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 | Timeframe: Weekly (W1 native — mechanics corrected) | Data: 2021-05-07 → 2026-05-01 | 261 W1 bars | Generated: 2026-05-02 20:38 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

0/3 instruments passed gating.
Below 60% approval threshold.

Primary Failure Driver

Below minimum profit factor

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
PORTFOLIO TOTAL	371	70	0.22%	1.34	-16.10%	54.7%	26.65%	—

Fail Summary

PASS Trade Count — max 127, required ≥50
PASS Expectancy — avg 0.22%, required >0%
PASS Profit Factor — avg 1.37, required ≥1.2
FAIL Max Drawdown — worst -16.10%, threshold ≥-5%

Monthly Consistency

Overall regime behaviour: Inconsistent

EURUSD [MIXED]GBPUSD [MIXED]USDJPY [MIXED]

Year	Month	EURUSD	GBPUSD	USDJPY
2021	06	—	0.40%	0.37%
2021	07	-0.17%	-0.62%	0.32%
2021	08	-1.90%	-2.85%	—
2021	09	-2.33%	-3.01%	—
2021	10	1.96%	-2.02%	7.08%
2021	11	0.78%	1.09%	-0.76%
2021	12	0.93%	0.93%	-1.52%
2022	01	-0.28%	0.81%	-1.67%
2022	02	-2.90%	-2.54%	-1.17%
2022	03	3.98%	1.60%	—
2022	04	3.38%	4.98%	17.14%
2022	05	2.40%	2.81%	2.21%
2022	06	-5.21%	-6.40%	3.32%
2022	07	5.46%	4.35%	1.47%
2022	08	0.44%	-4.48%	-5.37%
2022	09	-0.52%	10.21%	12.06%
2022	10	-0.30%	-3.27%	1.52%
2022	11	5.98%	2.52%	-1.35%
2022	12	2.87%	5.85%	5.21%
2023	01	1.68%	-1.34%	3.71%
2023	02	1.86%	-3.34%	0.83%
2023	03	-0.61%	—	1.71%
2023	04	—	3.29%	-2.78%
2023	05	-1.74%	-3.26%	3.15%
2023	06	-0.05%	-2.86%	1.90%
2023	07	0.27%	0.29%	-4.00%
2023	08	-0.64%	-1.21%	-2.11%
2023	09	4.19%	3.80%	4.24%
2023	10	0.51%	2.45%	1.10%
2023	11	1.97%	1.88%	1.09%
2023	12	-4.37%	-0.32%	5.72%
2024	01	-0.64%	—	-2.50%
2024	02	0.64%	-0.28%	0.74%
2024	03	-0.73%	-1.86%	-4.41%
2024	04	2.81%	1.29%	1.20%
2024	05	1.20%	-0.51%	-3.35%
2024	06	-0.62%	-0.28%	1.91%
2024	07	-0.86%	-3.24%	-3.23%
2024	08	1.07%	-5.09%	12.72%
2024	09	-0.53%	0.77%	2.48%
2024	10	-0.48%	-3.12%	0.46%
2024	11	5.83%	3.77%	3.40%
2024	12	-0.57%	-2.46%	-4.47%
2025	01	-0.08%	0.79%	3.16%
2025	02	-0.70%	-0.85%	0.50%
2025	03	-0.79%	5.05%	-0.88%
2025	04	4.43%	—	-2.66%
2025	05	-2.05%	-0.38%	-2.23%
2025	06	-0.35%	0.33%	-1.12%
2025	07	0.87%	-2.86%	0.52%
2025	08	-0.89%	-0.48%	-0.02%
2025	09	0.04%	-0.34%	—
2025	10	1.07%	1.49%	-0.16%
2025	11	0.14%	0.27%	2.64%
2025	12	-0.66%	2.50%	-0.79%
2026	01	-2.01%	-2.94%	-1.88%
2026	02	-2.45%	-2.76%	0.82%
2026	03	3.61%	2.64%	-0.13%
2026	04	-0.82%	-2.40%	-0.90%
2026	05	0.42%	1.37%	—
TOTAL		24.55%28/58 pos	0.16%27/57 pos	55.25%31/55 pos

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%