R0126: 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 > -0.26% (≈-66 pts at 25,000) AND 1-min Bollinger %B > 0.0425 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

67%train hit (n=73) vs base 29% · lift 2.34

73%OOS hit (n=55) vs base 26% · lift 2.83

[60%–83%]OOS Wilson 95% CI

4.0e-11OOS BH q (all) · family BH q 2.4e-11 · Holm 4.0e-10

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-11; train BH q 9.3e-09; train Holm 2.2e-04 (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: True.

By year

year	rule days	hit	base (all days)	lift
2022	14	86%	24%	3.57
2023	30	53%	28%	1.89
2024	29	72%	33%	2.17
2025 (OOS)	32	72%	28%	2.58
2026 (OOS)	23	74%	23%	3.22

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)	73	60%	-13.3	-7.0	-973.8	+996.1	+0.5
OOS 2025–26	55	64%	-12.3	-1.7	-675.2	+793.3	+0.6

equity curve

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