R0422: 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 low ≤ +0.36% (≈+90 pts at 25,000) AND position in today's range so far (0 = at low, 1 = at high) > 0.0624 AND distance from TWAP in the move's direction > +0.04% (≈+11 pts at 25,000) at 09:45

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

84%train hit (n=31) vs base 26% · lift 3.24

59%OOS hit (n=17) vs base 22% · lift 2.64

[36%–78%]OOS Wilson 95% CI

0.005OOS BH q (all) · family BH q 0.003 · Holm 0.898

0.007OOS 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 4.5e-11; train BH q 1.6e-08; train Holm 4.1e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	12	100%	26%	3.93
2023	12	83%	26%	3.22
2024	7	57%	26%	2.18
2025 (OOS)	13	62%	24%	2.60
2026 (OOS)	4	50%	20%	2.48

Spot-points backtest (estimated costs)

enter short at 09:45 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	84%	+10.6	+16.4	+329.7	+249.2	+1.7
OOS 2025–26	17	59%	-9.6	-0.1	-162.7	+349.2	+0.7

equity curve

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