KALAYA CAPITAL

Signal Quality Model · D1 Structural Breakout Pullback — Extended Timing & Structure Sweep ISOLATED

Extends the pullback sweep: tests how many bars after the breakout the pullback must occur, with intermediate bars required to hold above the breakout level.

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) | Data: 2025-05-02 → 2026-05-01 | 259 D1 bars | Generated: 2026-05-03 18:11 UTC

Signal-quality model. Returns are 1× notional price returns with no leverage, lot sizing, or risk weighting applied. All qualifying setups are taken. No position sizing. No execution costs.

Strategy	Structural breakout + delayed pullback confirmation. Long only. No filters.
range_lookback	Prior bars defining the structural range high. Tested: 3, 4, 5, 10, 20. (5 values)
pullback_delay	Which bar after the breakout the pullback must occur on. Intermediate bars must NOT touch range_high or the setup is abandoned. Tested: 1, 2, 3. (3 values)
hold_bars	D1 bars held after entry. Tested: 1, 2, 3, 4, 5. (5 values)
Combinations	75 combinations (5 × 3 × 5) × 24 instruments = 1,800 runs
Entry	`open[t + pullback_delay + 1]` — open of bar after pullback confirmation
Exit	`close[entry + hold_bars − 1]` — fixed hold, no SL/TP
Model type	Signal-quality only. No lot sizing, no risk weighting, no execution costs.

EXECUTIVE SUMMARY ISOLATED

23 of 75 combinations (31%) achieve PF > 1.0; 16 achieve PF > 1.2. Strongest average performance at delay=3 and lookback=10. Portfolio PF ranges 0.0881–4.0699.

Best Portfolio PF

4.0699

hold=5, delay=3, lookback=20

Best Portfolio Exp

0.3788%

hold=5, delay=3, lookback=5

PF > 1.0

23/75

31% of combinations

PF > 1.2

16/75

pass threshold

Stable Instruments

≥70% approval rate

Candidate Instruments

≥50% approval rate

RESEARCH DECISION

REJECT

Portfolio PF > 1.0 in only 23/75 combinations (31%). Only 0 instrument(s) pass approval in ≥50% of combinations. Insufficient evidence of edge across the full extended parameter space.

Robustness Assessment

ISOLATED

Only 23/75 (31%) combinations achieve PF > 1.0. Performance is isolated to a small region of the extended parameter space.

PF range: 0.0881–4.0699. Mean: 1.0977. Std dev: 0.7931. Best: hold=5, delay=3, lookback=20, PF=4.0699.

Observations

Averaged across all other parameters, hold_bars=5 produced the highest mean portfolio PF (1.3872).
Averaged across all other parameters, range_lookback=10 produced the highest mean portfolio PF (1.6617).
Averaged across all other parameters, pullback_delay=3 produced the highest mean portfolio PF (1.4999).
0 of 75 parameter combinations produced at least one approved instrument.
No instruments approved in any combination.

STABLE INSTRUMENTS

STABLE INSTRUMENTS approved in ≥70% of 75 parameter combinations 0 instruments meet ≥70% threshold

No instruments approved in ≥70% of parameter combinations.

PORTFOLIO CANDIDATE SET

No instruments approved in ≥50% of combinations.

