🔒 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 22:41  |  File: XAUUSD_strategy_sim_09_20220515_20260301_195w_20260313_2241

Executive Summary

195
Sample weeks
10.53
09A Filt best PF
47.1%
09A Filt WR
1.71
09B Filt best PF
13.6%
05B Filt WR
1.73
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 | 20p buf | Fri 17:00 — PF 1.73, WR 15.9%, Exp 51.7p, N = 195, MaxDD = 2748.8p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0020pFri 17:0019515.9%773.9-84.810088.351.70.34R1.732748.883.6%27.7h
Mon 03:0020pFri Close19516.4%738.5-84.29905.250.80.33R1.722748.883.6%28.7h
Mon 03:0020pFri 15:0019516.4%723.9-84.29439.348.40.28R1.692748.883.6%27.4h
Mon 03:005pFri Close19513.3%781.4-72.48076.441.40.44R1.662658.886.7%24.0h
Mon 03:0020pFri 19:0019515.9%733.3-84.28932.845.80.34R1.652748.883.6%28.0h
Mon 03:0010pFri 17:0019513.3%817.3-77.18215.642.10.34R1.632688.886.2%24.2h
Mon 03:005pFri 17:0019512.8%803.8-73.07677.339.40.42R1.622658.886.7%23.2h
Mon 03:0015pFri 17:0019514.4%793.9-82.08541.843.80.39R1.622718.885.1%25.7h
Mon 03:0010pFri Close19513.8%764.7-76.57790.139.90.31R1.612688.886.2%25.0h
Mon 03:0015pFri Close19514.9%749.7-81.48229.342.20.37R1.612718.885.1%26.6h
Mon 03:005pFri 15:0019513.3%754.5-72.47376.637.80.35R1.602658.886.7%23.0h
Mon 03:0010pFri 15:0019513.8%757.9-76.57606.439.00.26R1.592688.886.2%23.9h
Mon 03:0015pFri 15:0019514.9%740.2-81.47956.140.80.33R1.592718.885.1%25.4h
Mon 03:005pFri 19:0019512.8%774.3-72.47041.236.10.48R1.572658.886.7%23.5h
Mon 03:0010pFri 19:0019513.3%766.8-76.57005.435.90.35R1.542688.886.2%24.5h
Mon 03:0015pFri 19:0019514.4%748.6-81.37375.437.80.39R1.542718.885.1%26.0h

Profit Factor heatmap: T04 Reference — Long / No Filter

09A Baseline — Long / DownsideFailed / All Buckets

All buckets. downside_failed == True required.

Best variant: Mon 03:00 | 20p buf | Fri Close — PF 1.90, WR 22.5%, Exp 70.8p, N = 89, MaxDD = 1410.0p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0020pFri Close8922.5%666.4-101.96299.970.80.61R1.901410.077.5%35.9h
Mon 03:0020pFri 17:008921.3%704.7-102.96184.969.50.61R1.861586.477.5%34.5h
Mon 03:0020pFri 19:008921.3%679.6-101.55809.065.30.61R1.821484.377.5%35.0h
Mon 03:0020pFri 15:008922.5%625.5-101.95482.161.60.52R1.781410.077.5%34.1h
Mon 03:0015pFri Close8920.2%653.2-100.14649.952.20.63R1.651395.079.8%32.8h
Mon 03:005pFri Close8918.0%666.6-89.04168.946.80.45R1.641840.082.0%29.5h
Mon 03:005pFri 17:008916.9%723.3-90.24177.146.90.49R1.631827.482.0%28.5h
Mon 03:0015pFri 17:008919.1%695.9-101.24545.151.10.63R1.621571.479.8%31.6h
Mon 03:0015pFri 19:008919.1%668.7-99.84184.947.00.64R1.581469.379.8%32.0h
Mon 03:005pFri 19:008916.9%689.6-88.83773.142.40.49R1.571789.682.0%28.8h
Mon 03:0010pFri Close8918.0%666.6-93.53836.543.10.34R1.562023.382.0%30.2h
Mon 03:0010pFri 17:008916.9%723.3-94.73844.743.20.37R1.552049.882.0%29.1h
Mon 03:0015pFri 15:008920.2%609.5-100.13862.043.40.53R1.541395.079.8%31.2h
Mon 03:005pFri 15:008918.0%622.9-89.03470.539.00.32R1.531947.982.0%28.1h
Mon 03:0010pFri 19:008916.9%689.6-93.33440.738.70.37R1.501993.582.0%29.5h
Mon 03:0010pFri 15:008918.0%622.9-93.53138.135.30.23R1.462170.382.0%28.8h
Mon 09:0020pFri 17:009433.0%561.2-203.34588.148.80.39R1.362834.466.0%51.6h
Mon 09:0020pFri Close9430.9%599.4-199.44422.747.00.43R1.342762.266.0%53.6h
Mon 09:0020pFri 19:009430.9%582.5-197.04087.643.50.41R1.322762.266.0%52.3h
Mon 09:0020pFri 15:009433.0%532.6-205.23582.138.10.36R1.282762.266.0%50.9h

