R0907: 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 size of the move from the open to 14:30 (either direction) ≥ 0.76% (≈190 pts at 25,000) AND India VIX change on the prior day (%) ≥ 3.36 AND 1-min ATR(14) as % of price ≥ 0.0384 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: subgroup · Family: level / structure

97%train hit (n=32) vs base 22% · lift 4.38

82%OOS hit (n=11) vs base 29% · lift 2.78

[52%–95%]OOS Wilson 95% CI

0.002OOS BH q (all) · family BH q 0.001 · Holm 0.372

1.0e-03OOS 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 2.4e-19; train BH q 6.2e-16; train Holm 2.3e-12 (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	16	100%	28%	3.57
2023	5	80%	10%	7.84
2024	11	100%	28%	3.57
2025 (OOS)	6	67%	28%	2.40
2026 (OOS)	5	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)	32	62%	+19.2	+25.3	+614.2	+199.1	+2.0
OOS 2025–26	11	45%	-10.3	-0.5	-113.3	+314.4	+0.6

equity curve

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