🔒 CONFIDENTIAL — KALAYA CAPITAL INTERNAL RESEARCH — NOT FOR DISTRIBUTION
🌙 Dark mode
Research Report · weekly_breakout_v1_w1
Trades breakouts of prior week's high/low using 2-week 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: Weekly (W1 native -- FX24 validation) |
Data: 2021-05-07 → 2026-05-01 |
261 W1 bars |
Generated: 2026-05-02 20:59 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 ≤ 5% — risk control
Final Decision
✘ REJECT
0/24 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 weekly OHLC bars pulled directly from IBKR. No H1 resampling. No trend filter, regime filter, or volatility filter applied. Trigger Current week's close breaks above prior week's high (LONG) or below prior week's low (SHORT). Signal confirmed at weekly close. Entry Entry at next weekly open (no lookahead). Signal confirmed at close[i], entry placed at open[i+1]. Exit Exit at weekly close after holding exactly 2 completed weekly bars from entry. Time-based exit only. No stop loss. No take profit. Risk Model Fixed 1x notional signal returns. No stop loss, take profit, lot sizing, or leverage applied. Signal-research model only — not execution-ready. Position Rules Overlapping signal trades allowed and tracked independently. Each breakout signal generates a trade regardless of open positions. Opposite-direction overlaps flagged overlap_conflict=True. No pyramiding.
Cross-Market Results
Instrument Trade Count Conflicts Expectancy Profit Factor
Max DD Win Rate Net PnL Status
EURUSD 126 32 0.19% 1.38 -6.31% 52.4% 24.55% REJECTED GBPUSD 127 22 0.00% 1.00 -16.10% 49.6% 0.16% REJECTED USDJPY 118 16 0.47% 1.73 -9.97% 62.7% 55.25% REJECTED AUDUSD 127 28 -0.07% 0.93 -31.58% 48.8% -8.31% REJECTED NZDUSD 139 34 0.14% 1.14 -33.15% 51.8% 19.97% REJECTED USDCAD 134 32 -0.07% 0.89 -16.11% 48.5% -8.80% REJECTED USDCHF 117 17 -0.11% 0.85 -22.99% 44.4% -12.53% REJECTED EURGBP 114 19 -0.18% 0.62 -20.83% 44.7% -20.27% REJECTED EURJPY 124 25 -0.03% 0.95 -23.09% 48.4% -4.32% REJECTED EURAUD 127 28 -0.08% 0.88 -29.16% 47.2% -10.47% REJECTED EURNZD 120 26 0.02% 1.02 -20.65% 50.0% 1.88% REJECTED EURCAD 119 32 -0.05% 0.91 -20.92% 47.1% -6.30% REJECTED EURCHF 122 30 -0.27% 0.58 -40.54% 44.3% -32.41% REJECTED GBPJPY 119 16 -0.20% 0.79 -29.70% 51.3% -23.22% REJECTED GBPAUD 127 18 -0.09% 0.88 -30.21% 45.7% -10.95% REJECTED GBPNZD 116 22 -0.06% 0.90 -23.56% 45.7% -7.24% REJECTED GBPCAD 130 28 -0.25% 0.65 -34.04% 41.5% -32.27% REJECTED GBPCHF 115 20 -0.42% 0.49 -51.19% 43.5% -47.85% REJECTED AUDJPY 111 17 0.09% 1.08 -31.83% 53.1% 9.78% REJECTED AUDNZD 137 34 0.08% 1.17 -12.38% 54.0% 11.00% REJECTED AUDCAD 126 24 -0.13% 0.80 -29.79% 45.2% -16.86% REJECTED AUDCHF 135 28 -0.23% 0.74 -44.28% 48.1% -30.40% REJECTED NZDJPY 131 42 -0.29% 0.74 -62.88% 39.7% -37.39% REJECTED NZDCAD 131 33 -0.11% 0.85 -46.68% 43.5% -14.81% REJECTED PORTFOLIO TOTAL 2992 623 -0.07% 0.91 -62.88% 48.0% -8.41% —
Fail Summary
PASS Trade Count — max 139, required ≥50FAIL Expectancy — avg -0.07%, required >0%FAIL Profit Factor — avg 0.92, required ≥1.2FAIL Max Drawdown — worst -62.88%, threshold ≥-5%Monthly Consistency
Overall regime behaviour: Inconsistent
EURUSD [MIXED] GBPUSD [MIXED] USDJPY [MIXED] AUDUSD [MIXED] NZDUSD [MIXED] USDCAD [UNSTABLE] USDCHF [MIXED] EURGBP [UNSTABLE] EURJPY [UNSTABLE] EURAUD [MIXED] EURNZD [MIXED] EURCAD [UNSTABLE] EURCHF [UNSTABLE] GBPJPY [UNSTABLE] GBPAUD [MIXED] GBPNZD [MIXED] GBPCAD [UNSTABLE] GBPCHF [UNSTABLE] AUDJPY [MIXED] AUDNZD [MIXED] AUDCAD [UNSTABLE] AUDCHF [MIXED] NZDJPY [UNSTABLE] NZDCAD [MIXED]
See per-instrument data files for monthly details.
