R0585: 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 India VIX change on the prior day (%) ≤ -5.59 AND 1-min RSI(14) ≤ 53 at 11:00

Target: price at 13:00 is further in the move's direction than at 11:00 · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: tree · Family: direction (continuation / reversal)

20%train hit (n=41) vs base 53% · lift 0.37

25%OOS hit (n=20) vs base 53% · lift 0.48

[11%–47%]OOS Wilson 95% CI

0.033OOS BH q (all) · family BH q 0.923 · Holm 1.000

0.011OOS 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-05; train BH q 0.001; 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	15	33%	56%	0.60
2023	9	0%	50%	0.00
2024	17	18%	52%	0.34
2025 (OOS)	6	33%	55%	0.61
2026 (OOS)	14	21%	50%	0.43

Spot-points backtest (estimated costs)

enter at 11:00 price against 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)	41	76%	+16.5	+22.6	+674.8	+149.1	+2.2
OOS 2025–26	20	65%	+5.8	+18.2	+116.1	+171.2	+1.3

equity curve

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