R0697: 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 > -0.28% (≈-70 pts at 25,000) AND move from the open to 11:00 > -0.03% (≈-7 pts at 25,000) AND prior-day range ≤ 1.14% (≈285 pts at 25,000) 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

82%train hit (n=38) vs base 19% · lift 4.34

50%OOS hit (n=16) vs base 11% · lift 4.43

[28%–72%]OOS Wilson 95% CI

8.1e-04OOS BH q (all) · family BH q 4.9e-04 · Holm 0.116

0.001OOS 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 2.0e-16; train BH q 2.7e-13; train Holm 1.8e-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	7	86%	16%	5.30
2023	17	76%	18%	4.22
2024	14	86%	22%	3.90
2025 (OOS)	10	60%	12%	4.98
2026 (OOS)	6	33%	10%	3.22

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)	38	76%	+3.7	+9.9	+140.2	+118.9	+1.2
OOS 2025–26	16	62%	-9.6	+1.3	-154.2	+185.3	+0.7

equity curve

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