1. Summary Table — All 75 Combinations

Delay	Hold	Lookback	Trades	Avg/Inst	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
1	1	3	356	14.8	0.9153	-0.0136%	-1.43%	—
1	1	4	311	13.0	0.7415	-0.0459%	-1.54%	—
1	1	5	289	12.0	0.8390	-0.0269%	-1.39%	—
1	1	10	190	7.9	0.6967	-0.0581%	-1.16%	—
1	1	20	130	5.4	0.4605	-0.1194%	-0.85%	—
1	2	3	356	14.8	0.9393	-0.0132%	-1.89%	—
1	2	4	311	13.0	0.8491	-0.0351%	-1.90%	—
1	2	5	289	12.0	0.8949	-0.0241%	-1.77%	—
1	2	10	190	7.9	0.7383	-0.0681%	-1.51%	—
1	2	20	130	5.4	0.4924	-0.1443%	-1.10%	—
1	3	3	355	14.8	0.9676	-0.0081%	-2.18%	—
1	3	4	310	12.9	0.8777	-0.0321%	-2.05%	—
1	3	5	288	12.0	0.9256	-0.0189%	-1.92%	—
1	3	10	188	7.8	0.7456	-0.0698%	-1.53%	—
1	3	20	129	5.4	0.4733	-0.1616%	-1.19%	—
1	4	3	353	14.7	0.9253	-0.0232%	-3.01%	—
1	4	4	309	12.9	0.8382	-0.0522%	-2.84%	—
1	4	5	287	12.0	0.8614	-0.0441%	-2.72%	—
1	4	10	187	7.8	0.7313	-0.0919%	-1.97%	—
1	4	20	127	5.3	0.4450	-0.2063%	-1.33%	—
1	5	3	353	14.7	0.7716	-0.0846%	-3.63%	—
1	5	4	309	12.9	0.7223	-0.1044%	-3.42%	—
1	5	5	287	12.0	0.7042	-0.1103%	-3.29%	—
1	5	10	187	7.8	0.6319	-0.1445%	-2.35%	—
1	5	20	127	5.3	0.4044	-0.2471%	-1.57%	—
2	1	3	26	1.1	0.8604	-0.0274%	-0.02%	—
2	1	4	22	0.9	0.7274	-0.0508%	-0.02%	—
2	1	5	19	0.8	0.4639	-0.1152%	-0.02%	—
2	1	10	10	0.4	3.1633	0.1048%	0.00%	—
2	1	20	6	0.2	0.9895	-0.0007%	0.00%	—
2	2	3	26	1.1	0.8978	-0.0257%	-0.10%	—
2	2	4	22	0.9	0.7449	-0.0669%	-0.11%	—
2	2	5	19	0.8	1.0060	0.0013%	0.00%	—
2	2	10	10	0.4	2.4406	0.1909%	0.00%	—
2	2	20	6	0.2	1.1104	0.0137%	0.00%	—
2	3	3	26	1.1	0.5566	-0.1919%	-0.15%	—
2	3	4	22	0.9	0.4104	-0.2816%	-0.17%	—
2	3	5	19	0.8	0.4749	-0.2343%	-0.03%	—
2	3	10	10	0.4	2.9913	0.2610%	0.00%	—
2	3	20	6	0.2	0.8966	-0.0220%	0.00%	—
2	4	3	26	1.1	0.4054	-0.3001%	-0.13%	—
2	4	4	22	0.9	0.3236	-0.3757%	-0.15%	—
2	4	5	19	0.8	0.3690	-0.3454%	-0.02%	—
2	4	10	10	0.4	2.1369	0.1970%	0.00%	—
2	4	20	6	0.2	0.8326	-0.0422%	0.00%	—
2	5	3	26	1.1	0.4085	-0.3116%	-0.20%	—
2	5	4	22	0.9	0.3614	-0.3746%	-0.23%	—
2	5	5	19	0.8	0.4094	-0.3211%	-0.04%	—
2	5	10	10	0.4	2.5510	0.2912%	0.00%	—
2	5	20	6	0.2	0.7059	-0.0920%	0.00%	—
3	1	3	14	0.6	1.1858	0.0190%	-0.02%	—
3	1	4	12	0.5	0.9202	-0.0095%	-0.00%	—
3	1	5	11	0.5	0.9451	-0.0070%	0.00%	—
3	1	10	10	0.4	1.8415	0.0753%	-0.04%	—
3	1	20	6	0.2	0.9857	-0.0014%	0.00%	—
3	2	3	14	0.6	0.7501	-0.0446%	-0.16%	—
3	2	4	12	0.5	1.0201	0.0031%	-0.11%	—
3	2	5	11	0.5	1.9320	0.0821%	-0.01%	—
3	2	10	10	0.4	2.8115	0.1587%	-0.03%	—
3	2	20	6	0.2	1.1601	0.0227%	0.00%	—
3	3	3	14	0.6	0.7084	-0.0637%	-0.17%	—
3	3	4	12	0.5	0.7910	-0.0477%	-0.09%	—
3	3	5	11	0.5	1.0556	0.0104%	-0.01%	—
3	3	10	10	0.4	0.6962	-0.0741%	-0.10%	—
3	3	20	6	0.2	0.0881	-0.3118%	-0.02%	—
3	4	3	14	0.6	1.5127	0.1027%	-0.10%	—
3	4	4	12	0.5	2.0240	0.1788%	-0.04%	—
3	4	5	11	0.5	2.3881	0.2241%	-0.01%	—
3	4	10	10	0.4	1.1459	0.0329%	-0.05%	—
3	4	20	6	0.2	0.3984	-0.1556%	-0.01%	—
3	5	3	14	0.6	1.8775	0.2078%	-0.09%	—
3	5	4	12	0.5	2.5619	0.3162%	-0.04%	—
3	5	5	11	0.5	3.0250	0.3788%	0.00%	—
3	5	10	10	0.4	1.6028	0.1699%	0.00%	—
3	5	20	6	0.2	4.0699	0.2756%	0.00%	—

