🔒 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 21:10  |  File: GBPUSD_strategy_sim_06_20220515_20260301_195w_20260313_2110

Executive Summary

195
Sample weeks
2.94
06A Filt best PF
44.0%
06A Filt WR
1.63
06B Filt best PF
32.0%
05B Filt WR
1.00
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 | 10p buf | Fri Close — PF 1.00, WR 16.4%, Exp -0.1p, N = 195, MaxDD = 961.7p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0010pFri Close19516.4%150.1-29.5-12.0-0.1-0.03R1.00961.783.1%38.1h
Mon 03:0020pFri Close19522.1%140.3-39.7-4.9-0.0-0.02R1.001247.177.4%49.0h
Mon 03:0020pFri 19:0019522.1%135.7-39.7-200.8-1.0-0.04R0.971320.077.4%48.1h
Mon 03:0010pFri 19:0019516.4%145.2-29.5-163.1-0.8-0.06R0.97988.383.1%37.4h
Mon 03:0010pFri 17:0019516.9%139.4-29.7-211.9-1.1-0.08R0.96913.483.1%37.0h
Mon 03:0020pFri 17:0019522.6%130.2-40.0-304.5-1.6-0.06R0.951291.877.4%47.6h
Mon 03:005pFri Close19514.4%137.6-24.8-281.4-1.4-0.06R0.931355.185.6%31.6h
Mon 03:0010pFri 15:0019517.4%130.0-29.8-375.7-1.9-0.11R0.92921.382.6%36.7h
Mon 03:0020pFri 15:0019523.1%122.2-40.1-511.2-2.6-0.09R0.911226.376.9%47.2h
Mon 03:005pFri 19:0019514.4%132.8-24.8-416.9-2.1-0.10R0.901364.485.6%31.0h
Mon 03:0015pFri Close19517.9%140.5-34.5-603.3-3.1-0.14R0.891211.481.5%42.8h
Mon 03:005pFri 17:0019514.4%129.9-24.8-497.7-2.6-0.16R0.881312.785.6%30.7h
Mon 03:0015pFri 19:0019517.9%136.3-34.5-746.8-3.8-0.16R0.861240.081.5%42.0h
Mon 03:0015pFri 17:0019518.5%131.0-34.7-803.3-4.1-0.17R0.851170.381.5%41.7h
Mon 03:005pFri 15:0019514.9%118.6-24.9-684.9-3.5-0.19R0.831366.785.1%30.4h
Mon 03:0015pFri 15:0019519.0%122.0-34.8-985.2-5.1-0.20R0.821191.181.0%41.3h

Profit Factor heatmap: T04 Reference — Long / No Filter

06A Baseline — Long / DownsideFailed / All Buckets

All buckets. downside_failed == True required.

