R0132: 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 low ≤ +0.35% (≈+87 pts at 25,000) AND (it is Wednesday or it is Thursday or it is Friday) AND India VIX change on the prior day (%) ≤ -0.755 at 09:20

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

94%train hit (n=31) vs base 30% · lift 3.08

52%OOS hit (n=31) vs base 29% · lift 1.77

[35%–68%]OOS Wilson 95% CI

0.022OOS BH q (all) · family BH q 0.014 · Holm 1.000

0.012OOS 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 4.8e-13; train BH q 2.9e-10; train Holm 4.4e-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	3	100%	29%	3.41
2023	17	94%	30%	3.11
2024	11	91%	32%	2.88
2025 (OOS)	21	52%	32%	1.64
2026 (OOS)	10	50%	25%	2.02

Spot-points backtest (estimated costs)

enter short at 09:20 price, take profit at PDL; 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)	31	94%	+30.9	+37.1	+958.1	+76.6	+11.5
OOS 2025–26	31	52%	-8.5	+1.3	-264.8	+413.6	+0.7

equity curve

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