R0664: 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) > 0.35% (≈87 pts at 25,000) AND opening gap vs prior close ≤ +0.27% (≈+68 pts at 25,000) AND 1-min RSI(14) ≤ 52.4 at 11:00

Target: the day closes more than 50 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

93%train hit (n=95) vs base 54% · lift 1.70

79%OOS hit (n=70) vs base 59% · lift 1.33

[68%–87%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.386

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 5.5e-16; train BH q 6.8e-13; train Holm 5.1e-09 (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	38	92%	61%	1.51
2023	24	96%	45%	2.12
2024	33	91%	57%	1.60
2025 (OOS)	36	86%	64%	1.35
2026 (OOS)	34	71%	53%	1.32

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)	95	58%	+22.1	+28.2	+2100.1	+369.3	+1.9
OOS 2025–26	70	41%	-7.9	+2.3	-553.9	+916.5	+0.8

equity curve

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