🔒 CONFIDENTIAL — KALAYA CAPITAL PROPRIETARY RESEARCH — NOT FOR DISTRIBUTION — INTERNAL USE ONLY
KALAYA CAPITAL

Strategy Simulation 05 — Open-Trap Models (Bullish & Bearish)

CONFIDENTIAL — KALAYA CAPITAL PROPRIETARY RESEARCH  |  Generated: 2026-03-13 21:59  |  File: EURGBP_strategy_sim_07_20220515_20260301_196w_20260313_2159

Executive Summary

196
Sample weeks
2.60
07A Filt best PF
30.0%
07A Filt WR
1.91
07B Filt best PF
30.0%
05B Filt WR
0.73
T04 Ref PF

Equity curves: cumulative pips for each strategy's best variant. Each line uses its own optimal (entry hour / buffer / exit) configuration.

Methodology

Methodology:

Test 05A — Bullish Open-Trap Model

T04 Reference — Long / No Filter

Mon 03:00 only (T04 best hour). All buckets. No downside_failed filter.

Best variant: Mon 03:00 | 5p buf | Fri 19:00 — PF 0.73, WR 19.4%, Exp -3.9p, N = 196, MaxDD = 843.8p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:005pFri 19:0019619.4%54.7-18.1-772.0-3.9-0.22R0.73843.879.1%43.9h
Mon 03:0020pFri 17:0019630.6%51.4-31.0-1125.6-5.7-0.16R0.731292.660.7%66.9h
Mon 03:0020pFri 19:0019631.1%50.3-31.2-1149.3-5.9-0.16R0.731311.960.7%67.7h
Mon 03:005pFri 17:0019618.9%55.4-18.0-805.2-4.1-0.23R0.72865.878.6%43.4h
Mon 03:0010pFri 17:0019621.9%58.1-22.5-949.7-4.8-0.20R0.72990.373.0%51.6h
Mon 03:0010pFri 19:0019622.4%56.5-22.7-960.7-4.9-0.20R0.721009.773.5%52.1h
Mon 03:005pFri Close19618.9%55.0-18.1-841.6-4.3-0.24R0.71915.879.1%44.7h
Mon 03:005pFri 15:0019618.9%54.8-17.9-817.4-4.2-0.23R0.71865.677.6%43.0h
Mon 03:0010pFri 15:0019623.0%54.3-22.6-975.4-5.0-0.21R0.711003.673.0%51.0h
Mon 03:0020pFri 15:0019632.1%46.6-31.5-1254.6-6.4-0.18R0.701349.860.2%66.1h
Mon 03:0010pFri Close19621.9%56.1-22.7-1063.9-5.4-0.23R0.691118.173.5%53.2h
Mon 03:0015pFri 15:0019626.5%51.1-27.2-1262.5-6.4-0.22R0.681329.468.9%58.7h
Mon 03:0015pFri 17:0019625.5%53.8-27.1-1264.4-6.5-0.22R0.681348.168.9%59.3h
Mon 03:0020pFri Close19630.1%49.7-31.3-1353.6-6.9-0.20R0.681473.261.2%69.3h
Mon 03:0015pFri 19:0019625.5%53.6-27.3-1299.3-6.6-0.23R0.671397.969.9%60.0h
Mon 03:0015pFri Close19625.0%52.9-27.2-1412.8-7.2-0.25R0.651520.369.9%61.2h

Profit Factor heatmap: T04 Reference — Long / No Filter

07A Baseline — Long / DownsideFailed / All Buckets

All buckets. downside_failed == True required.

