R0841: 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 low ≤ +0.39% (≈+99 pts at 25,000) AND (it is weekly-expiry day or expiry is 1 trading day away) at 13:00

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

63%train hit (n=30) vs base 10% · lift 6.36

61%OOS hit (n=18) vs base 8% · lift 7.43

[39%–80%]OOS Wilson 95% CI

5.2e-07OOS BH q (all) · family BH q 3.2e-07 · Holm 2.0e-05

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 3.4e-12; train BH q 1.7e-09; train Holm 3.1e-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: True.

By year

year	rule days	hit	base (all days)	lift
2022	11	64%	10%	6.23
2023	14	64%	11%	5.75
2024	5	60%	8%	7.20
2025 (OOS)	9	56%	8%	7.22
2026 (OOS)	9	67%	9%	7.41

Spot-points backtest (estimated costs)

enter short at 13:00 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	67%	+14.6	+20.4	+438.2	+148.8	+2.0
OOS 2025–26	18	67%	+3.1	+14.4	+56.4	+212.4	+1.2

equity curve

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