R0887: 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) ≤ 0.06% (≈14 pts at 25,000) AND range so far (high−low since 09:15) > 0.52% (≈129 pts at 25,000) AND CPR width ≤ 0.43% (≈107 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

35%train hit (n=37) vs base 87% · lift 0.40

59%OOS hit (n=22) vs base 91% · lift 0.65

[39%–77%]OOS Wilson 95% CI

5.2e-04OOS BH q (all) · family BH q 3.2e-04 · Holm 0.070

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 4.5e-13; train BH q 2.8e-10; train Holm 4.1e-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	33%	87%	0.38
2023	12	42%	87%	0.48
2024	13	31%	88%	0.35
2025 (OOS)	13	54%	92%	0.58
2026 (OOS)	9	67%	88%	0.75

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)	37	65%	+19.4	+25.3	+716.1	+104.2	+2.4
OOS 2025–26	22	32%	-18.8	-9.0	-413.0	+538.3	+0.5

equity curve

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