R0710: 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 ≤ +0.46% (≈+114 pts at 25,000) AND 1-min ADX(14) ≤ 33.1 AND 1-min ATR(14) as % of price > 0.0285 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

75%train hit (n=40) vs base 18% · lift 4.22

56%OOS hit (n=25) vs base 16% · lift 3.61

[37%–73%]OOS Wilson 95% CI

4.2e-05OOS BH q (all) · family BH q 2.5e-05 · Holm 0.003

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 7.9e-15; train BH q 7.6e-12; train Holm 7.3e-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	12	75%	19%	3.93
2023	15	87%	20%	4.31
2024	13	62%	14%	4.48
2025 (OOS)	16	44%	15%	2.95
2026 (OOS)	9	78%	16%	4.71

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)	40	72%	+18.6	+24.6	+742.3	+272.4	+2.0
OOS 2025–26	25	64%	+11.6	+20.9	+290.9	+229.5	+1.5

equity curve

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