R0556: 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 prior day's close-to-close return ≤ +1.85% (≈+461 pts at 25,000) AND India VIX (prior day's close) > 13.6 AND price vs prior-day high > -0.31% (≈-77 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

82%train hit (n=33) vs base 21% · lift 3.98

50%OOS hit (n=14) vs base 16% · lift 3.09

[27%–73%]OOS Wilson 95% CI

0.012OOS BH q (all) · family BH q 0.007 · Holm 1.000

0.008OOS 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 1.7e-13; train BH q 1.2e-10; train Holm 1.6e-06 (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	11	82%	18%	4.55
2023	6	83%	18%	4.60
2024	16	81%	25%	3.23
2025 (OOS)	9	33%	18%	1.81
2026 (OOS)	5	80%	13%	6.00

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)	33	70%	+0.5	+7.0	+15.1	+285.9	+1.0
OOS 2025–26	14	50%	-30.9	-21.2	-433.2	+593.8	+0.3

equity curve

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