R0770: 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 13:00 (either direction) > 0.78% (≈194 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0724 AND opening-range size ≤ 0.78% (≈195 pts at 25,000) at 13:00

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: rulefit · Family: level / structure

96%train hit (n=78) vs base 36% · lift 2.66

87%OOS hit (n=39) vs base 45% · lift 1.92

[73%–94%]OOS Wilson 95% CI

1.3e-06OOS BH q (all) · family BH q 7.8e-07 · Holm 6.1e-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 3.2e-29; train BH q 5.5e-25; train Holm 2.9e-22 (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	29	97%	40%	2.42
2023	14	100%	25%	3.94
2024	35	94%	43%	2.18
2025 (OOS)	21	95%	46%	2.09
2026 (OOS)	18	78%	45%	1.73

Spot-points backtest (estimated costs)

enter at 13:00 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)	78	56%	+11.6	+17.8	+903.7	+454.0	+1.4
OOS 2025–26	39	44%	-6.7	+3.7	-262.8	+706.2	+0.8

equity curve

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