R0801: 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) ≤ 0.08% (≈20 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0369 AND position in today's range so far (0 = at low, 1 = at high) ≤ 0.814 at 13:00

Target: the day closes more than 50 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

6%train hit (n=72) vs base 60% · lift 0.09

25%OOS hit (n=51) vs base 67% · lift 0.38

[16%–39%]OOS Wilson 95% CI

8.7e-08OOS BH q (all) · family BH q 5.3e-08 · Holm 2.4e-06

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 2.4e-22; train BH q 1.2e-18; train Holm 2.2e-15 (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	15	0%	64%	0.00
2023	32	6%	52%	0.12
2024	25	8%	64%	0.12
2025 (OOS)	28	21%	69%	0.31
2026 (OOS)	23	30%	63%	0.48

Spot-points backtest (estimated costs)

enter at 13:00 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)	72	62%	+15.8	+22.0	+1138.5	+129.6	+2.4
OOS 2025–26	51	47%	-4.8	+6.2	-246.1	+568.6	+0.8

equity curve

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