R0554: 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 > -0.31% (≈-76 pts at 25,000) AND range so far (high−low since 09:15) > 0.32% (≈79 pts at 25,000) AND CPR width > 0.08% (≈19 pts at 25,000) at 10:15

Target: price reaches the prior-day high after 10:15 (days not yet at PDH) · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: rulefit · Family: level / structure

85%train hit (n=34) vs base 21% · lift 4.14

54%OOS hit (n=13) vs base 16% · lift 3.33

[29%–77%]OOS Wilson 95% CI

0.008OOS BH q (all) · family BH q 0.005 · Holm 1.000

0.010OOS 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 2.3e-15; train BH q 2.5e-12; train Holm 2.1e-08 (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	10	90%	18%	5.00
2023	14	86%	18%	4.73
2024	10	80%	25%	3.18
2025 (OOS)	9	56%	18%	3.02
2026 (OOS)	4	50%	13%	3.75

Spot-points backtest (estimated costs)

enter long at 10:15 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)	34	74%	+4.4	+10.5	+148.3	+185.3	+1.2
OOS 2025–26	13	54%	-20.1	-10.2	-261.5	+312.5	+0.5

equity curve

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