R0064: 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) ≥ +0.04% (≈+10 pts at 25,000) AND India VIX (prior day's close) ≥ 15.2 AND 1-min ATR(14) as % of price ≥ 0.0876 at 09:20

Target: the day closes more than 100 pts beyond the open in the direction of the move so far · Decision time: 09:20 IST (uses bars up to 09:20 only) · Method: subgroup · Family: level / structure

58%train hit (n=31) vs base 25% · lift 2.31

54%OOS hit (n=24) vs base 35% · lift 1.56

[35%–72%]OOS Wilson 95% CI

0.093OOS BH q (all) · family BH q 0.058 · Holm 1.000

0.019OOS 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-04; train BH q 0.006; 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	29	55%	30%	1.86
2023	0	–	18%	–
2024	2	100%	28%	3.57
2025 (OOS)	3	67%	36%	1.88
2026 (OOS)	21	52%	34%	1.56

Spot-points backtest (estimated costs)

enter at 09:20 price in the move direction; 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)	31	55%	+38.0	+43.4	+1178.3	+225.3	+2.2
OOS 2025–26	24	50%	+16.8	+29.5	+404.0	+434.6	+1.3

equity curve

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