R0948: 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 > -0.31% (≈-76 pts at 25,000) AND size of the opening gap ≤ 0.29% (≈72 pts at 25,000) at 14:30

Target: price reaches the prior-day high after 14:30 (days not yet at PDH) · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: rulefit · Family: level / structure

47%train hit (n=30) vs base 7% · lift 6.59

27%OOS hit (n=15) vs base 3% · lift 7.87

[11%–52%]OOS Wilson 95% CI

0.005OOS BH q (all) · family BH q 0.003 · Holm 0.977

0.010OOS 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 7.8e-09; train BH q 1.4e-06; train Holm 0.072 (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	4	100%	7%	13.67
2023	13	31%	6%	5.64
2024	13	46%	8%	5.54
2025 (OOS)	8	38%	3%	12.00
2026 (OOS)	7	14%	4%	3.86

Spot-points backtest (estimated costs)

enter long at 14:30 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	57%	-0.3	+6.1	-7.7	+324.4	+1.0
OOS 2025–26	15	40%	-8.1	+3.0	-122.2	+204.8	+0.4

equity curve

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