R0954: 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 1-min EMA9 − EMA21 (as % of price) is positive AND price is above the opening-range high AND price is above the CPR 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

38%train hit (n=32) vs base 7% · lift 5.29

25%OOS hit (n=16) vs base 3% · lift 7.38

[10%–49%]OOS Wilson 95% CI

0.007OOS BH q (all) · family BH q 0.004 · Holm 1.000

0.020OOS 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 1.9e-06; train BH q 1.4e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.644 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	11	36%	7%	4.97
2023	6	33%	6%	6.11
2024	15	40%	8%	4.80
2025 (OOS)	8	25%	3%	8.00
2026 (OOS)	8	25%	4%	6.75

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)	32	56%	-8.6	-2.2	-274.4	+447.1	+0.7
OOS 2025–26	16	44%	-4.7	+6.2	-74.8	+242.8	+0.8

equity curve

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