R0825: WATCH

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 prior day's close-to-close return > +0.24% (≈+59 pts at 25,000) AND size of the opening gap ≤ 0.62% (≈154 pts at 25,000) AND size of the move from the open to 13:00 (either direction) ≤ 0.06% (≈15 pts at 25,000) at 13:00

Target: price never trades back to the open after 13:00 · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: rulefit · Family: level / structure

0%train hit (n=30) vs base 61% · lift 0.00

25%OOS hit (n=16) vs base 67% · lift 0.37

[10%–49%]OOS Wilson 95% CI

0.003OOS BH q (all) · family BH q 0.002 · Holm 0.578

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 1.1e-12; train BH q 6.2e-10; train Holm 1.0e-05 (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	7	0%	61%	0.00
2023	12	0%	60%	0.00
2024	11	0%	61%	0.00
2025 (OOS)	10	30%	72%	0.42
2026 (OOS)	6	17%	60%	0.28

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)	30	50%	+6.8	+13.0	+204.0	+227.2	+1.4
OOS 2025–26	16	38%	-6.1	+3.9	-97.7	+511.3	+0.9

equity curve

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