FOLD-RM is an explainable machine learning classification algorithm that uses training data to create a set of classification rules. In this paper, we introduce CON-FOLD which extends FOLD-RM in several ways. CON-FOLD assigns probability-based confidence scores to rules learned for a classification task. This allows users to know how confident they should be in a prediction made by the model. We present a confidence-based pruning algorithm that uses the unique structure of FOLD-RM rules to efficiently prune rules and prevent overfitting. Furthermore, CON-FOLD enables the user to provide preexisting knowledge in the form of logic program rules that are either (fixed) background knowledge or (modifiable) initial rule candidates. The paper describes our method in detail and reports on practical experiments. We demonstrate the performance of the algorithm on benchmark datasets from the UCI Machine Learning Repository. For that, we introduce a new metric, Inverse Brier Score, to evaluate the accuracy of the produced confidence scores. Finally, we apply this extension to a real-world example that requires explainability: marking of student responses to a short answer question from the Australian Physics Olympiad.