d1_breakout_pullback_clean | KALAYA CAPITAL Research

Signal Quality Model · d1_breakout_pullback_clean

Trades breakouts of prior bar's high/low using 5-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, Structural Breakout + Pullback Confirmation) | Data: 2025-05-02 → 2026-05-01 | 259 D1 bars | Generated: 2026-05-03 21:01 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.

Strategy Logic

Setup

Native D1 OHLC bars. range_high = max(high[t-10:t]). range_low = min(low[t-10:t]). No trend, regime, or volatility filter.

Trigger

LONG: close[t] > range_high. SHORT: close[t] < range_low. Pullback within next 3 bars: LONG — low[t+k] <= range_high AND close[t+k] > range_high. SHORT — high[t+k] >= range_low AND close[t+k] < range_low.

Entry

Enter at open[t+k+1] — open of bar immediately after the confirmation bar. No lookahead.

Exit

Exit at close[entry_bar + 4] — close of the 5th bar from entry (hold_bars=5). 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

No in_trade suppression. Every valid breakout + pullback generates a trade. Overlapping trades allowed and tracked independently. overlap_conflict=True for trades where an opposite-direction trade holds during the same period.

Cross-Market Results

Instrument	Trade Count	Conflicts	Expectancy	Profit Factor	Max DD	Return/DD	Win Rate	Net PnL	Status
EURUSD	18	—	-0.64%	0.15	-13.60%	-0.85x	22.2%	-11.59%	REJECTED
GBPUSD	19	—	-0.59%	0.15	-12.13%	-0.93x	31.6%	-11.28%	REJECTED
USDJPY	18	—	-0.39%	0.42	-6.80%	-1.03x	27.8%	-7.02%	REJECTED
AUDUSD	18	—	-0.30%	0.43	-6.85%	-0.79x	44.4%	-5.41%	REJECTED
NZDUSD	18	2	-0.75%	0.18	-15.81%	-0.85x	27.8%	-13.46%	REJECTED
USDCAD	20	—	-0.33%	0.28	-7.90%	-0.83x	45.0%	-6.60%	REJECTED
USDCHF	20	2	-0.43%	0.39	-12.56%	-0.69x	25.0%	-8.69%	REJECTED
EURGBP	17	—	0.03%	1.16	-1.18%	0.36x	35.3%	0.43%	REJECTED
EURJPY	27	—	0.12%	1.55	-4.11%	0.79x	55.6%	3.26%	REJECTED
EURAUD	25	—	-0.07%	0.84	-8.54%	-0.20x	48.0%	-1.69%	REJECTED
EURNZD	24	—	-0.19%	0.67	-8.46%	-0.53x	37.5%	-4.47%	REJECTED
EURCAD	18	—	-0.17%	0.46	-5.35%	-0.58x	38.9%	-3.09%	REJECTED
EURCHF	22	—	0.11%	1.84	-1.16%	2.01x	63.6%	2.34%	REJECTED
GBPJPY	21	—	-0.37%	0.34	-8.60%	-0.91x	28.6%	-7.85%	REJECTED
GBPAUD	25	—	0.04%	1.16	-5.07%	0.21x	52.0%	1.06%	REJECTED
GBPNZD	22	—	0.04%	1.15	-2.73%	0.35x	54.5%	0.97%	REJECTED
GBPCAD	16	—	-0.46%	0.14	-7.50%	-0.99x	25.0%	-7.42%	REJECTED
GBPCHF	19	—	0.09%	1.75	-1.48%	1.19x	63.2%	1.77%	REJECTED
AUDJPY	28	—	-0.33%	0.46	-12.74%	-0.73x	35.7%	-9.35%	REJECTED
AUDNZD	25	—	0.28%	3.90	-1.28%	5.55x	72.0%	7.08%	REJECTED
AUDCAD	17	—	0.04%	1.14	-1.72%	0.43x	52.9%	0.74%	REJECTED
AUDCHF	14	—	0.08%	1.22	-3.24%	0.33x	50.0%	1.08%	REJECTED
NZDJPY	18	2	-0.79%	0.19	-14.22%	-1.00x	33.3%	-14.23%	REJECTED
NZDCAD	14	—	-0.57%	0.18	-7.43%	-1.07x	21.4%	-7.95%	REJECTED
PORTFOLIO TOTAL	483	6	-0.21%	0.54	-15.81%	-0.27x	42.4%	-4.22%	—

