R0947: 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 size of the move from the open to 14:30 (either direction) > 0.00% (≈0 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

14%train hit (n=66) vs base 76% · lift 0.18

11%OOS hit (n=38) vs base 80% · lift 0.13

[4%–24%]OOS Wilson 95% CI

8.1e-17OOS BH q (all) · family BH q 4.9e-17 · Holm 8.1e-17

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 2.4e-26; train BH q 2.6e-22; train Holm 2.2e-19 (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	17	12%	77%	0.15
2023	25	16%	76%	0.21
2024	24	12%	75%	0.17
2025 (OOS)	20	15%	84%	0.18
2026 (OOS)	18	6%	74%	0.08

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%	+2.2	+8.2	+145.9	+212.2	+1.1
OOS 2025–26	38	37%	-13.7	-3.0	-519.8	+685.0	+0.5

equity curve

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