KALAYA CAPITAL

Signal Quality Model · D1 Structural Breakout Pullback — Parameter Sensitivity Sweep ISOLATED

Trades structural range breakouts with a 1-bar pullback confirmation, swept across hold duration and range lookback length.

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 18:09 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 + 1-bar pullback confirmation. Long only. No filters.
hold_bars	D1 bars held after entry. Tested: 1, 2, 3. (3 values)
range_lookback	Prior bars defining the structural range high. Tested: 10, 20. (2 values)
Combinations	6 combinations × 24 instruments = 144 runs
Entry	`open[t+2]` — open of bar after pullback confirmation (bar t+1 touch, bar t+2 entry)
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

No parameter combination achieves portfolio PF > 1.0. Best combination: lookback=10, PF=0.7269. Strategy does not demonstrate positive edge at the portfolio level.

Best Portfolio PF

0.7456

hold=3, lookback=10

Best Portfolio Exp

-0.0581%

hold=1, lookback=10

PF > 1.0

0/6

0% of combinations

PF > 1.2

0/6

pass threshold

Stable Instruments

≥70% approval rate

Candidate Instruments

≥50% approval rate

RESEARCH DECISION

REJECT

Portfolio PF > 1.0 in only 0/6 combinations (0%). Only 0 instrument(s) pass approval in ≥50% of combinations. Insufficient evidence of edge across the parameter space.

Robustness Assessment

ISOLATED

Only 0/6 (0%) combinations achieve PF > 1.0 and 0/6 achieve PF > 1.2. Performance is concentrated in a limited region of the parameter space.

PF range: 0.4605–0.7456. Mean: 0.6011. Std dev: 0.1391. Best: hold=3, lookback=10, PF=0.7456.

Observations

Averaged across all range_lookback values, hold_bars=2 produced the highest mean portfolio PF (0.6153).
Averaged across all hold_bars values, range_lookback=10 produced the highest mean portfolio PF (0.7269).
Portfolio PF peaks at hold_bars=2; non-monotonic relationship.
Portfolio PF is higher at range_lookback=10 (shorter structural range).
0 of 6 parameter combinations produced at least one approved instrument.
No instruments approved in any combination.

STABLE INSTRUMENTS

STABLE INSTRUMENTS approved in ≥70% of 6 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 6 Combinations

Hold	Lookback	Trades	Avg/Inst	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
1	10	190	7.9	0.6967	-0.0581%	-1.16%	—
1	20	130	5.4	0.4605	-0.1194%	-0.85%	—
2	10	190	7.9	0.7383	-0.0681%	-1.51%	—
2	20	130	5.4	0.4924	-0.1443%	-1.10%	—
3	10	188	7.8	0.7456	-0.0698%	-1.53%	—
3	20	129	5.4	0.4733	-0.1616%	-1.19%	—

2. Parameter Region Analysis

Region	Combos	Avg Port. PF	Avg Port. Exp%	PF > 1.0 (pass rate)	PF > 1.2
lookback=10	3	0.7269	-0.0653%	0/3 (0%)	0/3
lookback=20	3	0.4754	-0.1417%	0/3 (0%)	0/3

▶ Edge is concentrated in the lookback=10 region (highest avg portfolio PF). Performance at lookback=20 is substantially lower.

3a. Heatmap — Portfolio Profit Factor

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

hold \ Lookback	10	20
1	0.6967	0.4605
2	0.7383	0.4924
3	0.7456	0.4733

3b. Heatmap — Portfolio Expectancy (%)

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

hold \ Lookback	10	20
1	-0.0581%	-0.1194%
2	-0.0681%	-0.1443%
3	-0.0698%	-0.1616%

3c. Heatmap Interpretation

Hold axis: Portfolio PF is non-monotonic with respect to hold_bars; peaks at hold=2.
Lookback axis: Portfolio PF is higher at lookback=10 — shorter lookback captures more frequent pullback setups with stronger near-term momentum.
Concentration: Large value range (0.2851) 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	160	0.5786	-0.0887%
2	160	0.6153	-0.1062%
3	158	0.6095	-0.1157%

By Range Lookback

range_lookback	Avg Trades	Avg PF	Avg Exp%
10	189	0.7269	-0.0653%
20	130	0.4754	-0.1417%

▶ Hold bars: no strong monotonic relationship between trade count and PF. / Lookback: longer lookback generates fewer trades with higher PF — fewer but better-defined setups.

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

Instrument	Avg Trades/Combo	Avg PF	Avg Exp%	Avg MaxDD	Combos Approved	% Approved
AUDCAD	4	0.9352	-0.0503%	-1.10%	0/6	0%
AUDCHF	6	0.5649	-0.1181%	-1.34%	0/6	0%
AUDJPY	13	0.4325	-0.2050%	-2.83%	0/6	0%
AUDNZD	17	1.3834	0.0494%	-1.26%	0/6	0%
AUDUSD	8	0.2416	-0.3011%	-2.76%	0/6	0%
EURAUD	3	3.2330	0.1140%	-0.24%	0/6	0%
EURCAD	6	1.0192	-0.0040%	-1.16%	0/6	0%
EURCHF	6	1.6336	0.0394%	-0.54%	0/6	0%
EURGBP	7	1.5007	0.0418%	-0.54%	0/6	0%
EURJPY	12	1.9258	0.1089%	-1.11%	0/6	0%
EURNZD	8	1.0372	-0.0113%	-1.26%	0/6	0%
EURUSD	4	0.5972	-0.2803%	-1.33%	0/6	0%
GBPAUD	2	0.5762	-0.2150%	-0.28%	0/6	0%
GBPCAD	4	0.2443	-0.2818%	-1.23%	0/6	0%
GBPCHF	6	0.3735	-0.1372%	-1.07%	0/6	0%
GBPJPY	9	0.3586	-0.1556%	-1.48%	0/6	0%
GBPNZD	8	0.6302	-0.0955%	-1.20%	0/6	0%
GBPUSD	3	0.7796	-0.3902%	-0.59%	0/6	0%
NZDCAD	2	0.0000	-0.7109%	-1.22%	0/6	0%
NZDJPY	6	0.5331	-0.1557%	-1.06%	0/6	0%
NZDUSD	4	0.0797	-0.3987%	-1.40%	0/6	0%
USDCAD	7	1.0508	-0.0060%	-0.84%	0/6	0%
USDCHF	6	0.1528	-0.4631%	-2.19%	0/6	0%
USDJPY	8	0.7549	-0.1023%	-1.33%	0/6	0%

6a. Top Combinations by Portfolio Profit Factor

#	Hold	Lookback	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
#1	3	10	188	0.7456	-0.0698%	-1.53%	—
#2	2	10	190	0.7383	-0.0681%	-1.51%	—
#3	1	10	190	0.6967	-0.0581%	-1.16%	—
#4	2	20	130	0.4924	-0.1443%	-1.10%	—
#5	3	20	129	0.4733	-0.1616%	-1.19%	—
#6	1	20	130	0.4605	-0.1194%	-0.85%	—

6b. Top Combinations by Portfolio Expectancy

#	Hold	Lookback	Trades	Port. PF	Port. Exp%	Avg MaxDD	Approved Instruments
#1	1	10	190	0.6967	-0.0581%	-1.16%	—
#2	2	10	190	0.7383	-0.0681%	-1.51%	—
#3	3	10	188	0.7456	-0.0698%	-1.53%	—
#4	1	20	130	0.4605	-0.1194%	-0.85%	—
#5	2	20	130	0.4924	-0.1443%	-1.10%	—
#6	3	20	129	0.4733	-0.1616%	-1.19%	—