R0944: 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) ≤ 0.04% (≈11 pts at 25,000) AND opening-range size > 0.27% (≈68 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

0%train hit (n=39) vs base 76% · lift 0.00

14%OOS hit (n=29) vs base 80% · lift 0.17

[5%–31%]OOS Wilson 95% CI

6.5e-12OOS BH q (all) · family BH q 4.0e-12 · Holm 4.5e-11

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 1.1e-24; train BH q 9.1e-21; train Holm 1.0e-17 (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	10	0%	77%	0.00
2023	15	0%	76%	0.00
2024	14	0%	75%	0.00
2025 (OOS)	17	18%	84%	0.21
2026 (OOS)	12	8%	74%	0.11

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)	39	54%	+4.6	+10.6	+178.6	+151.7	+1.3
OOS 2025–26	29	38%	-13.5	-3.3	-390.6	+515.9	+0.6

equity curve

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