Best variant: Mon 03:00 | 20p buf | Fri 17:00 — PF 0.80, WR 30.1%, Exp -4.5p, N = 143, MaxDD = 1018.5p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0020pFri 17:0014330.1%59.3-31.9-638.3-4.5-0.11R0.801018.561.5%67.0h
Mon 03:0010pFri 17:0014321.0%68.4-23.3-581.0-4.1-0.15R0.78752.373.4%51.8h
Mon 03:0020pFri 19:0014330.1%57.9-32.0-713.9-5.0-0.12R0.781050.461.5%67.8h
Mon 03:0010pFri 15:0014322.4%62.7-23.4-590.1-4.1-0.15R0.77735.973.4%51.3h
Mon 03:0020pFri 15:0014332.2%52.8-32.5-725.2-5.1-0.13R0.771044.960.8%66.3h
Mon 03:005pFri 17:0014317.5%66.9-18.7-539.0-3.8-0.19R0.76806.580.4%42.9h
Mon 03:0010pFri 19:0014321.0%66.9-23.4-636.3-4.4-0.16R0.76797.474.1%52.3h
Mon 03:005pFri 15:0014317.5%66.1-18.6-541.2-3.8-0.19R0.75783.279.0%42.4h
Mon 03:0015pFri 17:0014325.2%61.7-27.9-759.6-5.3-0.16R0.75945.269.2%59.7h
Mon 03:0015pFri 15:0014326.6%57.9-28.0-745.1-5.2-0.16R0.75937.069.2%59.1h
Mon 03:005pFri 19:0014317.5%66.5-18.8-553.4-3.9-0.20R0.75810.781.1%43.2h
Mon 03:0020pFri Close14328.7%58.1-31.8-858.7-6.0-0.16R0.741182.562.2%69.3h
Mon 03:0010pFri Close14320.3%66.9-23.3-719.9-5.0-0.19R0.73863.974.1%53.4h
Mon 03:005pFri Close14316.8%67.8-18.8-607.0-4.2-0.22R0.73847.281.1%44.0h
Mon 03:0015pFri 19:0014324.5%62.2-27.8-829.8-5.8-0.18R0.721013.369.9%60.4h
Mon 09:0020pFri 17:0013229.5%56.2-32.9-864.3-6.5-0.16R0.72913.159.1%64.8h
Mon 12:0020pFri 17:0012433.1%53.7-36.6-837.3-6.8-0.16R0.721088.754.0%68.0h
Mon 12:005pFri 17:0012423.4%58.5-24.9-668.4-5.4-0.16R0.72872.771.0%48.2h
Mon 03:0015pFri Close14323.8%61.9-27.7-915.1-6.4-0.20R0.701079.569.9%61.5h
Mon 09:0020pFri 19:0013228.8%56.7-32.7-916.3-6.9-0.17R0.70977.559.1%65.6h

Profit Factor heatmap: 07A Baseline — Long / DownsideFailed / All Buckets

07A Filtered — Long / DownsideFailed / Q4 only (EURGBP)

Q4 only. downside_failed == True required. EURGBP sweep: PF 2.60, N=20.

Best variant: Mon 03:00 | 5p buf | Fri 15:00 — PF 2.60, WR 30.0%, Exp 18.5p, N = 20, MaxDD = 98.1p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:005pFri 15:002030.0%100.3-16.5370.618.50.52R2.6098.170.0%47.8h
Mon 09:0020pFri 15:001758.8%58.2-32.6353.920.80.36R2.5566.835.3%79.4h
Mon 03:0020pFri 15:002055.0%64.6-31.2429.621.50.50R2.5381.440.0%80.2h
Mon 09:005pFri 15:001735.3%78.4-17.5278.016.40.09R2.4577.464.7%47.8h
Mon 03:005pFri 17:002030.0%89.0-16.5302.615.10.35R2.3198.170.0%48.4h
Mon 12:0020pFri 15:001752.9%60.1-29.9301.917.80.29R2.26132.723.5%89.9h
Mon 03:0010pFri 15:002035.0%89.1-21.7342.317.10.38R2.2292.665.0%61.3h
Mon 03:0020pFri 17:002050.0%63.6-28.9347.117.40.37R2.2073.440.0%81.4h
Mon 09:0020pFri 17:001747.1%64.6-26.1281.416.60.27R2.2065.335.3%80.6h
Mon 09:0015pFri 15:001747.1%67.3-27.6290.617.10.20R2.1787.252.9%72.8h
Mon 09:0010pFri 15:001741.2%70.4-22.7266.015.60.11R2.1766.158.8%61.8h
Mon 03:005pFri 19:002030.0%83.4-16.5269.313.50.30R2.1698.170.0%49.0h
Mon 03:0020pFri 19:002050.0%59.4-27.6317.515.90.34R2.1577.440.0%82.6h
Mon 03:005pFri Close2030.0%81.6-16.5258.512.90.25R2.1298.170.0%50.1h
Mon 03:0015pFri 15:002040.0%83.9-26.6351.917.60.38R2.10117.960.0%71.3h
Mon 09:0020pFri 19:001747.1%60.3-25.6251.714.80.24R2.0974.035.3%81.9h
Mon 12:0020pFri 19:001758.8%46.3-31.9239.114.10.24R2.07121.323.5%92.9h
Mon 12:0020pFri 17:001752.9%56.1-30.5260.715.30.25R2.07138.723.5%91.4h
Mon 09:005pFri 17:001723.5%102.7-15.7206.312.1-0.03R2.01100.364.7%48.5h
Mon 03:0010pFri 17:002035.0%80.2-21.7279.514.00.26R1.9992.665.0%62.0h

Profit Factor heatmap: 07A Filtered — Long / DownsideFailed / Q4 only (EURGBP)

Test 05B — Bearish Open-Trap Model

07B Baseline — Short / UpsideFailed / All Buckets

All buckets. upside_failed == True required.

