R0129: 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 ≤ -0.88% (≈-221 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) is negative AND India VIX change on the prior day (%) is positive 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: subgroup · Family: level / structure

0%train hit (n=82) vs base 29% · lift 0.00

0%OOS hit (n=47) vs base 26% · lift 0.00

[0%–8%]OOS Wilson 95% CI

1.1e-05OOS BH q (all) · family BH q 6.7e-06 · Holm 7.6e-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 1.8e-12; train BH q 9.6e-10; train Holm 1.7e-05 (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)
2022	38	0%	24%
2023	19	0%	28%
2024	25	0%	33%
2025 (OOS)	21	0%	28%
2026 (OOS)	26	0%	23%

Spot-points backtest (estimated costs)

n/a (lower-probability reach rule). 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)	0	–	–	–	–	–	–
OOS 2025–26	0	–	–	–	–	–	–

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