R0139: 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 prior day's close-to-close return > -0.42% (≈-104 pts at 25,000) AND price vs prior-day low ≤ +0.24% (≈+61 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

81%train hit (n=42) vs base 30% · lift 2.66

69%OOS hit (n=32) vs base 29% · lift 2.35

[51%–82%]OOS Wilson 95% CI

4.5e-05OOS BH q (all) · family BH q 2.7e-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 3.8e-11; train BH q 1.4e-08; train Holm 3.5e-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: False.

By year

year	rule days	hit	base (all days)	lift
2022	6	67%	29%	2.27
2023	16	100%	30%	3.31
2024	20	70%	32%	2.21
2025 (OOS)	26	69%	32%	2.17
2026 (OOS)	6	67%	25%	2.69

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)	42	79%	+3.8	+10.1	+160.1	+302.7	+1.2
OOS 2025–26	32	62%	-7.8	+1.6	-249.7	+532.2	+0.7

equity curve

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