2. Parameter Region Analysis

By Pullback Delay

Value	Combos	Avg Port. PF	Avg Port. Exp%	PF > 1.0	PF > 1.2
delay=1	25	0.7437	-0.0779%	0/25 (0%)	0/25
delay=2	25	1.0495	-0.0848%	7/25 (28%)	5/25
delay=3	25	1.4999	0.0617%	16/25 (64%)	11/25

By Range Lookback

Value	Combos	Avg Port. PF	Avg Port. Exp%	PF > 1.0	PF > 1.2
lookback=3	15	0.9122	-0.0519%	3/15 (20%)	2/15
lookback=4	15	0.9276	-0.0652%	3/15 (20%)	2/15
lookback=5	15	1.0863	-0.0367%	5/15 (33%)	3/15
lookback=10	15	1.6617	0.0650%	9/15 (60%)	8/15
lookback=20	15	0.9009	-0.0795%	3/15 (20%)	1/15

By Hold Bars

Value	Combos	Avg Port. PF	Avg Port. Exp%	PF > 1.0	PF > 1.2
hold=1	15	1.0491	-0.0185%	3/15 (20%)	2/15
hold=2	15	1.1858	0.0034%	7/15 (47%)	3/15
hold=3	15	0.8439	-0.0831%	2/15 (13%)	1/15
hold=4	15	1.0225	-0.0601%	5/15 (33%)	4/15
hold=5	15	1.3872	-0.0100%	6/15 (40%)	6/15

▶ Across marginal averages: edge is strongest at delay=3, lookback=10, hold=5.

3. Heatmaps — Portfolio PF & Expectancy by Pullback Delay

Three slices of the parameter space, one per pullback_delay value. Each heatmap: rows = hold_bars, columns = range_lookback. Colour scale is shared across all slices for direct comparison.

Pullback Delay = 1 bar — best PF in slice: 0.9676

Rows = hold_bars | Columns = range_lookback | red = low → green = high (scale is global across all slices)

Portfolio Profit Factor

hold \ Lookback	3	4	5	10	20
1	0.9153	0.7415	0.8390	0.6967	0.4605
2	0.9393	0.8491	0.8949	0.7383	0.4924
3	0.9676	0.8777	0.9256	0.7456	0.4733
4	0.9253	0.8382	0.8614	0.7313	0.4450
5	0.7716	0.7223	0.7042	0.6319	0.4044

