R0134: 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 ≤ +0.41% (≈+103 pts at 25,000) AND size of the move from the open to 09:20 (either direction) > 0.10% (≈26 pts at 25,000) AND price vs session TWAP (time-weighted VWAP) > -0.01% (≈-3 pts at 25,000) 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: rulefit · Family: level / structure

89%train hit (n=37) vs base 30% · lift 2.93

75%OOS hit (n=24) vs base 29% · lift 2.57

[55%–88%]OOS Wilson 95% CI

4.7e-05OOS BH q (all) · family BH q 2.8e-05 · Holm 0.004

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 2.9e-13; train BH q 1.9e-10; train Holm 2.6e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	3	100%	29%	3.41
2023	19	84%	30%	2.78
2024	15	93%	32%	2.95
2025 (OOS)	18	67%	32%	2.09
2026 (OOS)	6	100%	25%	4.03

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)	37	86%	+27.8	+34.2	+1028.0	+104.9	+4.1
OOS 2025–26	24	62%	+3.3	+12.7	+78.0	+304.4	+1.1

equity curve

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