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Signal Quality Model · breakout_v2_d1_trend_filter
Trades breakouts of prior bar's high/low using 3-bar time exit.
MOMENTUM / BREAKOUT
Markets: EURUSD, GBPUSD, USDJPY, AUDUSD, NZDUSD, USDCAD, USDCHF, EURGBP, EURJPY, EURAUD, EURNZD, EURCAD, EURCHF, GBPJPY, GBPAUD, GBPNZD, GBPCAD, GBPCHF, AUDJPY, AUDNZD, AUDCAD, AUDCHF, NZDJPY, NZDCAD |
Timeframe: Daily (D1 native — FX24, Breakout V2 MA50 Trend Filter) |
Data: 2025-05-02 → 2026-05-01 |
259 D1 bars |
Generated: 2026-05-03 11:24 UTC
Signal-quality model.
This is a signal-quality model, not a live P&L or position-sizing model.
Returns are 1× notional price returns with no leverage, lot sizing, or risk weighting applied.
Equity curves show cumulative additive returns of independent signal trades only.
Evaluation Criteria
Trade Count ≥ 50 — statistical reliability
Expectancy > 0% — positive edge
Profit Factor ≥ 1.2 — payoff quality
Max Drawdown — informational (gated only if < −30%)
Final Decision
✘ REJECT
4/24 instruments passed gating.
Primary Failure Driver
Negative expectancy
Next Action
✎ MODIFY
Weak edge present. Add trend/regime filter or extend to more markets before re-gating.
Strategy Logic
Setup Native D1 OHLC bars from IBKR (1-year history). MA50 trend filter applied. No regime or volatility filter. Trigger D1 close breaks prior bar high (LONG) or low (SHORT), AND close is on the correct side of MA(50). Signal confirmed at bar close. Entry Enter at the next D1 bar open after the signal bar closes. No lookahead. Exit Exit at the close after holding exactly 3 D1 bars from the entry bar. Time-based exit only. Risk Model Fixed 1x notional signal returns. No stop loss, take profit, lot sizing, or leverage. Signal-quality model only. Position Rules One position at a time. Pending signal discarded if a trade is still open. No overlapping trades. No pyramiding.
Cross-Market Results
Instrument Trade Count Conflicts Expectancy Profit Factor
Max DD Return/DD Win Rate Net PnL Status
EURUSD 65 — -0.13% 0.64 -9.47% -0.86x 35.4% -8.13% REJECTED GBPUSD 65 — -0.01% 0.98 -8.10% -0.05x 46.2% -0.40% REJECTED USDJPY 65 — -0.11% 0.72 -11.21% -0.67x 41.5% -7.47% REJECTED AUDUSD 70 — 0.06% 1.18 -7.17% 0.59x 45.7% 4.22% REJECTED NZDUSD 65 — 0.02% 1.05 -9.15% 0.14x 47.7% 1.25% REJECTED USDCAD 67 — 0.06% 1.36 -2.50% 1.58x 56.7% 3.96% APPROVED USDCHF 63 — -0.15% 0.60 -9.80% -0.98x 36.5% -9.57% REJECTED EURGBP 58 — -0.08% 0.60 -5.89% -0.80x 48.3% -4.73% REJECTED EURJPY 67 — -0.13% 0.61 -12.32% -0.70x 47.8% -8.67% REJECTED EURAUD 71 — 0.00% 1.01 -4.56% 0.03x 57.8% 0.15% REJECTED EURNZD 62 — 0.04% 1.16 -3.27% 0.71x 46.8% 2.32% REJECTED EURCAD 54 — -0.21% 0.36 -13.65% -0.84x 31.5% -11.44% REJECTED EURCHF 60 — -0.02% 0.87 -2.66% -0.48x 48.3% -1.28% REJECTED GBPJPY 73 — -0.07% 0.77 -11.11% -0.49x 47.9% -5.45% REJECTED GBPAUD 63 — 0.04% 1.19 -3.19% 0.70x 46.0% 2.23% REJECTED GBPNZD 57 — -0.01% 0.96 -4.32% -0.12x 47.4% -0.51% REJECTED GBPCAD 59 — 0.00% 1.00 -6.61% 0.00x 45.8% 0.02% REJECTED GBPCHF 50 — -0.08% 0.61 -4.28% -0.91x 44.0% -3.92% REJECTED AUDJPY 78 — 0.10% 1.35 -3.58% 2.15x 62.8% 7.71% APPROVED AUDNZD 76 — 0.15% 2.26 -1.82% 6.18x 64.5% 11.26% APPROVED AUDCAD 73 — 0.06% 1.35 -3.68% 1.28x 46.6% 4.71% APPROVED AUDCHF 63 — -0.17% 0.53 -10.84% -0.98x 41.3% -10.64% REJECTED NZDJPY 72 — -0.14% 0.64 -10.17% -1.00x 51.4% -10.16% REJECTED NZDCAD 62 — -0.05% 0.78 -3.98% -0.86x 48.4% -3.41% REJECTED PORTFOLIO TOTAL 1558 — -0.03% 0.89 -13.65% -0.15x 47.8% -2.00% —
Signal Quality Gates
PASS Trade Count — max 78, required ≥50FAIL Expectancy — avg -0.04%, required >0%FAIL Profit Factor — avg 0.94, required ≥1.2INFO Max Drawdown — worst -13.65% across instruments (gated only if < −30%)INFO Return / Max DD — avg 0.15x (final return ÷ |max DD|, informational)Monthly Consistency
Overall regime behaviour: Inconsistent
EURUSD [UNSTABLE] GBPUSD [MIXED] USDJPY [UNSTABLE] AUDUSD [MIXED] NZDUSD [MIXED] USDCAD [STABLE] USDCHF [UNSTABLE] EURGBP [MIXED] EURJPY [MIXED] EURAUD [MIXED] EURNZD [STABLE] EURCAD [UNSTABLE] EURCHF [MIXED] GBPJPY [STABLE] GBPAUD [MIXED] GBPNZD [MIXED] GBPCAD [MIXED] GBPCHF [MIXED] AUDJPY [STABLE] AUDNZD [STABLE] AUDCAD [UNSTABLE] AUDCHF [UNSTABLE] NZDJPY [UNSTABLE] NZDCAD [UNSTABLE]
See per-instrument data files for monthly details.
