R0780: 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) > 0.95% (≈237 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) > -0.04% (≈-11 pts at 25,000) at 13:00

Target: the day closes more than 150 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

100%train hit (n=42) vs base 21% · lift 4.84

93%OOS hit (n=27) vs base 28% · lift 3.30

[77%–98%]OOS Wilson 95% CI

2.3e-10OOS BH q (all) · family BH q 1.4e-10 · Holm 2.8e-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 3.6e-29; train BH q 6.1e-25; train Holm 3.3e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	20	100%	26%	3.90
2023	4	100%	10%	10.17
2024	18	100%	26%	3.77
2025 (OOS)	16	88%	27%	3.29
2026 (OOS)	11	100%	30%	3.35

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)	42	57%	+21.1	+27.3	+885.8	+334.2	+1.7
OOS 2025–26	27	59%	+27.4	+36.4	+739.0	+393.6	+1.8

equity curve

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