Profit Factor heatmap: 09A Baseline — Long / DownsideFailed / All Buckets

09A Filtered — Long / DownsideFailed / Q3 only (XAUUSD)

Q3 only. downside_failed == True required. XAUUSD sweep: PF 10.53, N=17.

Best variant: Mon 03:00 | 20p buf | Fri 17:00 — PF 10.53, WR 47.1%, Exp 357.2p, N = 17, MaxDD = 295.4p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0020pFri 17:001747.1%838.7-70.86072.0357.22.76R10.53295.452.9%54.6h
Mon 03:0020pFri 19:001747.1%795.1-70.85723.8336.72.61R9.98295.452.9%55.6h
Mon 03:0020pFri Close1747.1%767.6-70.85503.8323.82.37R9.64295.452.9%57.5h
Mon 03:0020pFri 15:001747.1%746.5-70.85335.0313.82.32R9.37295.452.9%53.7h
Mon 03:005pFri 17:001741.2%781.0-79.34673.4274.93.45R6.89290.258.8%49.6h
Mon 03:0010pFri 17:001741.2%781.0-84.24624.3272.03.04R6.49295.258.8%49.6h
Mon 03:005pFri 19:001741.2%731.5-79.34326.9254.53.25R6.45290.258.8%50.4h
Mon 03:005pFri Close1741.2%701.6-79.34118.1242.22.90R6.19313.058.8%52.1h
Mon 03:0015pFri 17:001741.2%781.0-89.24574.3269.12.71R6.13300.258.8%49.7h
Mon 03:0010pFri 19:001741.2%731.5-84.24277.8251.62.86R6.08295.258.8%50.4h
Mon 03:005pFri 15:001741.2%678.7-79.33957.6232.82.81R5.99290.258.8%48.8h
Mon 03:0010pFri Close1741.2%701.6-84.24069.0239.42.55R5.83333.058.8%52.1h
Mon 03:0015pFri 19:001741.2%731.5-89.24227.8248.72.55R5.74308.158.8%50.5h
Mon 03:0010pFri 15:001741.2%678.7-84.23908.5229.92.49R5.64295.258.8%48.8h
Mon 03:0015pFri Close1741.2%701.6-89.24019.0236.42.29R5.50353.058.8%52.2h
Mon 03:0015pFri 15:001741.2%678.7-89.23858.5227.02.23R5.32300.258.8%48.9h
Mon 09:0020pFri 17:001861.1%556.5-191.34782.4265.71.15R4.57455.238.9%75.2h
Mon 09:0020pFri 19:001855.6%585.0-168.94499.1250.01.13R4.33455.238.9%76.4h
Mon 09:0020pFri Close1855.6%581.7-174.54420.9245.61.12R4.17455.238.9%78.8h
Mon 09:0020pFri 15:001855.6%565.3-191.14123.8229.11.06R3.70644.738.9%73.9h

Profit Factor heatmap: 09A Filtered — Long / DownsideFailed / Q3 only (XAUUSD)

Test 05B — Bearish Open-Trap Model

09B Baseline — Short / UpsideFailed / All Buckets

All buckets. upside_failed == True required.