Combined Equity Curves
Individual Equity Curves
EURUSD
Final Return: -8.61%
Return Peak: 0.00%
Return Trough: -9.47%
Max DD: -9.47%
Max Run-Up: +5.42%
GBPUSD
Final Return: -0.90%
Return Peak: 1.92%
Return Trough: -6.19%
Max DD: -8.10%
Max Run-Up: +6.58%
USDJPY
Final Return: -7.91%
Return Peak: 3.23%
Return Trough: -7.98%
Max DD: -11.21%
Max Run-Up: +4.96%
AUDUSD
Final Return: +5.29%
Return Peak: 8.98%
Return Trough: -7.17%
Max DD: -7.17%
Max Run-Up: +16.14%
NZDUSD
Final Return: +2.63%
Return Peak: 11.78%
Return Trough: -3.34%
Max DD: -9.15%
Max Run-Up: +15.12%
USDCAD
Final Return: +4.39%
Return Peak: 5.07%
Return Trough: -1.53%
Max DD: -2.50%
Max Run-Up: +6.60%
USDCHF
Final Return: -9.80%
Return Peak: 0.00%
Return Trough: -9.80%
Max DD: -9.80%
Max Run-Up: +4.92%
EURGBP
Final Return: -4.98%
Return Peak: 0.12%
Return Trough: -5.77%
Max DD: -5.89%
Max Run-Up: +1.65%
EURJPY
Final Return: -8.85%
Return Peak: 0.39%
Return Trough: -11.93%
Max DD: -12.32%
Max Run-Up: +3.30%
EURAUD
Final Return: -0.28%
Return Peak: 0.52%
Return Trough: -4.56%
Max DD: -4.56%
Max Run-Up: +5.08%
EURNZD
Final Return: +2.22%
Return Peak: 5.49%
Return Trough: -3.02%
Max DD: -3.27%
Max Run-Up: +8.51%
EURCAD
Final Return: -11.69%
Return Peak: 0.16%
Return Trough: -13.49%
Max DD: -13.65%
Max Run-Up: +2.60%
EURCHF
Final Return: -1.70%
Return Peak: 0.50%
Return Trough: -2.20%
Max DD: -2.66%
Max Run-Up: +2.70%
GBPJPY
Final Return: -5.64%
Return Peak: 0.48%
Return Trough: -10.63%
Max DD: -11.11%
Max Run-Up: +5.22%
GBPAUD
Final Return: +1.83%
Return Peak: 4.41%
Return Trough: -0.82%
Max DD: -3.19%
Max Run-Up: +5.23%
GBPNZD
Final Return: -0.01%
Return Peak: 4.24%
Return Trough: -0.66%
Max DD: -4.32%
Max Run-Up: +4.91%
GBPCAD
Final Return: -1.01%
Return Peak: 4.35%
Return Trough: -2.26%
Max DD: -6.61%
Max Run-Up: +4.35%
GBPCHF
Final Return: -4.02%
Return Peak: 0.00%
Return Trough: -4.28%
Max DD: -4.28%
Max Run-Up: +1.86%
AUDJPY
Final Return: +6.97%
Return Peak: 8.54%
Return Trough: -1.81%
Max DD: -3.58%
Max Run-Up: +10.35%
AUDNZD
Final Return: +10.93%
Return Peak: 11.32%
Return Trough: -0.29%
Max DD: -1.82%
Max Run-Up: +11.61%
AUDCAD
Final Return: +5.34%
Return Peak: 7.14%
Return Trough: -1.78%
Max DD: -3.68%
Max Run-Up: +8.92%
AUDCHF
Final Return: -10.84%
Return Peak: 0.00%
Return Trough: -10.84%
Max DD: -10.84%
Max Run-Up: +3.41%
NZDJPY
Final Return: -9.56%
Return Peak: 0.61%
Return Trough: -9.56%
Max DD: -10.17%
Max Run-Up: +3.53%
NZDCAD
Final Return: -2.39%
Return Peak: 1.58%
Return Trough: -3.18%
Max DD: -3.98%
Max Run-Up: +4.76%