R0694: 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) ≤ 0.07% (≈19 pts at 25,000) AND India VIX change on the prior day (%) ≤ 8.54 AND position in today's range so far (0 = at low, 1 = at high) > 0.257 at 11:00

Target: price never trades back to the open after 11:00 · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: level / structure

2%train hit (n=107) vs base 47% · lift 0.04

8%OOS hit (n=52) vs base 52% · lift 0.15

[3%–18%]OOS Wilson 95% CI

5.2e-10OOS BH q (all) · family BH q 3.1e-10 · Holm 7.1e-09

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 5.4e-26; train BH q 5.6e-22; train Holm 5.0e-19 (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	18	6%	50%	0.11
2023	52	2%	42%	0.05
2024	37	0%	48%	0.00
2025 (OOS)	28	7%	58%	0.12
2026 (OOS)	24	8%	46%	0.18

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)	107	44%	-6.2	-0.0	-668.2	+717.4	+0.8
OOS 2025–26	52	50%	+2.5	+13.4	+131.9	+518.9	+1.1

equity curve

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