Portfolio Expectancy (%)

hold \ Lookback	3	4	5	10	20
1	-0.0136%	-0.0459%	-0.0269%	-0.0581%	-0.1194%
2	-0.0132%	-0.0351%	-0.0241%	-0.0681%	-0.1443%
3	-0.0081%	-0.0321%	-0.0189%	-0.0698%	-0.1616%
4	-0.0232%	-0.0522%	-0.0441%	-0.0919%	-0.2063%
5	-0.0846%	-0.1044%	-0.1103%	-0.1445%	-0.2471%

Pullback Delay = 2 bars — best PF in slice: 3.1633

Rows = hold_bars | Columns = range_lookback | red = low → green = high (scale is global across all slices)

Portfolio Profit Factor

hold \ Lookback	3	4	5	10	20
1	0.8604	0.7274	0.4639	3.1633	0.9895
2	0.8978	0.7449	1.0060	2.4406	1.1104
3	0.5566	0.4104	0.4749	2.9913	0.8966
4	0.4054	0.3236	0.3690	2.1369	0.8326
5	0.4085	0.3614	0.4094	2.5510	0.7059

Portfolio Expectancy (%)

hold \ Lookback	3	4	5	10	20
1	-0.0274%	-0.0508%	-0.1152%	0.1048%	-0.0007%
2	-0.0257%	-0.0669%	0.0013%	0.1909%	0.0137%
3	-0.1919%	-0.2816%	-0.2343%	0.2610%	-0.0220%
4	-0.3001%	-0.3757%	-0.3454%	0.1970%	-0.0422%
5	-0.3116%	-0.3746%	-0.3211%	0.2912%	-0.0920%

Pullback Delay = 3 bars — best PF in slice: 4.0699

Rows = hold_bars | Columns = range_lookback | red = low → green = high (scale is global across all slices)

Portfolio Profit Factor

hold \ Lookback	3	4	5	10	20
1	1.1858	0.9202	0.9451	1.8415	0.9857
2	0.7501	1.0201	1.9320	2.8115	1.1601
3	0.7084	0.7910	1.0556	0.6962	0.0881
4	1.5127	2.0240	2.3881	1.1459	0.3984
5	1.8775	2.5619	3.0250	1.6028	4.0699

Portfolio Expectancy (%)

hold \ Lookback	3	4	5	10	20
1	0.0190%	-0.0095%	-0.0070%	0.0753%	-0.0014%
2	-0.0446%	0.0031%	0.0821%	0.1587%	0.0227%
3	-0.0637%	-0.0477%	0.0104%	-0.0741%	-0.3118%
4	0.1027%	0.1788%	0.2241%	0.0329%	-0.1556%
5	0.2078%	0.3162%	0.3788%	0.1699%	0.2756%

4. Heatmap Interpretation

Hold axis: Portfolio PF is non-monotonic w.r.t. hold_bars; peaks at hold=5.
Lookback axis: Portfolio PF is non-monotonic w.r.t. lookback; best at lookback=10.
Delay axis: Portfolio PF improves as pullback_delay increases; best at delay=3.
Concentration: Large PF range (3.9818) — performance is concentrated, not evenly distributed.

5. Trade Frequency vs Edge

By Hold Bars

hold_bars	Avg Trades	Avg PF	Avg Exp%
1	94	1.0491	-0.0185%
2	94	1.1858	0.0034%
3	94	0.8439	-0.0831%
4	93	1.0225	-0.0601%
5	93	1.3872	-0.0100%

By Range Lookback

range_lookback	Avg Trades	Avg PF	Avg Exp%
3	132	0.9122	-0.0519%
4	115	0.9276	-0.0652%
5	106	1.0863	-0.0367%
10	69	1.6617	0.0650%
20	47	0.9009	-0.0795%

By Pullback Delay

pullback_delay	Avg Trades	Avg PF	Avg Exp%
1	254	0.7437	-0.0779%
2	17	1.0495	-0.0848%
3	11	1.4999	0.0617%

▶ Hold: no strong linear relationship between trade count and PF. / Lookback: no strong linear relationship between trade count and PF. / Delay: higher trade count (lower value) correlates with lower PF.

