R0683: 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 (prior day's close) > 11.1 AND India VIX (prior day's close) ≤ 11.6 AND 1-min Bollinger %B > -0.0801 at 11:00

Target: the best favourable excursion after 11:00 (in the move's direction, to close) exceeds the worst adverse excursion · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: rulefit · Family: direction (continuation / reversal)

22%train hit (n=51) vs base 54% · lift 0.40

34%OOS hit (n=38) vs base 50% · lift 0.68

[21%–50%]OOS Wilson 95% CI

0.086OOS BH q (all) · family BH q 0.999 · Holm 1.000

0.025OOS 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 5.9e-06; train BH q 3.6e-04; train Holm 1.000 (corrections over all 9,242,869 hypotheses); whole-pipeline shuffled-label placebo family-wise p 0.950 (100 permutations). Extra conditions beat the best single condition OOS: True.

By year

year	rule days	hit	base (all days)	lift
2022	0	–	56%	–
2023	45	20%	51%	0.39
2024	6	33%	54%	0.62
2025 (OOS)	19	32%	53%	0.59
2026 (OOS)	19	37%	46%	0.80

Spot-points backtest (estimated costs)

enter at 11:00 price against 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)	51	69%	+32.0	+37.7	+1631.0	+204.3	+3.5
OOS 2025–26	38	55%	+17.1	+28.0	+650.3	+230.5	+1.7

equity curve

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