Instrument

Trade Count

Conflicts

Expectancy

Profit Factor

Max DD

Return/DD

Win Rate

Net PnL

Status

EURUSD

—

-0.64%

0.15

-13.60%

-0.85x

22.2%

-11.59%

REJECTED

GBPUSD

—

-0.59%

0.15

-12.13%

-0.93x

31.6%

-11.28%

REJECTED

USDJPY

—

-0.39%

0.42

-6.80%

-1.03x

27.8%

-7.02%

REJECTED

AUDUSD

—

-0.30%

0.43

-6.85%

-0.79x

44.4%

-5.41%

REJECTED

NZDUSD

-0.75%

0.18

-15.81%

-0.85x

27.8%

-13.46%

REJECTED

USDCAD

—

-0.33%

0.28

-7.90%

-0.83x

45.0%

-6.60%

REJECTED

USDCHF

-0.43%

0.39

-12.56%

-0.69x

25.0%

-8.69%

REJECTED

EURGBP

—

0.03%

1.16

-1.18%

0.36x

35.3%

0.43%

REJECTED

EURJPY

—

0.12%

1.55

-4.11%

0.79x

55.6%

3.26%

REJECTED

EURAUD

—

-0.07%

0.84

-8.54%

-0.20x

48.0%

-1.69%

REJECTED

EURNZD

—

-0.19%

0.67

-8.46%

-0.53x

37.5%

-4.47%

REJECTED

EURCAD

—

-0.17%

0.46

-5.35%

-0.58x

38.9%

-3.09%

REJECTED

EURCHF

—

0.11%

1.84

-1.16%

2.01x

63.6%

2.34%

REJECTED

GBPJPY

—

-0.37%

0.34

-8.60%

-0.91x

28.6%

-7.85%

REJECTED

GBPAUD

—

0.04%

1.16

-5.07%

0.21x

52.0%

1.06%

REJECTED

GBPNZD

—

0.04%

1.15

-2.73%

0.35x

54.5%

0.97%

REJECTED

GBPCAD

—

-0.46%

0.14

-7.50%

-0.99x

25.0%

-7.42%

REJECTED

GBPCHF

—

0.09%

1.75

-1.48%

1.19x

63.2%

1.77%

REJECTED

AUDJPY

—

-0.33%

0.46

-12.74%

-0.73x

35.7%

-9.35%

REJECTED

AUDNZD

—

0.28%

3.90

-1.28%

5.55x

72.0%

7.08%

REJECTED

AUDCAD

—

0.04%

1.14

-1.72%

0.43x

52.9%

0.74%

REJECTED

AUDCHF

—

0.08%

1.22

-3.24%

0.33x

50.0%

1.08%

REJECTED

NZDJPY

-0.79%

0.19

-14.22%

-1.00x

33.3%

-14.23%

REJECTED

NZDCAD

—

-0.57%

0.18

-7.43%

-1.07x

21.4%

-7.95%

REJECTED

PORTFOLIO TOTAL

483

-0.21%

0.54

-15.81%

-0.27x

42.4%

-4.22%

—

Signal Quality Gates

FAIL Trade Count — max 28, required ≥50

FAIL Expectancy — avg -0.23%, required >0%

FAIL Profit Factor — avg 0.84, required ≥1.2

INFO Max Drawdown — worst -15.81% across instruments (gated only if < −30%)

INFO Return / Max DD — avg -0.03x (final return ÷ |max DD|, informational)

Monthly Consistency

Overall regime behaviour: Inconsistent

EURUSD [UNSTABLE]GBPUSD [UNSTABLE]USDJPY [UNSTABLE]AUDUSD [UNSTABLE]NZDUSD [UNSTABLE]USDCAD [UNSTABLE]USDCHF [UNSTABLE]EURGBP [UNSTABLE]EURJPY [UNSTABLE]EURAUD [MIXED]EURNZD [MIXED]EURCAD [MIXED]EURCHF [MIXED]GBPJPY [UNSTABLE]GBPAUD [MIXED]GBPNZD [UNSTABLE]GBPCAD [UNSTABLE]GBPCHF [STABLE]AUDJPY [UNSTABLE]AUDNZD [STABLE]AUDCAD [MIXED]AUDCHF [MIXED]NZDJPY [UNSTABLE]NZDCAD [UNSTABLE]

See per-instrument data files for monthly details.

