R0884: 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 size of the move from the open to 14:30 (either direction) ≤ 0.05% (≈12 pts at 25,000) AND price vs prior-day high ≤ +0.13% (≈+32 pts at 25,000) AND price vs prior-day low > +0.25% (≈+63 pts at 25,000) at 14:30

Target: the day closes on the same side of the open as the move so far · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: rulefit · Family: level / structure

28%train hit (n=32) vs base 87% · lift 0.32

56%OOS hit (n=18) vs base 91% · lift 0.61

[34%–75%]OOS Wilson 95% CI

6.3e-04OOS BH q (all) · family BH q 3.8e-04 · Holm 0.086

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 4.7e-14; train BH q 3.7e-11; train Holm 4.3e-07 (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	6	17%	87%	0.19
2023	12	25%	87%	0.29
2024	14	36%	88%	0.41
2025 (OOS)	11	46%	92%	0.49
2026 (OOS)	7	71%	88%	0.81

Spot-points backtest (estimated costs)

enter at 14:30 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)	32	72%	+26.1	+32.3	+834.1	+32.1	+6.3
OOS 2025–26	18	39%	-0.2	+9.3	-3.0	+150.8	+1.0

equity curve

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