Best variant: Mon 03:00 | 10p buf | Fri Close — PF 1.23, WR 19.0%, Exp 5.8p, N = 116, MaxDD = 507.7p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0010pFri Close11619.0%162.2-30.8671.05.80.05R1.23507.780.2%43.2h
Mon 03:0010pFri 19:0011619.0%156.6-30.8551.94.80.04R1.19510.280.2%42.4h
Mon 03:0010pFri 17:0011619.8%148.6-31.1524.54.50.04R1.18426.980.2%42.0h
Mon 03:0010pFri 15:0011620.7%137.5-31.3421.03.60.02R1.15392.579.3%41.6h
Mon 03:005pFri Close11617.2%144.2-26.3363.03.10.02R1.14524.782.8%37.2h
Mon 09:005pFri Close12021.7%144.3-35.5412.43.40.03R1.12610.478.3%41.9h
Mon 03:005pFri 19:0011617.2%139.8-26.3273.72.40.01R1.11534.082.8%36.5h
Mon 03:0020pFri Close11623.3%148.5-40.9372.83.2-0.01R1.10670.775.9%52.0h
Mon 03:0015pFri Close11620.7%151.9-35.9345.53.0-0.02R1.10642.878.4%47.4h
Mon 03:005pFri 17:0011617.2%137.8-26.3235.12.00.01R1.09482.382.8%36.2h
Mon 09:0010pFri Close12023.3%144.8-40.3343.32.90.04R1.09706.775.8%46.1h
Mon 03:0015pFri 19:0011620.7%147.2-35.8236.02.0-0.03R1.07648.178.4%46.5h
Mon 09:005pFri 19:0012020.8%142.2-35.0230.21.9-0.00R1.07619.777.5%41.0h
Mon 09:0020pFri Close12027.5%141.0-50.4272.32.30.05R1.06875.570.8%53.7h
Mon 03:0020pFri 19:0011623.3%142.7-40.8219.21.9-0.03R1.06709.575.9%51.0h
Mon 03:0015pFri 17:0011621.6%140.1-36.2206.11.8-0.03R1.06564.878.4%46.1h
Mon 09:0010pFri 19:0012022.5%143.3-39.6182.61.50.02R1.05712.075.0%45.1h
Mon 03:0020pFri 17:0011624.1%135.0-41.3148.31.3-0.04R1.04660.175.9%50.6h
Mon 03:005pFri 15:0011618.1%123.2-26.475.00.6-0.03R1.03468.781.9%35.8h
Mon 03:0015pFri 15:0011622.4%129.8-36.497.40.8-0.05R1.03501.077.6%45.7h

Profit Factor heatmap: 06A Baseline — Long / DownsideFailed / All Buckets

06A Filtered — Long / DownsideFailed / Q2 only (GBPUSD)

Q2 only. downside_failed == True required. GBPUSD sweep: PF 2.94, N=25.

Best variant: Mon 03:00 | 20p buf | Fri Close — PF 2.94, WR 44.0%, Exp 43.3p, N = 25, MaxDD = 217.6p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0020pFri Close2544.0%148.9-39.71081.443.30.91R2.94217.656.0%63.0h
Mon 03:0020pFri 19:002544.0%147.2-39.71063.042.50.89R2.91217.656.0%61.2h
Mon 03:0020pFri 17:002544.0%144.7-39.71035.241.40.87R2.86217.656.0%60.3h
Mon 03:0010pFri Close2536.0%150.8-30.4871.234.80.96R2.79167.664.0%52.5h
Mon 03:0010pFri 19:002536.0%149.9-30.4863.434.50.94R2.78167.664.0%51.0h
Mon 03:0010pFri 17:002536.0%147.6-30.4842.733.70.93R2.73167.664.0%50.3h
Mon 03:0020pFri 15:002544.0%134.4-39.7922.636.90.77R2.66217.656.0%59.4h
Mon 03:0010pFri 15:002536.0%132.2-30.4703.828.20.76R2.45167.664.0%49.6h
Mon 03:0015pFri Close2536.0%150.8-35.4791.231.60.74R2.40192.664.0%54.1h
Mon 03:0015pFri 19:002536.0%149.9-35.4783.431.30.73R2.38192.664.0%52.6h
Mon 03:0015pFri 17:002536.0%147.6-35.4762.730.50.72R2.35192.664.0%51.9h
Mon 09:005pFri Close3231.2%142.2-29.8767.924.00.68R2.17180.068.8%45.0h
Mon 09:005pFri 19:003228.1%157.4-28.6759.723.70.67R2.16180.068.8%43.7h
Mon 09:0020pFri Close3240.6%141.1-45.4971.430.40.67R2.13270.059.4%59.2h
Mon 09:0020pFri 19:003237.5%152.6-43.3965.630.20.67R2.12270.059.4%57.5h
Mon 09:005pFri 17:003228.1%154.1-28.6729.722.80.65R2.11180.068.8%43.1h
Mon 03:0015pFri 15:002536.0%132.2-35.4623.825.00.57R2.10192.664.0%51.2h
Mon 09:0010pFri 19:003231.2%155.4-33.7813.025.40.70R2.10210.065.6%48.4h
Mon 09:0010pFri Close3234.4%140.7-35.2808.225.30.68R2.09210.065.6%49.8h
Mon 09:0020pFri 17:003237.5%150.7-43.3942.529.50.66R2.09270.059.4%56.7h

Profit Factor heatmap: 06A Filtered — Long / DownsideFailed / Q2 only (GBPUSD)

Test 05B — Bearish Open-Trap Model

06B Baseline — Short / UpsideFailed / All Buckets

All buckets. upside_failed == True required.

