R0828: 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 > -0.24% (≈-61 pts at 25,000) at 13:00

Target: price reaches the prior-day high after 13:00 (days not yet at PDH) · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: rulefit · Family: level / structure

65%train hit (n=31) vs base 12% · lift 5.25

42%OOS hit (n=19) vs base 6% · lift 6.82

[23%–64%]OOS Wilson 95% CI

7.9e-05OOS BH q (all) · family BH q 4.8e-05 · Holm 0.007

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 2.7e-11; train BH q 1.0e-08; train Holm 2.5e-04 (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	4	100%	12%	8.60
2023	10	50%	10%	4.83
2024	17	65%	15%	4.39
2025 (OOS)	12	42%	5%	7.80
2026 (OOS)	7	43%	7%	6.00

Spot-points backtest (estimated costs)

enter long at 13:00 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)	31	65%	+2.1	+8.6	+64.9	+185.9	+1.2
OOS 2025–26	19	42%	-17.2	-7.1	-327.5	+327.5	+0.4

equity curve

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