R0279: 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 ≤ +0.32% (≈+80 pts at 25,000) AND 1-min ADX(14) ≤ 35 AND 1-min EMA9 − EMA21 (as % of price) ≤ +0.02% (≈+4 pts at 25,000) at 09:30

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

85%train hit (n=52) vs base 28% · lift 3.06

73%OOS hit (n=30) vs base 26% · lift 2.78

[56%–86%]OOS Wilson 95% CI

2.0e-06OOS BH q (all) · family BH q 1.2e-06 · Holm 1.0e-04

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 3.2e-17; train BH q 5.3e-14; train Holm 3.0e-10 (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	11	82%	27%	3.05
2023	21	86%	27%	3.21
2024	20	85%	29%	2.89
2025 (OOS)	21	76%	29%	2.59
2026 (OOS)	9	67%	22%	3.09

Spot-points backtest (estimated costs)

enter short at 09:30 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	81%	+12.1	+18.5	+630.8	+136.7	+1.9
OOS 2025–26	30	80%	+4.4	+14.6	+133.5	+269.7	+1.2

equity curve

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