R0702: 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 (%) is negative AND the move from the open is UP AND price is above the CPR at 11:00

Target: price reaches the prior-day high after 11:00 (days not yet at PDH) · Decision time: 11:00 IST (uses bars up to 11:00 only) · Method: subgroup · Family: level / structure

65%train hit (n=31) vs base 19% · lift 3.43

35%OOS hit (n=17) vs base 11% · lift 3.13

[17%–59%]OOS Wilson 95% CI

0.025OOS BH q (all) · family BH q 0.015 · Holm 1.000

0.044OOS 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 6.0e-08; train BH q 8.0e-06; train Holm 0.549 (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	9	67%	16%	4.12
2023	10	70%	18%	3.87
2024	12	58%	22%	2.65
2025 (OOS)	10	50%	12%	4.15
2026 (OOS)	7	14%	10%	1.38

Spot-points backtest (estimated costs)

enter long at 11:00 price, take profit at PDH; 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	61%	-9.6	-3.3	-297.5	+396.7	+0.7
OOS 2025–26	17	59%	-13.6	-2.4	-231.0	+247.3	+0.6

equity curve

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