R0830: 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 high > -0.37% (≈-92 pts at 25,000) AND price vs session TWAP (time-weighted VWAP) > -0.03% (≈-6 pts at 25,000) AND 1-min Bollinger %B ≤ 0.948 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

60%train hit (n=42) vs base 12% · lift 4.84

38%OOS hit (n=29) vs base 6% · lift 6.14

[23%–56%]OOS Wilson 95% CI

8.8e-06OOS BH q (all) · family BH q 5.3e-06 · Holm 5.5e-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 1.1e-12; train BH q 6.0e-10; train Holm 9.8e-06 (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	9	89%	12%	7.64
2023	15	47%	10%	4.51
2024	18	56%	15%	3.77
2025 (OOS)	18	33%	5%	6.24
2026 (OOS)	11	46%	7%	6.36

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)	42	64%	+6.6	+12.8	+275.9	+235.7	+1.5
OOS 2025–26	29	48%	-11.7	-1.5	-338.9	+338.9	+0.6

equity curve

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