R0557: 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 price vs prior-day high > -0.40% (≈-100 pts at 25,000) AND 1-min ATR(14) as % of price > 0.0306 AND price vs prior-day low ≤ +0.98% (≈+245 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

76%train hit (n=50) vs base 21% · lift 3.69

44%OOS hit (n=32) vs base 16% · lift 2.70

[28%–61%]OOS Wilson 95% CI

0.001OOS BH q (all) · family BH q 6.7e-04 · Holm 0.167

1.0e-03OOS 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 1.4e-16; train BH q 1.9e-13; train Holm 1.3e-09 (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	80%	18%	4.45
2023	13	77%	18%	4.25
2024	27	74%	25%	2.94
2025 (OOS)	18	39%	18%	2.11
2026 (OOS)	14	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)	50	74%	+6.5	+13.1	+326.3	+331.3	+1.3
OOS 2025–26	32	50%	-12.5	-2.2	-400.0	+673.9	+0.7

equity curve

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