R0559: 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 > -0.28% (≈-70 pts at 25,000) AND prior-day range > 0.37% (≈92 pts at 25,000) AND India VIX change on the prior day (%) > -8.51 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

71%train hit (n=55) vs base 21% · lift 3.45

62%OOS hit (n=32) vs base 16% · lift 3.86

[45%–77%]OOS Wilson 95% CI

1.4e-07OOS BH q (all) · family BH q 8.7e-08 · Holm 4.3e-06

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 2.8e-15; train BH q 3.0e-12; train Holm 2.6e-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	21	52%	18%	2.89
2024	24	79%	25%	3.15
2025 (OOS)	22	59%	18%	3.21
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)	55	65%	-4.6	+1.8	-250.4	+525.3	+0.8
OOS 2025–26	32	53%	-14.0	-4.3	-446.6	+546.0	+0.5

equity curve

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