R0412: 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 > -0.38% (≈-95 pts at 25,000) AND India VIX (prior day's close) > 13.4 AND prior day's close-to-close return > -0.82% (≈-204 pts at 25,000) at 09:45

Target: price reaches the prior-day high after 09:45 (days not yet at PDH) · Decision time: 09:45 IST (uses bars up to 09:45 only) · Method: rulefit · Family: level / structure

79%train hit (n=52) vs base 24% · lift 3.32

56%OOS hit (n=18) vs base 20% · lift 2.82

[34%–75%]OOS Wilson 95% CI

0.003OOS BH q (all) · family BH q 0.002 · Holm 0.603

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 1.6e-16; train BH q 2.3e-13; train Holm 1.5e-09 (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	15	87%	20%	4.27
2023	9	78%	22%	3.47
2024	28	75%	28%	2.67
2025 (OOS)	13	46%	22%	2.10
2026 (OOS)	5	80%	17%	4.76

Spot-points backtest (estimated costs)

enter long at 09:45 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)	52	67%	+4.5	+11.0	+233.9	+262.2	+1.2
OOS 2025–26	18	56%	-21.3	-12.4	-383.4	+632.7	+0.5

equity curve

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