Wilson 95% CI

1.0e-06OOS BH q (all) · family BH q 6.1e-07 · Holm 4.5e-05

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 6.7e-12; train BH q 3.1e-09; train Holm 6.2e-05 (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	13	85%	25%	3.36
2023	7	57%	9%	6.09
2024	19	68%	25%	2.76
2025 (OOS)	15	80%	26%	3.05
2026 (OOS)	9	78%	24%	3.23

Spot-points backtest (estimated costs)

enter at 11:00 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)	39	56%	+24.1	+30.6	+938.1	+557.1	+1.7
OOS 2025–26	24	58%	+2.4	+12.4	+58.0	+436.3	+1.1

equity curve

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