R0952: 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 range so far (high−low since 09:15) ≤ 0.68% (≈171 pts at 25,000) AND position in today's range so far (0 = at low, 1 = at high) ≥ 0.665 AND price is inside the prior-day range 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: subgroup · Family: level / structure

40%train hit (n=30) vs base 7% · lift 5.65

17%OOS hit (n=29) vs base 3% · lift 5.09

[8%–35%]OOS Wilson 95% CI

0.010OOS BH q (all) · family BH q 0.006 · Holm 1.000

0.026OOS 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 8.2e-07; train BH q 7.2e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.347 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	5	40%	7%	5.47
2023	13	31%	6%	5.64
2024	12	50%	8%	6.00
2025 (OOS)	17	18%	3%	5.65
2026 (OOS)	12	17%	4%	4.50

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	63%	+9.7	+15.8	+289.8	+138.0	+1.8
OOS 2025–26	29	34%	-3.3	+7.4	-95.5	+249.2	+0.8

equity curve

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