R0829: 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 > -0.37% (≈-92 pts at 25,000) AND 1-min RSI(14) > 52.7 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

63%train hit (n=30) vs base 12% · lift 5.15

26%OOS hit (n=19) vs base 6% · lift 4.26

[12%–49%]OOS Wilson 95% CI

0.016OOS BH q (all) · family BH q 0.010 · Holm 1.000

0.007OOS 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 1.4e-10; train BH q 4.5e-08; train Holm 0.001 (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	71%	12%	6.14
2023	11	64%	10%	6.15
2024	12	58%	15%	3.96
2025 (OOS)	10	20%	5%	3.74
2026 (OOS)	9	33%	7%	4.67

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)	30	70%	+10.3	+16.6	+310.0	+143.3	+2.0
OOS 2025–26	19	42%	-23.2	-12.4	-440.7	+440.7	+0.3

equity curve

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