Verdict
No candidates
None of 264 configurations passed the reality-check and stability gates.
- 264 configs, 0 candidates after the data-snooping correction.
- Re-run on 2026-10-18 on the MCX bhavcopy front-month series (2023-03-03 to 2026-01-27, same 264 configurations): again 0 candidates; the best, a volatility-shock momentum rule, has 21 trades and p = 0.993.
- Per-contract EOD data banked; MCX bhavcopy history (2023-04 onward) now loaded for a longer re-test.
Promotion gates
No gates published for this strategy.
Explain the strategy
We tried 264 different simple rules on end-of-day crude-oil futures prices. After correcting for the fact that testing many rules will always throw up a few lucky ones, none stood out.
Report
Rules and parameters
Rules
- Grid of momentum, reversion and volatility rules on end-of-day bars.
- White-style reality check plus sub-period stability.
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.