R0960: 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 is below the CPR) AND price vs prior-day low ≤ +0.38% (≈+96 pts at 25,000) at 14:30

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

53%train hit (n=32) vs base 5% · lift 10.14

17%OOS hit (n=23) vs base 3% · lift 5.71

[7%–37%]OOS Wilson 95% CI

0.016OOS BH q (all) · family BH q 0.010 · Holm 1.000

0.069OOS 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 8.9e-14; train BH q 6.5e-11; train Holm 8.2e-07 (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	2	100%	4%	25.60
2023	18	50%	6%	7.65
2024	12	50%	5%	9.93
2025 (OOS)	15	20%	4%	4.60
2026 (OOS)	8	12%	1%	11.50

Spot-points backtest (estimated costs)

enter short at 14:30 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)	32	66%	+14.3	+20.4	+456.7	+116.4	+3.0
OOS 2025–26	23	39%	-10.4	-0.7	-238.5	+246.2	+0.5

equity curve

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