R0945: 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) ≤ 0.08% (≈20 pts at 25,000) AND opening-range size > 0.31% (≈78 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

9%train hit (n=66) vs base 76% · lift 0.12

19%OOS hit (n=42) vs base 80% · lift 0.24

[10%–33%]OOS Wilson 95% CI

2.2e-14OOS BH q (all) · family BH q 1.3e-14 · Holm 5.4e-14

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-30; train BH q 3.5e-26; train Holm 1.6e-23 (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	23	13%	77%	0.17
2023	21	5%	76%	0.06
2024	22	9%	75%	0.12
2025 (OOS)	27	26%	84%	0.31
2026 (OOS)	15	7%	74%	0.09

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)	66	48%	+1.6	+7.6	+103.8	+327.4	+1.1
OOS 2025–26	42	33%	-16.5	-6.6	-692.2	+786.0	+0.5

equity curve

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