Past verification result rogic CCI && Bollinger Bands ~part1~

本日は短期売買のバックテストをとってみたので、そちらを紹介しようと思います。

今回の検証は判定時刻は1分後、3分後、5分後で取得していこうと思います。

取得期間は2016/01/01-2020/07/27の約4年半です。

使用するロジック

1分のCCIが－200以下かつ5分のCCIが－200以下かつ5分足のボリバンが2σ以下1分のボリバンが3σ以下でHighエントリー

1分のCCIが200以上かつ5分のCCIが200以上かつ5分足のボリバンが2σ以上1分足のボリバンが3σ以上でLowエントリー

それでは実際に検証していきます！

 

EURGBP
1分後
High: W:333 L:228 59.36%
Low: W:284 L:200 58.68%
Total:W:617 L:428 59.04%
Entry:¥5,225,000
Profit:¥2,776,500
Loss:¥2,140,000
Total:¥636,500
PF:1.3%
3分後
High: W:350 L:213 62.17%
Low: W:289 L:198 59.34%
Total:W:639 L:411 60.86%
Entry:¥5,250,000
Profit:¥2,875,500
Loss:¥2,055,000
Total:¥820,500
PF:1.4%
5分後
High: W:352 L:210 62.63%
Low: W:282 L:205 57.91%
Total:W:634 L:415 60.44%
Entry:¥5,245,000
Profit:¥2,694,500
Loss:¥2,075,000
Total:¥619,500
PF:1.3%

CADJPY
1分後
High: W:243 L:177 57.86%
Low: W:217 L:171 55.93%
Total:W:460 L:348 56.93%
Entry:¥4,040,000
Profit:¥2,070,000
Loss:¥1,740,000
Total:¥330,000
PF:1.19%
3分後
High: W:242 L:179 57.48%
Low: W:226 L:162 58.25%
Total:W:468 L:341 57.85%
Entry:¥4,045,000
Profit:¥2,106,000
Loss:¥1,705,000
Total:¥401,000
PF:1.24%
5分後
High: W:229 L:191 54.52%
Low: W:218 L:170 56.19%
Total:W:447 L:361 55.32%
Entry:¥4,040,000
Profit:¥1,899,750
Loss:¥1,805,000
Total:¥94,750
PF:1.05%

CHFJPY
1分後
High: W:302 L:172 63.71%
Low: W:223 L:127 63.71%
Total:W:525 L:299 63.71%
Entry:¥4,120,000
Profit:¥2,362,500
Loss:¥1,495,000
Total:¥867,500
PF:1.58%
3分後
High: W:297 L:176 62.79%
Low: W:233 L:117 66.57%
Total:W:530 L:293 64.4%
Entry:¥4,115,000
Profit:¥2,385,000
Loss:¥1,465,000
Total:¥920,000
PF:1.63%
5分後
High: W:300 L:175 63.16%
Low: W:223 L:128 63.53%
Total:W:523 L:303 63.32%
Entry:¥4,130,000
Profit:¥2,222,750
Loss:¥1,515,000
Total:¥707,750
PF:1.47%

USDCAD
1分後
High: W:221 L:196 53.0%
Low: W:207 L:173 54.47%
Total:W:428 L:369 53.7%
Entry:¥3,985,000
Profit:¥1,926,000
Loss:¥1,845,000
Total:¥81,000
PF:1.04%
3分後
High: W:242 L:175 58.03%
Low: W:221 L:159 58.16%
Total:W:463 L:334 58.09%
Entry:¥3,985,000
Profit:¥2,083,500
Loss:¥1,670,000
Total:¥413,500
PF:1.25%
5分後
High: W:237 L:180 56.83%
Low: W:208 L:172 54.74%
Total:W:445 L:352 55.83%
Entry:¥3,985,000
Profit:¥1,891,250
Loss:¥1,760,000
Total:¥131,250
PF:1.07%

USDCHF
1分後
High: W:358 L:282 55.94%
Low: W:225 L:169 57.11%
Total:W:583 L:451 56.38%
Entry:¥5,170,000
Profit:¥2,623,500
Loss:¥2,255,000
Total:¥368,500
PF:1.16%
3分後
High: W:382 L:258 59.69%
Low: W:224 L:170 56.85%
Total:W:606 L:428 58.61%
Entry:¥5,170,000
Profit:¥2,727,000
Loss:¥2,140,000
Total:¥587,000
PF:1.27%
5分後
High: W:390 L:250 60.94%
Low: W:241 L:153 61.17%
Total:W:631 L:403 61.03%
Entry:¥5,170,000
Profit:¥2,681,750
Loss:¥2,015,000
Total:¥666,750
PF:1.33%