R0136: 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 (it is Tuesday or it is Wednesday or it is Thursday or it is Friday) AND price vs prior-day low ≤ +0.28% (≈+70 pts at 25,000) AND CPR width > 0.04% (≈10 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

83%train hit (n=52) vs base 30% · lift 2.72

71%OOS hit (n=41) vs base 29% · lift 2.42

[56%–82%]OOS Wilson 95% CI

9.9e-07OOS BH q (all) · family BH q 6.0e-07 · Holm 4.4e-05

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-14; train BH q 1.6e-11; train Holm 1.7e-07 (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	7	71%	29%	2.44
2023	21	95%	30%	3.15
2024	24	75%	32%	2.37
2025 (OOS)	29	66%	32%	2.05
2026 (OOS)	12	83%	25%	3.36

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)	52	83%	+11.2	+17.5	+580.2	+142.3	+1.8
OOS 2025–26	41	63%	-10.9	-1.1	-446.1	+651.1	+0.7

equity curve

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