We've mentioned this one before but the tale is somewhat different ... from NST:

The oldest historical reference to rakhi goes back to 300BC when Alexander the Great invaded India. It is said that he was shaken by the fury of the Indian king Puru (Porus in the Greek annals) in the battle. Upset by this, Alexander's wife, who had heard of the Rakhi festival, approached King Puru. Puru accepted her as his sister and when the battle resumed, he refrained from killing Alexander.


By the time of the battle of the Hydapses, of course, Alexander's wife was Roxane ... still haven't been able to track down anything like this in a source, though ...