Best variant: Mon 12:00 | 10p buf | Fri Close — PF 0.89, WR 25.6%, Exp -12.4p, N = 82, MaxDD = 2687.8p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 12:0010pFri 19:008225.6%411.9-159.1-1053.9-12.90.05R0.892843.773.2%47.8h
Mon 12:0010pFri Close8225.6%412.1-158.5-1016.6-12.40.05R0.892687.873.2%48.8h
Mon 12:005pFri Close8224.4%417.3-152.3-1093.5-13.30.04R0.882547.874.4%48.1h
Mon 12:005pFri 19:008224.4%415.8-152.8-1157.5-14.10.04R0.882703.774.4%47.1h
Mon 12:0015pFri 19:008226.8%394.8-164.8-1202.7-14.70.02R0.882983.772.0%48.9h
Mon 12:0015pFri Close8226.8%395.2-164.2-1159.4-14.10.02R0.882827.872.0%49.9h
Mon 12:0020pFri Close8226.8%395.2-169.2-1454.4-17.7-0.02R0.862967.872.0%50.0h
Mon 12:0010pFri 17:008224.4%412.6-156.0-1419.9-17.3-0.02R0.853074.873.2%47.3h
Mon 12:0020pFri 19:008226.8%394.8-169.7-1497.7-18.3-0.03R0.853123.772.0%48.9h
Mon 12:0015pFri 17:008225.6%395.3-161.6-1554.8-19.0-0.04R0.843179.772.0%48.3h
Mon 12:005pFri 17:008223.2%416.5-149.9-1526.9-18.6-0.04R0.842804.874.4%46.6h
Mon 12:0010pFri 15:008225.6%377.2-157.8-1702.9-20.8-0.03R0.823191.472.0%46.7h
Mon 12:0020pFri 17:008225.6%395.3-166.4-1849.8-22.6-0.08R0.823444.772.0%48.4h
Mon 12:005pFri 15:008224.4%380.8-151.6-1782.6-21.7-0.05R0.812926.473.2%46.1h
Mon 12:0015pFri 15:008226.8%360.7-163.4-1867.9-22.8-0.06R0.813326.470.7%47.8h
Mon 12:0020pFri 15:008226.8%360.7-168.2-2157.9-26.3-0.09R0.793586.470.7%47.8h
Mon 09:0015pFri Close9522.1%428.5-178.3-4197.5-44.2-0.01R0.685001.277.9%43.3h
Mon 09:0010pFri Close9520.0%459.6-170.8-4250.9-44.7-0.07R0.675035.780.0%41.1h
Mon 09:0010pFri 19:009520.0%454.5-170.8-4348.3-45.8-0.07R0.675143.980.0%40.3h
Mon 09:0015pFri 19:009522.1%423.5-178.3-4303.0-45.3-0.02R0.675082.177.9%42.5h

Profit Factor heatmap: 09B Baseline — Short / UpsideFailed / All Buckets

09B Filtered — Short / UpsideFailed / Q2 only (XAUUSD — marginal)

Q2 only. upside_failed == True required. XAUUSD sweep: PF 1.71, N=22 (marginal — high MaxDD).

