R0912: 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) > 0.61% (≈153 pts at 25,000) AND CPR width > 0.05% (≈11 pts at 25,000) at 14:30

Target: the day closes more than 50 pts beyond the open in the direction of the move so far · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: rulefit · Family: level / structure

100%train hit (n=176) vs base 65% · lift 1.53

97%OOS hit (n=98) vs base 72% · lift 1.35

[91%–99%]OOS Wilson 95% CI

5.3e-09OOS BH q (all) · family BH q 3.2e-09 · Holm 9.5e-08

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 4.8e-33; train BH q 1.5e-28; train Holm 4.5e-26 (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	78	100%	71%	1.41
2023	37	100%	57%	1.76
2024	61	100%	68%	1.46
2025 (OOS)	52	98%	75%	1.31
2026 (OOS)	46	96%	69%	1.39

Spot-points backtest (estimated costs)

enter at 14:30 price in 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)	176	47%	-1.1	+5.1	-186.6	+1111.0	+1.0
OOS 2025–26	98	41%	-3.5	+6.6	-338.3	+782.5	+0.9

equity curve

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