R0522: 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 range so far (high−low since 09:15) > 0.93% (≈233 pts at 25,000) AND distance from TWAP in the move's direction > -0.04% (≈-11 pts at 25,000) at 10:15

Target: the day closes more than 50 pts beyond the open in the direction of the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: rulefit · Family: level / structure

90%train hit (n=52) vs base 52% · lift 1.74

77%OOS hit (n=26) vs base 57% · lift 1.34

[58%–89%]OOS Wilson 95% CI

0.078OOS BH q (all) · family BH q 0.048 · Holm 1.000

0.022OOS 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 5.8e-09; train BH q 1.1e-06; train Holm 0.054 (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	33	91%	61%	1.50
2023	7	86%	41%	2.08
2024	12	92%	54%	1.71
2025 (OOS)	15	80%	60%	1.34
2026 (OOS)	11	73%	55%	1.34

Spot-points backtest (estimated costs)

enter at 10:15 price in the move direction; 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	37%	-8.6	-2.8	-449.7	+1124.3	+0.8
OOS 2025–26	26	46%	-4.7	+5.1	-122.4	+529.4	+0.9

equity curve

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