R0572: 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 prior day's close-to-close return ≥ +0.25% (≈+62 pts at 25,000) AND India VIX change on the prior day (%) ≤ -1.33 AND price is above the prior-day high at 10:15

Target: price reaches the prior-day low after 10:15 (days not yet at PDL) · Decision time: 10:15 IST (uses bars up to 10:15 only) · Method: subgroup · Family: level / structure

0%train hit (n=80) vs base 21% · lift 0.00

5%OOS hit (n=38) vs base 18% · lift 0.29

[1%–17%]OOS Wilson 95% CI

0.059OOS BH q (all) · family BH q 0.036 · Holm 1.000

0.049OOS 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 1.1e-08; train BH q 1.9e-06; train Holm 0.098 (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: False.

By year

year	rule days	hit	base (all days)	lift
2022	36	0%	21%	0.00
2023	23	0%	21%	0.00
2024	21	0%	21%	0.00
2025 (OOS)	19	0%	18%	0.00
2026 (OOS)	19	10%	17%	0.61

Spot-points backtest (estimated costs)

n/a (lower-probability reach rule). 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)	0	–	–	–	–	–	–
OOS 2025–26	0	–	–	–	–	–	–

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