R0558: 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 > -0.33% (≈-82 pts at 25,000) AND distance from TWAP in the move's direction > -0.01% (≈-3 pts at 25,000) AND 1-min ATR(14) as % of price > 0.0308 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

75%train hit (n=36) vs base 21% · lift 3.64

55%OOS hit (n=22) vs base 16% · lift 3.37

[35%–73%]OOS Wilson 95% CI

2.9e-04OOS BH q (all) · family BH q 1.8e-04 · Holm 0.035

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 7.5e-12; train BH q 3.4e-09; train Holm 6.9e-05 (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	8	88%	18%	4.87
2023	10	70%	18%	3.87
2024	18	72%	25%	2.87
2025 (OOS)	12	42%	18%	2.26
2026 (OOS)	10	70%	13%	5.25

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)	36	64%	-9.1	-2.6	-328.6	+353.3	+0.7
OOS 2025–26	22	50%	-13.6	-3.8	-299.5	+607.6	+0.6

equity curve

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