R0937: 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) > 0.60% (≈151 pts at 25,000) AND distance from TWAP in the move's direction > -0.09% (≈-23 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) ≤ +0.06% (≈+16 pts at 25,000) at 14:30

Target: price never trades back to the open after 14:30 · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: rulefit · Family: level / structure

99%train hit (n=197) vs base 76% · lift 1.31

100%OOS hit (n=108) vs base 80% · lift 1.25

[97%–100%]OOS Wilson 95% CI

1.4e-09OOS BH q (all) · family BH q 8.7e-10 · Holm 2.3e-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 5.7e-22; train BH q 2.5e-18; train Holm 5.2e-15 (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	87	100%	77%	1.29
2023	41	100%	76%	1.32
2024	69	99%	75%	1.31
2025 (OOS)	60	100%	84%	1.19
2026 (OOS)	48	100%	74%	1.35

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)	197	45%	-3.9	+2.3	-761.1	+1611.0	+0.8
OOS 2025–26	108	38%	-6.9	+3.2	-746.6	+967.4	+0.7

equity curve

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