R0269: WATCH

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 > -0.35% (≈-87 pts at 25,000) AND move from the open to 09:30 ≤ -0.08% (≈-20 pts at 25,000) at 09:30

Target: price reaches the prior-day high after 09:30 (days not yet at PDH) · Decision time: 09:30 IST (uses bars up to 09:30 only) · Method: rulefit · Family: level / structure

68%train hit (n=31) vs base 26% · lift 2.63

53%OOS hit (n=15) vs base 23% · lift 2.27

[30%–75%]OOS Wilson 95% CI

0.034OOS BH q (all) · family BH q 0.021 · Holm 1.000

1.0e-03OOS 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 2.3e-06; train BH q 1.7e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.703 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)	lift
2022	4	75%	22%	3.42
2023	14	64%	25%	2.55
2024	13	69%	30%	2.31
2025 (OOS)	10	50%	27%	1.88
2026 (OOS)	5	60%	19%	3.10

Spot-points backtest (estimated costs)

enter long at 09:30 price, take profit at PDH; 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	61%	-2.6	+3.8	-80.6	+271.7	+0.9
OOS 2025–26	15	53%	-9.5	+0.6	-142.8	+257.4	+0.7

equity curve

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