R0708: 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 is below the CPR or price is inside the CPR) AND prior-day range ≤ 1.30% (≈326 pts at 25,000) AND size of the move from the open to 11:00 (either direction) > 0.31% (≈77 pts at 25,000) at 11:00

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

79%train hit (n=33) vs base 18% · lift 4.43

40%OOS hit (n=20) vs base 16% · lift 2.58

[22%–61%]OOS Wilson 95% CI

0.022OOS BH q (all) · family BH q 0.014 · Holm 1.000

0.074OOS 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 7.1e-14; train BH q 5.4e-11; train Holm 6.6e-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: False.

By year

year	rule days	hit	base (all days)	lift
2022	16	81%	19%	4.26
2023	10	70%	20%	3.48
2024	7	86%	14%	6.24
2025 (OOS)	12	42%	15%	2.81
2026 (OOS)	8	38%	16%	2.27

Spot-points backtest (estimated costs)

enter short at 11:00 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)	33	79%	+32.6	+38.3	+1075.7	+225.5	+3.7
OOS 2025–26	20	50%	-2.6	+7.3	-52.4	+293.5	+0.9

equity curve

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