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Signal Quality Model · breakout_v1_d1
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 signal-quality template test) |
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
3/24 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). No trend filter, regime filter, or volatility filter. Trigger Current D1 close breaks above prior day high (LONG) or below prior day low (SHORT). Signal confirmed at bar close. Entry Enter at the next D1 bar open after the breakout signal is confirmed. 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 134 — -0.05% 0.83 -9.20% -0.69x 44.0% -6.39% REJECTED GBPUSD 123 — 0.01% 1.06 -8.60% 0.21x 49.6% 1.81% REJECTED USDJPY 124 — -0.12% 0.69 -14.61% -1.03x 43.5% -15.06% REJECTED AUDUSD 122 — 0.06% 1.20 -9.50% 0.82x 50.0% 7.80% REJECTED NZDUSD 122 — -0.00% 1.00 -9.59% -0.01x 50.0% -0.10% REJECTED USDCAD 129 — 0.05% 1.29 -5.13% 1.30x 57.4% 6.69% APPROVED USDCHF 118 — -0.05% 0.83 -8.52% -0.74x 41.5% -6.35% REJECTED EURGBP 112 — -0.02% 0.89 -8.17% -0.27x 49.1% -2.24% REJECTED EURJPY 132 — -0.09% 0.69 -16.00% -0.78x 47.7% -12.51% REJECTED EURAUD 119 — -0.01% 0.95 -8.17% -0.18x 55.5% -1.49% REJECTED EURNZD 111 — -0.01% 0.98 -6.84% -0.08x 46.0% -0.58% REJECTED EURCAD 101 — -0.09% 0.66 -15.36% -0.58x 41.6% -8.94% REJECTED EURCHF 111 — -0.03% 0.83 -4.47% -0.65x 46.9% -2.88% REJECTED GBPJPY 133 — -0.08% 0.75 -14.57% -0.74x 45.1% -10.85% REJECTED GBPAUD 110 — -0.02% 0.92 -5.77% -0.36x 46.4% -2.09% REJECTED GBPNZD 110 — -0.02% 0.90 -7.45% -0.32x 45.5% -2.36% REJECTED GBPCAD 106 — 0.05% 1.22 -6.29% 0.80x 50.9% 5.01% APPROVED GBPCHF 104 — -0.02% 0.92 -5.10% -0.33x 46.2% -1.70% REJECTED AUDJPY 131 — -0.01% 0.98 -10.66% -0.08x 55.0% -0.89% REJECTED AUDNZD 120 — 0.09% 1.65 -3.45% 3.05x 60.0% 10.52% APPROVED AUDCAD 121 — -0.02% 0.90 -5.97% -0.50x 47.1% -2.96% REJECTED AUDCHF 117 — -0.23% 0.45 -24.84% -1.07x 43.6% -26.68% REJECTED NZDJPY 120 — -0.10% 0.74 -11.83% -1.04x 49.2% -12.25% REJECTED NZDCAD 110 — -0.06% 0.77 -9.11% -0.71x 45.5% -6.50% REJECTED PORTFOLIO TOTAL 2840 — -0.03% 0.88 -24.84% -0.15x 48.3% -3.79% —
Signal Quality Gates
PASS Trade Count — max 134, required ≥50FAIL Expectancy — avg -0.03%, required >0%FAIL Profit Factor — avg 0.92, required ≥1.2INFO Max Drawdown — worst -24.84% across instruments (gated only if < −30%)INFO Return / Max DD — avg -0.17x (final return ÷ |max DD|, informational)Monthly Consistency
Overall regime behaviour: Inconsistent
