R0885: 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 14:30 (either direction) ≤ 0.11% (≈26 pts at 25,000) AND 1-min ADX(14) > 22 AND prior-day range > 0.73% (≈181 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

30%train hit (n=33) vs base 87% · lift 0.35

62%OOS hit (n=21) vs base 91% · lift 0.68

[41%–79%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.296

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 1.4e-13; train BH q 9.6e-11; train Holm 1.3e-06 (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	12	17%	87%	0.19
2023	9	44%	87%	0.51
2024	12	33%	88%	0.38
2025 (OOS)	13	62%	92%	0.67
2026 (OOS)	8	62%	88%	0.71

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)	33	70%	+21.3	+27.5	+701.3	+75.5	+3.2
OOS 2025–26	21	33%	-10.3	-0.5	-215.8	+258.9	+0.7

equity curve

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