R0957: 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 ≤ +0.35% (≈+88 pts at 25,000) AND price vs session TWAP (time-weighted VWAP) is negative 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

0%train hit (n=169) vs base 7% · lift 0.00

0%OOS hit (n=125) vs base 3% · lift 0.00

[0%–3%]OOS Wilson 95% CI

0.038OOS BH q (all) · family BH q 0.023 · Holm 1.000

0.095OOS 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 8.1e-06; train BH q 4.7e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.990 (100 permutations). Extra conditions beat the best single condition OOS: False.

By year

year	rule days	hit	base (all days)
2022	50	0%	7%
2023	62	0%	6%
2024	57	0%	8%
2025 (OOS)	69	0%	3%
2026 (OOS)	56	0%	4%

Spot-points backtest (estimated costs)

n/a (lower-probability reach rule). 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)	0	–	–	–	–	–	–
OOS 2025–26	0	–	–	–	–	–	–

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