KALAYA CAPITAL

D1 Momentum Breakout — Parameter Sensitivity Sweep ISOLATED

D1 FX24 Basket | V2 Logic: Breakout + MA Trend Filter | Signal-Quality Model | Robustness Analysis | Generated: 2026-05-03 12:27 UTC

hold_bars: 1, 2, 3, 4, 5, 6 | MA_period: 20, 30, 40, 50, 75, 100 | 36 combinations × 24 instruments = 864 runs | 0/36 combinations with portfolio PF > 1.2

EXECUTIVE SUMMARY ISOLATED

Edge concentrates exclusively at MA=100 (5/6 hold periods positive, PF 0.9803–1.0775). Absent across MA≤75. Parameter-sensitive to trend filter length.

Best Portfolio PF

1.0775

hold=5, MA=100

Best Portfolio Exp

0.0246%

hold=5, MA=100

PF > 1.0

5/36

14% of combinations

PF > 1.2

0/36

pass threshold

Stable Instruments

≥70% approval rate

Candidate Instruments

≥50% approval rate

RESEARCH DECISION

MODIFY

Edge exists at MA=100 (portfolio PF 1.0775 at hold=5) and 3 instruments pass approval in ≥50% of combinations (AUDNZD, AUDJPY). Portfolio PF > 1.2 in 0 of 36 combinations — strategy does not clear the full threshold at the basket level. Recommended path: restrict universe to stable instruments and re-test at MA=100.

Robustness Assessment

ISOLATED

Only 5/36 (14%) combinations achieve PF > 1.0 and 0/36 achieve PF > 1.2. Performance is concentrated in a limited region of the parameter space.

PF range: 0.7344–1.0775. Mean: 0.9064. Std dev: 0.0883. Best: hold=5, MA=100, PF=1.0775.

Observations

Averaged across all MA_period values, hold_bars=1 produced the highest mean portfolio PF (0.9617).
Averaged across all hold_bars values, MA_period=100 produced the highest mean portfolio PF (1.0282).
Portfolio PF decreases monotonically as hold_bars increases.
Portfolio PF peaks at MA_period=100; non-monotonic relationship.
36 of 36 parameter combinations produced at least one approved instrument.
Instruments approved in ≥70% of combinations: AUDJPY, AUDNZD.

STABLE INSTRUMENTS

STABLE INSTRUMENTS approved in ≥70% of 36 parameter combinations 2 instruments meet ≥70% threshold

Instrument	Approval Rate	Avg PF	Avg Exp%	Avg Trades/Combo	Avg MaxDD
AUDNZD	100% (36/36)	2.4114	0.1688%	74	-1.97%
AUDJPY	83% (30/36)	1.4736	0.1327%	75	-5.35%

PORTFOLIO CANDIDATE SET

PORTFOLIO CANDIDATE SET 3 instruments ≥50% approval

This subset represents the most stable tradable core of the strategy. Metrics are averages across all 36 parameter combinations. Portfolio aggregate (trade-count-weighted): PF≈1.7399, Expectancy≈0.1290%, Avg Trades/Combo≈220.

Instrument	% Approved	Avg PF	Avg Exp%	Avg Trades/Combo	Avg MaxDD
AUDNZD	100%	2.4114	0.1688%	74	-1.97%
AUDJPY	83%	1.4736	0.1327%	75	-5.35%
AUDUSD	50%	1.3148	0.0832%	71	-9.63%

