R0424: 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 prior-day range ≤ 0.78% (≈196 pts at 25,000) AND CPR width ≤ 0.13% (≈33 pts at 25,000) AND 1-min EMA9 − EMA21 (as % of price) ≤ -0.01% (≈-3 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: subgroup · Family: level / structure

80%train hit (n=30) vs base 26% · lift 3.09

67%OOS hit (n=30) vs base 22% · lift 2.99

[49%–81%]OOS Wilson 95% CI

4.2e-06OOS BH q (all) · family BH q 2.5e-06 · Holm 2.3e-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 1.8e-09; train BH q 3.9e-07; train Holm 0.016 (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	6	67%	26%	2.62
2023	14	79%	26%	3.03
2024	10	90%	26%	3.43
2025 (OOS)	24	67%	24%	2.81
2026 (OOS)	6	67%	20%	3.30

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)	30	80%	+16.4	+22.4	+491.8	+133.3	+2.0
OOS 2025–26	30	63%	-0.6	+8.9	-18.7	+242.8	+1.0

equity curve

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