R0709: 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 low ≤ +0.25% (≈+61 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

77%train hit (n=30) vs base 18% · lift 4.31

65%OOS hit (n=20) vs base 16% · lift 4.19

[43%–82%]OOS Wilson 95% CI

1.1e-05OOS BH q (all) · family BH q 6.4e-06 · Holm 7.2e-04

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 6.1e-12; train BH q 2.8e-09; train Holm 5.6e-05 (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: None.

By year

year	rule days	hit	base (all days)	lift
2022	7	86%	19%	4.49
2023	15	67%	20%	3.31
2024	8	88%	14%	6.37
2025 (OOS)	15	60%	15%	4.04
2026 (OOS)	5	80%	16%	4.84

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)	30	77%	+10.4	+16.5	+311.9	+109.9	+2.3
OOS 2025–26	20	60%	-0.4	+9.3	-7.8	+283.2	+1.0

equity curve

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