1. Summary Table — All 36 Combinations

Hold	MA	Trades	Avg/Inst	Port. PF	Port. Exp%	Avg MaxDD	Approved	Approved Instruments
1	20	1996	83.2	0.9135	-0.0142%	-4.15%	5	AUDNZD, EURAUD, EURUSD, GBPUSD, NZDUSD
1	30	1826	76.1	0.9490	-0.0082%	-3.84%	5	AUDJPY, AUDNZD, EURUSD, GBPUSD, NZDUSD
1	40	1686	70.2	0.9225	-0.0126%	-3.67%	5	AUDJPY, AUDNZD, AUDUSD, GBPUSD, NZDUSD
1	50	1580	65.8	0.9573	-0.0068%	-3.45%	7	AUDCAD, AUDJPY, AUDNZD, AUDUSD, GBPUSD, NZDUSD, USDCAD
1	75	1332	55.5	0.9975	-0.0004%	-3.00%	7	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, USDCAD
1	100	1127	47.0	1.0305	0.0047%	-2.87%	6	AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, GBPJPY
2	20	1980	82.5	0.9142	-0.0190%	-6.04%	7	AUDJPY, AUDNZD, AUDUSD, EURUSD, GBPUSD, NZDUSD, USDCAD
2	30	1811	75.5	0.9418	-0.0129%	-5.57%	7	AUDJPY, AUDNZD, AUDUSD, EURUSD, GBPUSD, NZDUSD, USDCAD
2	40	1672	69.7	0.9163	-0.0191%	-5.25%	5	AUDJPY, AUDNZD, EURUSD, GBPUSD, USDCAD
2	50	1567	65.3	0.9192	-0.0184%	-4.99%	6	AUDCAD, AUDJPY, AUDNZD, AUDUSD, GBPUSD, USDCAD
2	75	1320	55.0	0.9743	-0.0056%	-4.49%	5	AUDCAD, AUDJPY, AUDNZD, AUDUSD, USDCAD
2	100	1114	46.4	1.0121	0.0027%	-4.25%	4	AUDJPY, AUDNZD, AUDUSD, GBPJPY
3	20	1970	82.1	0.8847	-0.0310%	-8.42%	3	AUDNZD, AUDUSD, NZDUSD
3	30	1803	75.1	0.9057	-0.0254%	-7.61%	3	AUDNZD, AUDUSD, NZDUSD
3	40	1663	69.3	0.8816	-0.0324%	-7.19%	4	AUDJPY, AUDNZD, AUDUSD, NZDUSD
3	50	1558	64.9	0.8871	-0.0308%	-6.81%	4	AUDCAD, AUDJPY, AUDNZD, USDCAD
3	75	1311	54.6	0.9561	-0.0115%	-5.68%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
3	100	1105	46.0	1.0261	0.0066%	-5.00%	5	AUDJPY, AUDNZD, AUDUSD, EURAUD, GBPAUD
4	20	1962	81.8	0.8297	-0.0543%	-10.71%	1	AUDNZD
4	30	1796	74.8	0.8600	-0.0441%	-9.35%	1	AUDNZD
4	40	1655	69.0	0.8339	-0.0533%	-8.95%	1	AUDNZD
4	50	1550	64.6	0.8651	-0.0426%	-8.18%	4	AUDCAD, AUDJPY, AUDNZD, GBPAUD
4	75	1303	54.3	0.9804	-0.0058%	-6.82%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
4	100	1097	45.7	1.0425	0.0122%	-5.84%	4	AUDJPY, AUDNZD, AUDUSD, EURAUD
5	20	1948	81.2	0.8171	-0.0666%	-13.39%	2	AUDJPY, AUDNZD
5	30	1782	74.2	0.8419	-0.0576%	-12.01%	2	AUDJPY, AUDNZD
5	40	1641	68.4	0.8145	-0.0683%	-11.39%	2	AUDJPY, AUDNZD
5	50	1538	64.1	0.8340	-0.0606%	-10.30%	3	AUDCAD, AUDJPY, AUDNZD
5	75	1291	53.8	0.9810	-0.0063%	-8.02%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
5	100	1084	45.2	1.0775	0.0246%	-6.70%	3	AUDJPY, AUDNZD, EURAUD
6	20	1945	81.0	0.7344	-0.1115%	-16.83%	2	AUDJPY, AUDNZD
6	30	1777	74.0	0.7531	-0.1037%	-15.02%	2	AUDJPY, AUDNZD
6	40	1636	68.2	0.7455	-0.1066%	-14.12%	2	AUDJPY, AUDNZD
6	50	1533	63.9	0.7499	-0.1060%	-13.19%	3	AUDJPY, AUDNZD, GBPAUD
6	75	1286	53.6	0.8994	-0.0393%	-9.97%	5	AUDCAD, AUDJPY, AUDNZD, AUDUSD, GBPAUD
6	100	1080	45.0	0.9803	-0.0073%	-8.52%	3	AUDJPY, AUDNZD, EURAUD

2. Parameter Region Analysis

Region	Combos	Avg Port. PF	Avg Port. Exp%	PF > 1.0 (pass rate)	PF > 1.2
MA ≤ 50	24	0.8613	-0.0461%	0/24 (0%)	0/24
MA = 75	6	0.9648	-0.0115%	0/6 (0%)	0/6
MA = 100	6	1.0282	0.0072%	5/6 (83%)	0/6

▶ Edge is concentrated in the MA = 100 region (highest avg portfolio PF). Performance in MA ≤ 50, MA = 75 is substantially lower.

