R0007: 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 distance from TWAP in the move's direction ≥ +0.03% (≈+7 pts at 25,000) AND prior-day range ≥ 0.99% (≈247 pts at 25,000) AND India VIX change on the prior day (%) ≤ -1.33 at 09:20

Target: price at 13:00 is further in the move's direction than at 09:20 · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: subgroup · Family: direction (continuation / reversal)

73%train hit (n=45) vs base 46% · lift 1.61

73%OOS hit (n=22) vs base 51% · lift 1.42

[52%–87%]OOS Wilson 95% CI

0.083OOS BH q (all) · family BH q 0.999 · Holm 1.000

0.029OOS 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 3.0e-04; train BH q 0.008; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 1.000 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	23	65%	48%	1.36
2023	9	89%	44%	2.00
2024	13	77%	44%	1.74
2025 (OOS)	11	82%	52%	1.56
2026 (OOS)	11	64%	50%	1.28

Spot-points backtest (estimated costs)

enter at 09:20 price in the move direction; stop 0.4% of entry; exit at 13:00. 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)	45	58%	+45.4	+51.2	+2044.7	+336.6	+2.9
OOS 2025–26	22	59%	+25.4	+35.7	+558.1	+119.6	+2.3

equity curve

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