R0519: 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 size of the move from the open to 10:15 (either direction) ≥ 0.43% (≈108 pts at 25,000) AND India VIX change on the prior day (%) ≥ 0.773 AND price has already touched the prior-day low at 10:15

Target: the day closes more than 50 pts beyond the open in the direction of the move so far · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

92%train hit (n=39) vs base 52% · lift 1.78

81%OOS hit (n=21) vs base 57% · lift 1.41

[60%–92%]OOS Wilson 95% CI

0.056OOS BH q (all) · family BH q 0.035 · Holm 1.000

0.021OOS 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 1.2e-07; train BH q 1.4e-05; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.030 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	21	95%	61%	1.57
2023	6	83%	41%	2.02
2024	12	92%	54%	1.71
2025 (OOS)	11	91%	60%	1.52
2026 (OOS)	10	70%	55%	1.29

Spot-points backtest (estimated costs)

enter at 10:15 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)	39	36%	-15.7	-9.6	-611.6	+1086.3	+0.6
OOS 2025–26	21	33%	-13.8	-4.2	-290.5	+778.7	+0.8

equity curve

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