R0282: 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 distance from TWAP in the move's direction ≥ +0.06% (≈+16 pts at 25,000) AND price vs prior-day low ≤ +0.40% (≈+100 pts at 25,000) AND 1-min RSI(14) ≤ 48 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: subgroup · Family: level / structure

81%train hit (n=31) vs base 28% · lift 2.92

72%OOS hit (n=18) vs base 26% · lift 2.74

[49%–88%]OOS Wilson 95% CI

4.2e-04OOS BH q (all) · family BH q 2.5e-04 · Holm 0.053

0.001OOS 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 2.5e-09; train BH q 5.4e-07; train Holm 0.023 (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	12	83%	27%	3.11
2023	13	69%	27%	2.60
2024	6	100%	29%	3.40
2025 (OOS)	14	71%	29%	2.43
2026 (OOS)	4	75%	22%	3.48

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)	31	77%	+3.7	+9.5	+113.7	+232.1	+1.2
OOS 2025–26	18	78%	+4.2	+13.5	+75.4	+168.6	+1.2

equity curve

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