R0840: 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 price vs prior-day low ≤ +0.39% (≈+98 pts at 25,000) AND India VIX change on the prior day (%) > -2.97 AND size of the move from the open to 13:00 (either direction) > 0.10% (≈24 pts at 25,000) at 13:00

Target: price reaches the prior-day low after 13:00 (days not yet at PDL) · Decision time: 13:00 IST (uses bars up to 13:00 only) · Method: rulefit · Family: level / structure

65%train hit (n=40) vs base 10% · lift 6.53

39%OOS hit (n=18) vs base 8% · lift 4.72

[20%–61%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.279

0.003OOS 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 1.0e-16; train BH q 1.5e-13; train Holm 9.3e-10 (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	8	88%	10%	8.56
2023	23	56%	11%	5.06
2024	9	67%	8%	8.00
2025 (OOS)	12	25%	8%	3.25
2026 (OOS)	6	67%	9%	7.41

Spot-points backtest (estimated costs)

enter short at 13:00 price, take profit at PDL; 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)	40	70%	+19.9	+25.9	+797.9	+109.8	+3.3
OOS 2025–26	18	39%	-20.2	-9.7	-363.6	+450.4	+0.4

equity curve

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