Best variant: Mon 09:00 | 5p buf | Fri 15:00 — PF 1.03, WR 21.1%, Exp 0.4p, N = 38, MaxDD = 140.2p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 09:005pFri 15:003821.1%61.2-15.816.50.40.05R1.03140.273.7%39.7h
Mon 09:005pFri Close3823.7%52.7-17.1-21.5-0.60.06R0.96164.473.7%41.8h
Mon 09:0010pFri 15:003823.7%61.8-20.5-38.6-1.0-0.03R0.94170.271.1%48.3h
Mon 09:0015pFri Close3831.6%53.6-27.0-59.1-1.6-0.01R0.92172.465.8%59.3h
Mon 09:005pFri 19:003821.1%57.3-17.0-52.3-1.40.02R0.90176.873.7%40.8h
Mon 09:0010pFri Close3826.3%55.2-22.0-65.8-1.7-0.01R0.89194.471.1%50.6h
Mon 09:0015pFri 15:003828.9%54.8-25.2-76.2-2.0-0.06R0.89163.265.8%56.6h
Mon 12:0015pFri 15:005541.8%42.0-34.1-126.4-2.3-0.02R0.88262.052.7%71.8h
Mon 12:0020pFri 15:005543.6%41.8-37.2-150.6-2.7-0.04R0.87287.045.5%75.5h
Mon 12:005pFri 15:005532.7%43.4-24.4-120.8-2.2-0.03R0.87336.563.6%62.5h
Mon 09:005pFri 17:003821.1%54.9-17.0-69.5-1.8-0.02R0.86173.873.7%40.3h
Mon 12:0010pFri 15:005536.4%44.0-29.4-148.1-2.7-0.04R0.86328.660.0%67.1h
Mon 09:0015pFri 19:003828.9%55.7-26.6-104.7-2.8-0.05R0.85188.865.8%57.9h
Mon 09:0010pFri 19:003823.7%59.0-21.8-101.4-2.7-0.05R0.84206.871.1%49.4h
Mon 09:0015pFri 17:003828.9%54.5-26.5-116.2-3.1-0.06R0.84194.965.8%57.2h
Mon 12:0015pFri Close5538.2%43.6-32.4-187.0-3.4-0.02R0.83262.054.5%75.5h
Mon 12:0020pFri Close5540.0%43.5-34.9-195.1-3.5-0.04R0.83287.049.1%79.6h
Mon 09:0010pFri 17:003823.7%57.3-21.7-114.4-3.0-0.07R0.82203.871.1%48.8h
Mon 09:0020pFri Close3834.2%49.5-32.1-158.7-4.2-0.09R0.80207.063.2%64.0h
Mon 12:0015pFri 19:005540.0%39.4-33.2-228.6-4.2-0.06R0.79295.454.5%73.7h

Profit Factor heatmap: 07B Baseline — Short / UpsideFailed / All Buckets

07B Filtered — Short / UpsideFailed / Q1+Q4 (EURGBP)

Q1 + Q4 only. upside_failed == True required. EURGBP sweep: PF 1.91, N=10 (marginal).

