R0696: 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 high > -0.25% (≈-64 pts at 25,000) AND price vs prior-day low > +0.36% (≈+89 pts at 25,000) AND 1-min ADX(14) > 13.5 at 11:00

Target: price reaches the prior-day high after 11:00 (days not yet at PDH) · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: level / structure

87%train hit (n=30) vs base 19% · lift 4.61

60%OOS hit (n=15) vs base 11% · lift 5.32

[36%–80%]OOS Wilson 95% CI

7.4e-05OOS BH q (all) · family BH q 4.5e-05 · Holm 0.007

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 3.4e-15; train BH q 3.5e-12; train Holm 3.1e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	6	67%	16%	4.12
2023	12	92%	18%	5.06
2024	12	92%	22%	4.17
2025 (OOS)	5	80%	12%	6.64
2026 (OOS)	10	50%	10%	4.83

Spot-points backtest (estimated costs)

enter long at 11:00 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)	30	87%	+12.8	+19.3	+384.2	+104.5	+2.6
OOS 2025–26	15	60%	-14.0	-1.6	-210.7	+289.8	+0.6

equity curve

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