EURUSD [MIXED] GBPUSD [MIXED] USDJPY [UNSTABLE] AUDUSD [MIXED] NZDUSD [MIXED] USDCAD [MIXED] USDCHF [UNSTABLE] EURGBP [MIXED] EURJPY [UNSTABLE] EURAUD [UNSTABLE] EURNZD [MIXED] EURCAD [UNSTABLE] EURCHF [UNSTABLE] GBPJPY [UNSTABLE] GBPAUD [MIXED] GBPNZD [MIXED] GBPCAD [MIXED] GBPCHF [MIXED] AUDJPY [MIXED] 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: -5.37%
Return Peak: 1.15%
Return Trough: -8.04%
Max DD: -9.20%
Max Run-Up: +8.02%
GBPUSD
Final Return: +2.30%
Return Peak: 3.75%
Return Trough: -4.86%
Max DD: -8.60%
Max Run-Up: +8.01%
USDJPY
Final Return: -13.55%
Return Peak: 1.06%
Return Trough: -13.55%
Max DD: -14.61%
Max Run-Up: +4.86%
AUDUSD
Final Return: +8.96%
Return Peak: 12.94%
Return Trough: -6.00%
Max DD: -9.50%
Max Run-Up: +18.94%
NZDUSD
Final Return: +1.48%
Return Peak: 11.07%
Return Trough: -4.25%
Max DD: -9.59%
Max Run-Up: +15.32%
USDCAD
Final Return: +7.92%
Return Peak: 8.81%
Return Trough: -2.30%
Max DD: -5.13%
Max Run-Up: +11.12%
USDCHF
Final Return: -7.38%
Return Peak: 0.19%
Return Trough: -8.34%
Max DD: -8.52%
Max Run-Up: +7.51%
EURGBP
Final Return: -2.78%
Return Peak: 3.74%
Return Trough: -4.43%
Max DD: -8.17%
Max Run-Up: +3.96%
EURJPY
Final Return: -11.80%
Return Peak: 1.54%
Return Trough: -14.45%
Max DD: -16.00%
Max Run-Up: +4.51%
EURAUD
Final Return: -1.28%
Return Peak: 0.00%
Return Trough: -8.17%
Max DD: -8.17%
Max Run-Up: +6.88%
EURNZD
Final Return: -0.27%
Return Peak: 3.04%
Return Trough: -6.84%
Max DD: -6.84%
Max Run-Up: +9.89%
EURCAD
Final Return: -8.21%
Return Peak: 2.31%
Return Trough: -13.05%
Max DD: -15.36%
Max Run-Up: +4.84%
EURCHF
Final Return: -2.66%
Return Peak: 1.12%
Return Trough: -3.35%
Max DD: -4.47%
Max Run-Up: +3.80%
GBPJPY
Final Return: -9.71%
Return Peak: 0.10%
Return Trough: -14.47%
Max DD: -14.57%
Max Run-Up: +5.51%
GBPAUD
Final Return: -1.46%
Return Peak: 0.35%
Return Trough: -5.42%
Max DD: -5.77%
Max Run-Up: +5.40%
GBPNZD
Final Return: -2.09%
Return Peak: 1.30%
Return Trough: -7.45%
Max DD: -7.45%
Max Run-Up: +8.74%
GBPCAD
Final Return: +4.29%
Return Peak: 7.55%
Return Trough: -0.84%
Max DD: -6.29%
Max Run-Up: +8.38%
GBPCHF
Final Return: -2.23%
Return Peak: 2.61%
Return Trough: -2.50%
Max DD: -5.10%
Max Run-Up: +4.24%
AUDJPY
Final Return: -0.13%
Return Peak: 2.74%
Return Trough: -7.92%
Max DD: -10.66%
Max Run-Up: +10.10%
AUDNZD
Final Return: +9.91%
Return Peak: 10.45%
Return Trough: 0.00%
Max DD: -3.45%
Max Run-Up: +10.45%
AUDCAD
Final Return: -2.60%
Return Peak: 2.51%
Return Trough: -5.41%
Max DD: -5.97%
Max Run-Up: +7.92%
AUDCHF
Final Return: -24.84%
Return Peak: 0.00%
Return Trough: -24.84%
Max DD: -24.84%
Max Run-Up: +5.16%
NZDJPY
Final Return: -11.83%
Return Peak: 0.00%
Return Trough: -11.83%
Max DD: -11.83%
Max Run-Up: +7.07%
NZDCAD
Final Return: -6.18%
Return Peak: 0.00%
Return Trough: -9.11%
Max DD: -9.11%
Max Run-Up: +7.89%