R0905: 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 1-min ATR(14) as % of price > 0.0604 AND India VIX (prior day's close) > 12.8 AND size of the move from the open to 14:30 (either direction) > 0.61% (≈152 pts at 25,000) at 14:30

Target: the day closes more than 150 pts beyond the open in the direction of the move so far · Decision time: 14:30 IST (uses bars up to 14:30 only) · Method: rulefit · Family: level / structure

97%train hit (n=38) vs base 22% · lift 4.40

90%OOS hit (n=10) vs base 29% · lift 3.06

[60%–98%]OOS Wilson 95% CI

6.9e-04OOS BH q (all) · family BH q 4.2e-04 · Holm 0.097

5.0e-04OOS 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 3.4e-23; train BH q 2.0e-19; train Holm 3.1e-16 (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: True.

By year

year	rule days	hit	base (all days)	lift
2022	22	100%	28%	3.57
2023	2	100%	10%	9.80
2024	14	93%	28%	3.31
2025 (OOS)	4	75%	28%	2.70
2026 (OOS)	6	100%	31%	3.18

Spot-points backtest (estimated costs)

enter at 14:30 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)	38	58%	+7.2	+13.3	+274.2	+450.5	+1.3
OOS 2025–26	10	60%	+51.0	+60.1	+509.6	+105.2	+2.7

equity curve

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