R0120: 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 price vs prior-day high > -0.16% (≈-41 pts at 25,000) AND gap measured in the direction of the move so far ≤ +0.35% (≈+87 pts at 25,000) at 09:20

Target: price reaches the prior-day high after 09:20 (days not yet at PDH) · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: rulefit · Family: level / structure

91%train hit (n=32) vs base 29% · lift 3.16

78%OOS hit (n=27) vs base 26% · lift 3.02

[59%–89%]OOS Wilson 95% CI

5.4e-07OOS BH q (all) · family BH q 3.3e-07 · Holm 2.1e-05

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 7.1e-13; train BH q 4.2e-10; train Holm 6.5e-06 (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	5	100%	24%	4.17
2023	13	85%	28%	2.99
2024	14	93%	33%	2.79
2025 (OOS)	15	80%	28%	2.87
2026 (OOS)	12	75%	23%	3.27

Spot-points backtest (estimated costs)

enter long at 09:20 price, take profit at PDH; 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)	32	81%	+6.3	+12.9	+203.2	+104.5	+1.7
OOS 2025–26	27	63%	-18.2	-7.6	-491.7	+505.6	+0.4

equity curve

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