Best variant: Mon 12:00 | 20p buf | Fri 15:00 — PF 0.76, WR 30.6%, Exp -10.7p, N = 62, MaxDD = 1330.4p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 12:0020pFri 15:006230.6%112.0-64.9-665.3-10.7-0.12R0.761330.464.5%51.4h
Mon 12:0020pFri 17:006227.4%121.2-62.6-756.6-12.2-0.18R0.731425.666.1%52.1h
Mon 12:0010pFri 15:006229.0%101.2-57.0-687.8-11.1-0.09R0.731153.269.4%45.8h
Mon 12:005pFri 15:006227.4%100.2-52.2-644.0-10.4-0.08R0.731139.472.6%42.0h
Mon 12:0020pFri Close6229.0%114.6-65.3-808.4-13.0-0.19R0.721490.767.7%54.0h
Mon 12:0020pFri 19:006227.4%120.7-63.2-792.5-12.8-0.18R0.721453.766.1%52.8h
Mon 12:0015pFri 15:006229.0%101.2-61.2-869.0-14.0-0.14R0.681338.267.7%48.8h
Mon 12:005pFri 17:006224.2%105.2-50.1-776.4-12.5-0.16R0.671163.272.6%42.5h
Mon 12:005pFri 19:006224.2%104.5-50.3-799.0-12.9-0.15R0.661176.372.6%43.1h
Mon 12:005pFri Close6225.8%95.2-51.9-866.7-14.0-0.17R0.641217.172.6%44.1h
Mon 09:0020pFri Close5619.6%135.5-52.9-890.5-15.9-0.31R0.631537.575.0%46.0h
Mon 09:0020pFri 15:005625.0%101.7-54.8-879.2-15.7-0.24R0.621347.071.4%43.9h
Mon 12:0010pFri 17:006224.2%105.2-53.9-956.0-15.4-0.21R0.621312.871.0%46.4h
Mon 12:0010pFri 19:006224.2%104.5-55.0-1017.0-16.4-0.22R0.611364.371.0%47.0h
Mon 09:0020pFri 17:005623.2%109.3-54.1-903.7-16.1-0.31R0.611550.071.4%44.4h
Mon 09:0020pFri 19:005619.6%124.4-52.2-981.1-17.5-0.34R0.581584.373.2%45.0h
Mon 12:0010pFri Close6225.8%95.2-56.8-1088.3-17.6-0.23R0.581405.272.6%48.0h
Mon 12:0015pFri 17:006224.2%105.2-58.5-1171.9-18.9-0.26R0.571498.769.4%49.4h
Mon 12:0015pFri 19:006224.2%104.5-59.1-1209.9-19.5-0.26R0.561527.269.4%50.0h
Mon 12:0015pFri Close6225.8%95.2-60.9-1276.7-20.6-0.27R0.541563.671.0%51.2h

Profit Factor heatmap: 06B Baseline — Short / UpsideFailed / All Buckets

06B Filtered — Short / UpsideFailed / Q1+Q2 (GBPUSD)

Q1 + Q2 only. upside_failed == True required. GBPUSD sweep: PF 1.63, N=25.

