R0747: 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 position in today's range so far (0 = at low, 1 = at high) ≤ 0.396 AND distance from TWAP in the move's direction ≤ +0.08% (≈+19 pts at 25,000) AND India VIX change on the prior day (%) is positive at 13:00

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

81%train hit (n=36) vs base 52% · lift 1.54

73%OOS hit (n=30) vs base 52% · lift 1.40

[56%–86%]OOS Wilson 95% CI

0.044OOS BH q (all) · family BH q 0.999 · Holm 1.000

0.016OOS 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 8.3e-04; train BH q 0.018; 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	12	83%	56%	1.49
2023	11	73%	50%	1.47
2024	13	85%	51%	1.66
2025 (OOS)	16	81%	55%	1.47
2026 (OOS)	14	64%	49%	1.32

Spot-points backtest (estimated costs)

enter at 13:00 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)	36	72%	+21.5	+27.6	+773.3	+211.2	+2.5
OOS 2025–26	30	60%	+26.4	+36.6	+793.2	+228.3	+2.1

equity curve

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