Combined Equity Curves
Individual Equity Curves
EURUSD
Final Return: +24.72%
Return Peak: 27.80%
Return Trough: -4.23%
Max DD: -6.31%
Max Run-Up: +32.04%
GBPUSD
Final Return: -0.24%
Return Peak: 11.93%
Return Trough: -10.33%
Max DD: -16.10%
Max Run-Up: +22.25%
USDJPY
Final Return: +54.88%
Return Peak: 62.48%
Return Trough: -0.11%
Max DD: -9.97%
Max Run-Up: +62.59%
AUDUSD
Final Return: -11.34%
Return Peak: 14.22%
Return Trough: -17.36%
Max DD: -31.58%
Max Run-Up: +24.05%
NZDUSD
Final Return: +20.78%
Return Peak: 50.11%
Return Trough: -9.28%
Max DD: -33.15%
Max Run-Up: +59.39%
USDCAD
Final Return: -9.01%
Return Peak: 5.10%
Return Trough: -11.01%
Max DD: -16.11%
Max Run-Up: +13.53%
USDCHF
Final Return: -12.51%
Return Peak: 2.13%
Return Trough: -22.94%
Max DD: -22.99%
Max Run-Up: +25.07%
EURGBP
Final Return: -20.46%
Return Peak: 0.17%
Return Trough: -20.66%
Max DD: -20.83%
Max Run-Up: +4.33%
EURJPY
Final Return: -4.90%
Return Peak: 2.14%
Return Trough: -20.95%
Max DD: -23.09%
Max Run-Up: +17.27%
EURAUD
Final Return: -10.18%
Return Peak: 9.41%
Return Trough: -19.75%
Max DD: -29.16%
Max Run-Up: +14.84%
EURNZD
Final Return: +1.89%
Return Peak: 17.15%
Return Trough: -10.16%
Max DD: -20.65%
Max Run-Up: +27.31%
EURCAD
Final Return: -6.31%
Return Peak: 13.01%
Return Trough: -7.91%
Max DD: -20.92%
Max Run-Up: +18.73%
EURCHF
Final Return: -32.03%
Return Peak: 7.07%
Return Trough: -33.47%
Max DD: -40.54%
Max Run-Up: +8.10%
GBPJPY
Final Return: -23.85%
Return Peak: 0.00%
Return Trough: -29.70%
Max DD: -29.70%
Max Run-Up: +25.11%
GBPAUD
Final Return: -11.83%
Return Peak: 7.45%
Return Trough: -22.76%
Max DD: -30.21%
Max Run-Up: +12.01%
GBPNZD
Final Return: -7.54%
Return Peak: 8.87%
Return Trough: -14.69%
Max DD: -23.56%
Max Run-Up: +13.61%
GBPCAD
Final Return: -32.70%
Return Peak: 0.00%
Return Trough: -34.04%
Max DD: -34.04%
Max Run-Up: +10.97%
GBPCHF
Final Return: -47.47%
Return Peak: 0.99%
Return Trough: -50.20%
Max DD: -51.19%
Max Run-Up: +13.96%
AUDJPY
Final Return: +10.21%
Return Peak: 33.79%
Return Trough: -5.31%
Max DD: -31.83%
Max Run-Up: +39.09%
AUDNZD
Final Return: +12.51%
Return Peak: 14.07%
Return Trough: -3.48%
Max DD: -12.38%
Max Run-Up: +17.55%
AUDCAD
Final Return: -17.53%
Return Peak: 4.18%
Return Trough: -25.61%
Max DD: -29.79%
Max Run-Up: +18.69%
AUDCHF
Final Return: -31.19%
Return Peak: 11.36%
Return Trough: -32.92%
Max DD: -44.28%
Max Run-Up: +14.20%
NZDJPY
Final Return: -37.26%
Return Peak: 25.62%
Return Trough: -37.26%
Max DD: -62.88%
Max Run-Up: +36.47%
NZDCAD
Final Return: -15.41%
Return Peak: 28.09%
Return Trough: -18.59%
Max DD: -46.68%
Max Run-Up: +37.73%