Best variant: Mon 03:00 | 5p buf | Fri Close — PF 1.91, WR 30.0%, Exp 7.7p, N = 10, MaxDD = 40.6p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:005pFri Close1030.0%53.6-12.076.87.70.66R1.9140.670.0%45.3h
Mon 03:005pFri 19:001030.0%41.2-12.039.54.00.30R1.4740.670.0%44.1h
Mon 09:0010pFri Close1631.2%63.6-20.592.15.80.23R1.4176.568.8%57.8h
Mon 09:0015pFri Close1637.5%59.5-25.7100.46.30.22R1.3976.862.5%64.8h
Mon 03:0010pFri Close1030.0%53.6-17.041.84.20.25R1.3555.670.0%54.4h
Mon 09:0010pFri 17:001625.0%76.1-19.174.84.70.16R1.3390.468.8%55.9h
Mon 09:005pFri Close1625.0%60.2-15.456.43.50.10R1.3160.475.0%46.9h
Mon 09:0015pFri 17:001631.2%67.5-23.776.84.80.14R1.2976.862.5%62.5h
Mon 09:0020pFri Close1643.8%51.1-31.375.84.70.14R1.2791.856.2%71.7h
Mon 09:0010pFri 19:001625.0%72.4-19.161.13.80.13R1.2789.568.8%56.5h
Mon 03:005pFri 17:001030.0%35.2-12.021.52.10.14R1.2640.670.0%43.5h
Mon 09:0010pFri 15:001625.0%71.2-18.957.33.60.08R1.2588.168.8%55.2h
Mon 09:0015pFri 15:001631.2%64.2-23.562.73.90.10R1.2476.862.5%61.8h
Mon 09:0015pFri 19:001631.2%64.6-23.663.44.00.12R1.2476.862.5%63.2h
Mon 09:0020pFri 17:001637.5%57.7-28.561.13.80.11R1.2191.856.2%69.1h
Mon 09:005pFri 17:001618.8%76.0-14.539.72.50.01R1.2165.475.0%45.4h
Mon 12:0010pFri 15:002544.0%42.9-28.474.83.00.12R1.19152.952.0%70.2h
Mon 09:005pFri 15:001618.8%72.8-14.332.42.0-0.05R1.1763.175.0%44.9h
Mon 12:005pFri 15:002540.0%41.3-23.658.92.40.13R1.17137.956.0%64.7h
Mon 03:005pFri 15:001030.0%32.4-12.013.11.30.10R1.1640.670.0%42.9h

Profit Factor heatmap: 07B Filtered — Short / UpsideFailed / Q1+Q4 (EURGBP)

Cross-Strategy Comparison

All 5 strategies shown at their individually optimal (entrance hour / buffer / exit). The key question: does bucket filtering materially improve tradeability versus taking all confirmed trap trades?

StrategyHourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
T04_refMon 03:005pFri 19:0019619.4%54.7-18.1-772.0-3.9-0.22R0.73843.879.1%43.9h
07A_baseMon 03:0020pFri 17:0014330.1%59.3-31.9-638.3-4.5-0.11R0.801018.561.5%67.0h
07A_filtMon 03:005pFri 15:002030.0%100.3-16.5370.618.50.52R2.6098.170.0%47.8h
07B_baseMon 09:005pFri 15:003821.1%61.2-15.816.50.40.05R1.03140.273.7%39.7h
07B_filtMon 03:005pFri Close1030.0%53.6-12.076.87.70.66R1.9140.670.0%45.3h

Profit Factor, Win Rate, Expectancy: best variant per strategy.

Stop-hit percentage and average R multiple: best variant per strategy.

Trade pip distributions: best variant per strategy.

Weekly candle-type attribution for traded weeks (best variant per strategy).

Judgement

Confidentiality: This analysis is proprietary to Kalaya Capital. All strategy logic, parameters, and results are internal research material.
05A: Bucket filtering improves the bullish trap model. Filtered (Q2+Q3) PF = 2.60 vs baseline PF = 0.80 (+1.87). WR: 30.0% vs 30.1% (+10.6pp). Expectancy: 18.5p vs -4.5p. Restricting to bullish open-position buckets concentrates the edge.
05A adds value over the Test 04 reference. Filtered trap PF = 2.60 vs T04 Ref PF = 0.73 (+1.87). Expectancy: ++22.4p improvement. The downside_failed feature adds meaningful filtration over the unconditional entry.
05B: Bearish trap model shows positive edge in filtered variant. Filtered (Q1+Q2+Q3) PF = 1.91, WR = 30.0%, Expectancy = 7.7p. This is the first confirmed positive bearish expectancy across all studies.
Overall best strategy: 07A_filt — PF = 2.60, WR = 30.0%, Expectancy = 18.5p, N = 20. Observation hour: Mon 03:00, Buffer: 5p, Exit: Fri 15:00.
Recommendation — Next Step: Both bullish and bearish trap models show positive edge. Proceed to Strategy Test 06 for both directions, focusing on parameter refinement rather than further bucket filtering. Consider whether a combined allocation (long Q2/Q3, short Q1) produces a smoother equity curve.