Best variant: Mon 09:00 | 20p buf | Fri Close — PF 1.63, WR 32.0%, Exp 19.5p, N = 25, MaxDD = 410.8p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 09:0020pFri Close2532.0%158.1-45.8486.919.50.18R1.63410.864.0%59.0h
Mon 09:0020pFri 17:002532.0%148.4-45.4414.716.60.13R1.54411.160.0%56.8h
Mon 09:0020pFri 19:002532.0%146.1-46.3381.415.30.10R1.48445.264.0%57.6h
Mon 09:0020pFri 15:002532.0%124.1-45.2224.39.00.00R1.29387.360.0%56.0h
Mon 12:0020pFri Close2934.5%151.1-68.3213.07.30.10R1.16491.762.1%60.3h
Mon 12:0020pFri 19:002934.5%146.4-68.8156.45.40.08R1.12503.362.1%58.8h
Mon 12:0020pFri 17:002934.5%142.5-70.093.83.20.04R1.07546.862.1%58.0h
Mon 09:005pFri Close2524.0%113.4-33.739.61.6-0.14R1.06443.876.0%42.0h
Mon 09:005pFri 17:002524.0%110.1-33.720.00.8-0.17R1.03444.776.0%40.5h
Mon 09:005pFri 19:002524.0%106.7-33.7-0.5-0.0-0.19R1.00464.376.0%41.0h
Mon 09:005pFri 15:002524.0%100.8-33.7-35.7-1.4-0.22R0.94449.076.0%40.0h
Mon 09:0010pFri Close2524.0%113.4-38.6-53.0-2.1-0.21R0.93521.476.0%45.2h
Mon 09:0010pFri 17:002524.0%110.1-38.6-72.6-2.9-0.23R0.90522.376.0%43.8h
Mon 12:0020pFri 15:002931.0%129.6-65.8-149.0-5.1-0.06R0.89592.858.6%57.2h
Mon 09:0010pFri 19:002524.0%106.7-38.6-93.1-3.7-0.25R0.87541.976.0%44.2h
Mon 09:0015pFri 15:002528.0%94.2-42.4-104.4-4.2-0.21R0.86487.768.0%49.1h
Mon 09:0015pFri Close2524.0%113.4-41.7-111.4-4.5-0.23R0.86564.872.0%51.5h
Mon 12:005pFri 19:002927.6%122.5-55.9-193.1-6.70.02R0.84601.472.4%45.9h
Mon 09:0010pFri 15:002524.0%100.8-37.8-112.6-4.5-0.26R0.84510.972.0%43.2h
Mon 09:0015pFri 17:002524.0%110.1-41.6-130.6-5.2-0.24R0.83565.368.0%49.8h

Profit Factor heatmap: 06B Filtered — Short / UpsideFailed / Q1+Q2 (GBPUSD)

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 03:0010pFri Close19516.4%150.1-29.5-12.0-0.1-0.03R1.00961.783.1%38.1h
06A_baseMon 03:0010pFri Close11619.0%162.2-30.8671.05.80.05R1.23507.780.2%43.2h
06A_filtMon 03:0020pFri Close2544.0%148.9-39.71081.443.30.91R2.94217.656.0%63.0h
06B_baseMon 12:0020pFri 15:006230.6%112.0-64.9-665.3-10.7-0.12R0.761330.464.5%51.4h
06B_filtMon 09:0020pFri Close2532.0%158.1-45.8486.919.50.18R1.63410.864.0%59.0h

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 = 2.94 vs baseline PF = 1.23 (+1.94). WR: 44.0% vs 19.0% (+27.6pp). Expectancy: 43.3p vs 5.8p. Restricting to bullish open-position buckets concentrates the edge.
05A adds value over the Test 04 reference. Filtered trap PF = 2.94 vs T04 Ref PF = 1.00 (+1.94). Expectancy: ++43.4p 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 = 1.63, WR = 32.0%, Expectancy = 19.5p. This is the first confirmed positive bearish expectancy across all studies.
Overall best strategy: 06A_filt — PF = 2.94, WR = 44.0%, Expectancy = 43.3p, N = 25. Observation hour: Mon 03:00, Buffer: 20p, Exit: Fri Close.
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.