R0124: 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 > -0.63% (≈-157 pts at 25,000) AND 1-min ATR(14) as % of price ≤ 0.0683 AND 1-min EMA9 − EMA21 (as % of price) > +0.05% (≈+13 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

69%train hit (n=36) vs base 29% · lift 2.42

48%OOS hit (n=29) vs base 26% · lift 1.88

[31%–66%]OOS Wilson 95% CI

0.023OOS BH q (all) · family BH q 0.014 · Holm 1.000

0.016OOS 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 9.7e-07; train BH q 8.3e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.376 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	5	80%	24%	3.33
2023	16	69%	28%	2.43
2024	15	67%	33%	2.00
2025 (OOS)	21	52%	28%	1.88
2026 (OOS)	8	38%	23%	1.63

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)	36	64%	+3.6	+9.9	+129.9	+283.5	+1.1
OOS 2025–26	29	59%	-5.7	+4.0	-165.4	+297.0	+0.8

equity curve

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