R0886: 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) ≤ 0.10% (≈25 pts at 25,000) AND 1-min ADX(14) > 24.3 AND price vs prior-day low > -0.12% (≈-30 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

33%train hit (n=36) vs base 87% · lift 0.38

61%OOS hit (n=28) vs base 91% · lift 0.67

[42%–76%]OOS Wilson 95% CI

1.7e-04OOS BH q (all) · family BH q 1.0e-04 · Holm 0.019

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 1.8e-13; train BH q 1.2e-10; train Holm 1.7e-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	11	36%	87%	0.42
2023	14	36%	87%	0.41
2024	11	27%	88%	0.31
2025 (OOS)	17	59%	92%	0.64
2026 (OOS)	11	64%	88%	0.72

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)	36	69%	+19.0	+25.1	+685.8	+154.6	+3.0
OOS 2025–26	28	36%	-8.6	+1.7	-239.9	+283.1	+0.7

equity curve

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