R0564: 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 low ≤ +0.42% (≈+104 pts at 25,000) AND 1-min ATR(14) as % of price > 0.0459 at 10:15

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

79%train hit (n=39) vs base 21% · lift 3.75

69%OOS hit (n=16) vs base 18% · lift 3.82

[44%–86%]OOS Wilson 95% CI

9.9e-05OOS BH q (all) · family BH q 6.0e-05 · Holm 0.010

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 2.5e-14; train BH q 2.1e-11; train Holm 2.3e-07 (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: True.

By year

year	rule days	hit	base (all days)	lift
2022	13	69%	21%	3.27
2023	5	100%	21%	4.76
2024	21	81%	21%	3.78
2025 (OOS)	11	64%	18%	3.44
2026 (OOS)	5	80%	17%	4.63

Spot-points backtest (estimated costs)

enter short at 10:15 price, take profit at PDL; 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)	39	72%	+10.8	+17.3	+419.6	+289.8	+1.4
OOS 2025–26	16	62%	+1.2	+10.5	+19.5	+199.6	+1.0

equity curve

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