R0701: 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 opening gap ≤ 0.43% (≈108 pts at 25,000) AND (price is above the CPR) AND 1-min ADX(14) > 14.1 at 11:00

Target: price reaches the prior-day high after 11:00 (days not yet at PDH) · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: level / structure

66%train hit (n=62) vs base 19% · lift 3.52

29%OOS hit (n=31) vs base 11% · lift 2.57

[16%–47%]OOS Wilson 95% CI

0.019OOS BH q (all) · family BH q 0.011 · Holm 1.000

0.017OOS 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 9.3e-16; train BH q 1.1e-12; train Holm 8.6e-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: False.

By year

year	rule days	hit	base (all days)	lift
2022	13	77%	16%	4.76
2023	22	59%	18%	3.26
2024	27	67%	22%	3.03
2025 (OOS)	18	33%	12%	2.76
2026 (OOS)	13	23%	10%	2.23

Spot-points backtest (estimated costs)

enter long at 11:00 price, take profit at PDH; 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)	62	65%	+4.7	+11.1	+292.3	+464.3	+1.2
OOS 2025–26	31	48%	-23.2	-12.5	-719.2	+730.9	+0.4

equity curve

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