3a. Heatmap — Portfolio Profit Factor

Rows = hold_bars | Columns = MA_period | red = low PF → green = high PF

hold \ MA	20	30	40	50	75	100
1	0.9135	0.9490	0.9225	0.9573	0.9975	1.0305
2	0.9142	0.9418	0.9163	0.9192	0.9743	1.0121
3	0.8847	0.9057	0.8816	0.8871	0.9561	1.0261
4	0.8297	0.8600	0.8339	0.8651	0.9804	1.0425
5	0.8171	0.8419	0.8145	0.8340	0.9810	1.0775
6	0.7344	0.7531	0.7455	0.7499	0.8994	0.9803

3b. Heatmap — Portfolio Expectancy (%)

Rows = hold_bars | Columns = MA_period | red = negative → green = positive

hold \ MA	20	30	40	50	75	100
1	-0.0142%	-0.0082%	-0.0126%	-0.0068%	-0.0004%	0.0047%
2	-0.0190%	-0.0129%	-0.0191%	-0.0184%	-0.0056%	0.0027%
3	-0.0310%	-0.0254%	-0.0324%	-0.0308%	-0.0115%	0.0066%
4	-0.0543%	-0.0441%	-0.0533%	-0.0426%	-0.0058%	0.0122%
5	-0.0666%	-0.0576%	-0.0683%	-0.0606%	-0.0063%	0.0246%
6	-0.1115%	-0.1037%	-0.1066%	-0.1060%	-0.0393%	-0.0073%

3c. Heatmap Interpretation

Hold axis: Portfolio PF decreases monotonically as hold_bars increases.
MA axis: Portfolio PF is non-monotonic with respect to MA_period; peaks at MA=100.
Concentration: Large value range (0.3431) indicates high concentration — performance is not evenly distributed across the grid.

4. Trade Frequency vs Edge

By Hold Bars

hold_bars	Avg Trades	Avg PF	Avg Exp%
1	1591	0.9617	-0.0062%
2	1577	0.9463	-0.0121%
3	1568	0.9235	-0.0207%
4	1560	0.9019	-0.0313%
5	1547	0.8943	-0.0391%
6	1543	0.8104	-0.0791%

By MA Period

MA_period	Avg Trades	Avg PF	Avg Exp%
20	1967	0.8489	-0.0494%
30	1799	0.8752	-0.0420%
40	1659	0.8524	-0.0487%
50	1554	0.8688	-0.0442%
75	1307	0.9648	-0.0115%
100	1101	1.0282	0.0072%

▶ Hold bars: fewer trades (longer holds) correlates with lower PF — shorter holds are more efficient. / MA period: shorter MA generates more trades with lower PF — longer filters improve signal quality.

5a. Top 10 by Portfolio Profit Factor

#	Hold	MA	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved	Approved Instruments
#1	5	100	1084	1.0775	0.0246%	-6.70%	3	AUDJPY, AUDNZD, EURAUD
#2	4	100	1097	1.0425	0.0122%	-5.84%	4	AUDJPY, AUDNZD, AUDUSD, EURAUD
#3	1	100	1127	1.0305	0.0047%	-2.87%	6	AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, GBPJPY
#4	3	100	1105	1.0261	0.0066%	-5.00%	5	AUDJPY, AUDNZD, AUDUSD, EURAUD, GBPAUD
#5	2	100	1114	1.0121	0.0027%	-4.25%	4	AUDJPY, AUDNZD, AUDUSD, GBPJPY
#6	1	75	1332	0.9975	-0.0004%	-3.00%	7	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, USDCAD
#7	5	75	1291	0.9810	-0.0063%	-8.02%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
#8	4	75	1303	0.9804	-0.0058%	-6.82%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
#9	6	100	1080	0.9803	-0.0073%	-8.52%	3	AUDJPY, AUDNZD, EURAUD
#10	2	75	1320	0.9743	-0.0056%	-4.49%	5	AUDCAD, AUDJPY, AUDNZD, AUDUSD, USDCAD

5b. Top 10 by Portfolio Expectancy

#	Hold	MA	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved	Approved Instruments
#1	5	100	1084	1.0775	0.0246%	-6.70%	3	AUDJPY, AUDNZD, EURAUD
#2	4	100	1097	1.0425	0.0122%	-5.84%	4	AUDJPY, AUDNZD, AUDUSD, EURAUD
#3	3	100	1105	1.0261	0.0066%	-5.00%	5	AUDJPY, AUDNZD, AUDUSD, EURAUD, GBPAUD
#4	1	100	1127	1.0305	0.0047%	-2.87%	6	AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, GBPJPY
#5	2	100	1114	1.0121	0.0027%	-4.25%	4	AUDJPY, AUDNZD, AUDUSD, GBPJPY
#6	1	75	1332	0.9975	-0.0004%	-3.00%	7	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURUSD, USDCAD
#7	2	75	1320	0.9743	-0.0056%	-4.49%	5	AUDCAD, AUDJPY, AUDNZD, AUDUSD, USDCAD
#8	4	75	1303	0.9804	-0.0058%	-6.82%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
#9	5	75	1291	0.9810	-0.0063%	-8.02%	8	AUDCAD, AUDJPY, AUDNZD, AUDUSD, EURAUD, EURNZD, GBPAUD, USDCAD
#10	1	50	1580	0.9573	-0.0068%	-3.45%	7	AUDCAD, AUDJPY, AUDNZD, AUDUSD, GBPUSD, NZDUSD, USDCAD