R0964: 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 session TWAP (time-weighted VWAP) ≤ -0.05% (≈-12 pts at 25,000) AND price vs prior-day high ≤ -0.57% (≈-142 pts at 25,000) AND price is below the CPR 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: subgroup · Family: level / structure

37%train hit (n=30) vs base 5% · lift 7.00

21%OOS hit (n=14) vs base 3% · lift 7.04

[8%–48%]OOS Wilson 95% CI

0.024OOS BH q (all) · family BH q 0.015 · Holm 1.000

0.050OOS 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 3.5e-07; train BH q 3.6e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.168 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	6	17%	4%	4.27
2023	12	50%	6%	7.65
2024	12	33%	5%	6.62
2025 (OOS)	7	29%	4%	6.57
2026 (OOS)	7	14%	1%	13.14

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)	30	53%	+4.7	+10.8	+140.6	+129.8	+1.3
OOS 2025–26	14	36%	-15.1	-5.9	-211.6	+315.5	+0.5

equity curve

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