Best variant: Mon 03:00 | 10p buf | Fri 17:00 — PF 1.71, WR 13.6%, Exp 52.6p, N = 22, MaxDD = 986.8p

HourBufferExitNWR%AvgWinAvgLossTotalExpAvgRPFMaxDDStop%Hold
Mon 03:0010pFri 17:002213.6%930.3-86.01156.552.60.81R1.71986.886.4%24.4h
Mon 03:0010pFri 15:002213.6%881.1-86.01008.945.90.57R1.62986.886.4%24.1h
Mon 03:0010pFri 19:002213.6%883.1-86.01014.946.10.87R1.62986.886.4%24.6h
Mon 03:0015pFri 17:002213.6%930.3-90.81066.548.50.61R1.621026.886.4%25.9h
Mon 03:0010pFri Close2213.6%869.7-86.0974.844.30.92R1.60986.886.4%25.2h
Mon 03:0015pFri 19:002213.6%883.1-90.8924.942.00.65R1.541026.886.4%26.2h
Mon 03:0020pFri 17:002213.6%930.3-95.5976.544.40.47R1.541066.886.4%26.0h
Mon 03:0015pFri 15:002213.6%881.1-90.8918.941.80.41R1.531026.886.4%25.6h
Mon 03:0015pFri Close2213.6%869.7-90.8884.840.20.69R1.511026.886.4%26.7h
Mon 03:0020pFri 15:002213.6%881.1-95.5828.937.70.30R1.461066.886.4%25.7h
Mon 03:0020pFri 19:002213.6%883.1-95.5834.937.90.50R1.461066.886.4%26.3h
Mon 03:0020pFri Close2213.6%869.7-95.5794.836.10.53R1.441066.886.4%26.8h
Mon 12:005pFri 15:002326.1%639.1-158.11147.349.90.46R1.431096.973.9%45.7h
Mon 12:005pFri 19:002326.1%640.8-158.11157.550.30.58R1.431022.073.9%46.8h
Mon 12:005pFri Close2326.1%637.0-158.11134.849.30.62R1.421022.073.9%47.8h
Mon 12:005pFri 17:002326.1%634.8-158.11121.648.80.48R1.421022.073.9%46.3h
Mon 09:0010pFri 17:002321.7%737.7-144.91080.247.00.35R1.41809.278.3%45.1h
Mon 09:0010pFri 19:002321.7%733.7-144.91059.946.10.41R1.41809.278.3%45.6h
Mon 09:0010pFri Close2321.7%729.4-144.91038.345.10.44R1.40809.278.3%46.4h
Mon 09:0010pFri 15:002321.7%724.2-144.91012.644.00.27R1.39809.278.3%44.7h

Profit Factor heatmap: 09B Filtered — Short / UpsideFailed / Q2 only (XAUUSD — marginal)

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 03:0020pFri 17:0019515.9%773.9-84.810088.351.70.34R1.732748.883.6%27.7h
09A_baseMon 03:0020pFri Close8922.5%666.4-101.96299.970.80.61R1.901410.077.5%35.9h
09A_filtMon 03:0020pFri 17:001747.1%838.7-70.86072.0357.22.76R10.53295.452.9%54.6h
09B_baseMon 12:0010pFri Close8225.6%412.1-158.5-1016.6-12.40.05R0.892687.873.2%48.8h
09B_filtMon 03:0010pFri 17:002213.6%930.3-86.01156.552.60.81R1.71986.886.4%24.4h

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 = 10.53 vs baseline PF = 1.90 (+8.80). WR: 47.1% vs 22.5% (+31.2pp). Expectancy: 357.2p vs 70.8p. Restricting to bullish open-position buckets concentrates the edge.
05A adds value over the Test 04 reference. Filtered trap PF = 10.53 vs T04 Ref PF = 1.73 (+8.80). Expectancy: ++305.5p 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 = 1.71, WR = 13.6%, Expectancy = 52.6p. This is the first confirmed positive bearish expectancy across all studies.
Overall best strategy: 09A_filt — PF = 10.53, WR = 47.1%, Expectancy = 357.2p, N = 17. Observation hour: Mon 03:00, Buffer: 20p, Exit: Fri 17:00.
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.