Individual Equity Curves

EURUSD

Final Return: -12.11% Return Peak: 1.21% Return Trough: -12.39% Max DD: -13.60% Max Run-Up: +1.21%

GBPUSD

Final Return: -11.82% Return Peak: 0.00% Return Trough: -12.13% Max DD: -12.13% Max Run-Up: +1.08%

USDJPY

Final Return: -5.21% Return Peak: 1.60% Return Trough: -5.21% Max DD: -6.80% Max Run-Up: +2.26%

AUDUSD

Final Return: -4.64% Return Peak: 0.00% Return Trough: -6.85% Max DD: -6.85% Max Run-Up: +2.21%

NZDUSD

Final Return: -13.91% Return Peak: 0.00% Return Trough: -15.81% Max DD: -15.81% Max Run-Up: +1.90%

USDCAD

Final Return: -7.29% Return Peak: 0.00% Return Trough: -7.90% Max DD: -7.90% Max Run-Up: +0.66%

USDCHF

Final Return: -10.28% Return Peak: 0.00% Return Trough: -12.56% Max DD: -12.56% Max Run-Up: +3.16%

EURGBP

Final Return: +0.66% Return Peak: 1.30% Return Trough: -0.02% Max DD: -1.18% Max Run-Up: +1.32%

EURJPY

Final Return: +2.45% Return Peak: 6.55% Return Trough: 0.00% Max DD: -4.11% Max Run-Up: +6.55%

EURAUD

Final Return: -2.71% Return Peak: 0.25% Return Trough: -8.30% Max DD: -8.54% Max Run-Up: +5.92%

EURNZD

Final Return: -6.05% Return Peak: 0.09% Return Trough: -8.37% Max DD: -8.46% Max Run-Up: +5.40%

EURCAD

Final Return: -3.25% Return Peak: 0.00% Return Trough: -5.35% Max DD: -5.35% Max Run-Up: +2.10%

EURCHF

Final Return: +2.36% Return Peak: 2.36% Return Trough: -0.10% Max DD: -1.16% Max Run-Up: +2.46%

GBPJPY

Final Return: -7.72% Return Peak: 0.00% Return Trough: -8.60% Max DD: -8.60% Max Run-Up: +3.25%

GBPAUD

Final Return: +0.58% Return Peak: 1.76% Return Trough: -3.31% Max DD: -5.07% Max Run-Up: +3.89%

GBPNZD

Final Return: +1.81% Return Peak: 3.20% Return Trough: -0.77% Max DD: -2.73% Max Run-Up: +3.97%

GBPCAD

Final Return: -7.50% Return Peak: 0.00% Return Trough: -7.50% Max DD: -7.50% Max Run-Up: +0.68%

GBPCHF

Final Return: +1.75% Return Peak: 1.90% Return Trough: 0.00% Max DD: -1.48% Max Run-Up: +1.90%

AUDJPY

Final Return: -9.11% Return Peak: 1.47% Return Trough: -11.26% Max DD: -12.74% Max Run-Up: +2.95%

AUDNZD

Final Return: +7.04% Return Peak: 8.07% Return Trough: -0.76% Max DD: -1.28% Max Run-Up: +8.83%

AUDCAD

Final Return: +1.46% Return Peak: 2.87% Return Trough: -0.89% Max DD: -1.72% Max Run-Up: +3.76%

AUDCHF

Final Return: +1.27% Return Peak: 1.27% Return Trough: -3.24% Max DD: -3.24% Max Run-Up: +4.52%

NZDJPY

Final Return: -14.01% Return Peak: 0.00% Return Trough: -14.22% Max DD: -14.22% Max Run-Up: +1.57%

NZDCAD

Final Return: -7.43% Return Peak: 0.00% Return Trough: -7.43% Max DD: -7.43% Max Run-Up: +0.91%

Signal Quality Model · d1_breakout_pullback_clean

Evaluation Criteria

Final Decision

Primary Failure Driver

Next Action

Strategy Logic

Cross-Market Results

Signal Quality Gates

Monthly Consistency

Combined Equity Curves

Individual Equity Curves