Verdict
No edge found
Out-of-sample t-statistic 0.00. Volatility-shock momentum is the only recurring lead and stays a hypothesis.
- Out-of-sample t = 0.00 across the variants.
- Vol-shock momentum t about 1–1.5 (HYPOTHESIS, not a result).
Promotion gates
No gates published for this strategy.
Explain the strategy
Four more simple ideas on the same crude-oil contract: bounce back after a fall, trade the morning gap, follow sudden big moves, and look for a weekday pattern. None worked reliably.
Report
Rules and parameters
Rules
- Four families tested: mean reversion, opening gap, volatility shock, weekday effect.
- Same cost and risk rules as v1.
Parameters
- capital
- ₹1,00,000
- lot
- 1
- max loss per trade
- ₹600 all-in
- net target
- ≥ ₹1,200
- window
- 2023-03 to 2026-01
Instrument
MCX CRUDEOILM (10 bbl, ₹1 tick = ₹10) · capital ₹100,000
Known limitations
- Single instrument, about three years of continuous history.
- Costs (about ₹58 per round trip) are an estimate until reconciled with a contract note.
Logs and raw data
Downloads appear once a data window is loaded.
Files are plain CSV so results can be re-computed independently. Trade dates are IST sessions; returns are net of modelled costs and slippage.