6. Per-Instrument Results (averaged across all combinations)

Instrument	Avg Trades/Combo	Avg PF	Avg Exp%	Avg MaxDD	Combos Approved	% Approved
AUDCAD	3	inf	0.0213%	-0.42%	0/75	0%
AUDCHF	4	0.3040	-0.0159%	-0.69%	0/75	0%
AUDJPY	8	inf	-0.0641%	-1.10%	0/75	0%
AUDNZD	7	inf	0.0179%	-0.45%	0/75	0%
AUDUSD	5	inf	-0.2815%	-1.16%	0/75	0%
EURAUD	3	inf	0.1139%	-0.32%	0/75	0%
EURCAD	4	1.9099	0.0144%	-0.36%	0/75	0%
EURCHF	3	inf	0.0735%	-0.14%	0/75	0%
EURGBP	5	inf	0.1534%	-0.48%	0/75	0%
EURJPY	6	0.5613	0.0377%	-0.76%	0/75	0%
EURNZD	4	0.2326	-0.0349%	-0.85%	0/75	0%
EURUSD	3	inf	-0.0622%	-0.73%	0/75	0%
GBPAUD	2	0.5612	-0.0178%	-0.26%	0/75	0%
GBPCAD	2	0.3315	-0.0244%	-0.34%	0/75	0%
GBPCHF	3	0.2149	-0.0306%	-0.43%	0/75	0%
GBPJPY	4	0.2482	-0.1246%	-0.48%	0/75	0%
GBPNZD	4	inf	0.0449%	-0.57%	0/75	0%
GBPUSD	3	inf	-0.0265%	-0.61%	0/75	0%
NZDCAD	2	inf	-0.1718%	-0.81%	0/75	0%
NZDJPY	4	inf	-0.0404%	-1.18%	0/75	0%
NZDUSD	3	inf	-0.5588%	-1.20%	0/75	0%
USDCAD	4	inf	0.0696%	-0.44%	0/75	0%
USDCHF	4	0.1041	-0.2846%	-1.41%	0/75	0%
USDJPY	6	inf	0.1549%	-1.07%	0/75	0%

7a. Top Combinations by Portfolio Profit Factor

#	Hold	Delay	Lookback	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
#1	5	3	20	6	4.0699	0.2756%	0.00%	—
#2	1	2	10	10	3.1633	0.1048%	0.00%	—
#3	5	3	5	11	3.0250	0.3788%	0.00%	—
#4	3	2	10	10	2.9913	0.2610%	0.00%	—
#5	2	3	10	10	2.8115	0.1587%	-0.03%	—
#6	5	3	4	12	2.5619	0.3162%	-0.04%	—
#7	5	2	10	10	2.5510	0.2912%	0.00%	—
#8	2	2	10	10	2.4406	0.1909%	0.00%	—
#9	4	3	5	11	2.3881	0.2241%	-0.01%	—
#10	4	2	10	10	2.1369	0.1970%	0.00%	—

7b. Top Combinations by Portfolio Expectancy

#	Hold	Delay	Lookback	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
#1	5	3	5	11	3.0250	0.3788%	0.00%	—
#2	5	3	4	12	2.5619	0.3162%	-0.04%	—
#3	5	2	10	10	2.5510	0.2912%	0.00%	—
#4	5	3	20	6	4.0699	0.2756%	0.00%	—
#5	3	2	10	10	2.9913	0.2610%	0.00%	—
#6	4	3	5	11	2.3881	0.2241%	-0.01%	—
#7	5	3	3	14	1.8775	0.2078%	-0.09%	—
#8	4	2	10	10	2.1369	0.1970%	0.00%	—
#9	2	2	10	10	2.4406	0.1909%	0.00%	—
#10	4	3	4	12	2.0240	0.1788%	-0.04%	—