R0122: 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 > -0.39% (≈-98 pts at 25,000) AND CPR width > 0.09% (≈23 pts at 25,000) AND CPR width ≤ 0.30% (≈75 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

72%train hit (n=71) vs base 29% · lift 2.50

58%OOS hit (n=55) vs base 26% · lift 2.26

[45%–70%]OOS Wilson 95% CI

5.4e-06OOS BH q (all) · family BH q 3.3e-06 · Holm 3.2e-04

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 1.4e-13; train BH q 9.6e-11; train Holm 1.3e-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	16	69%	24%	2.86
2023	35	69%	28%	2.43
2024	20	80%	33%	2.40
2025 (OOS)	35	63%	28%	2.25
2026 (OOS)	20	50%	23%	2.18

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)	71	66%	+3.9	+9.8	+275.3	+481.3	+1.2
OOS 2025–26	55	53%	-22.7	-12.4	-1248.2	+1370.1	+0.5

equity curve

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