CCI & BBのMTF制御で勝率60%超え！？

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！

USDJPY
1分後
High: W:325 L:273 54.35%
Low: W:297 L:197 60.12%
Total:W:622 L:470 56.96%
Entry:¥5,460,000
Profit:¥2,799,000
Loss:¥2,350,000
Total:¥449,000
PF:1.19%
3分後
High: W:338 L:260 56.52%
Low: W:279 L:216 56.36%
Total:W:617 L:476 56.45%
Entry:¥5,465,000
Profit:¥2,776,500
Loss:¥2,380,000
Total:¥396,500
PF:1.17%
5分後
High: W:339 L:258 56.78%
Low: W:284 L:210 57.49%
Total:W:623 L:468 57.1%
Entry:¥5,455,000
Profit:¥2,647,750
Loss:¥2,340,000
Total:¥307,750
PF:1.13%

EURUSD
1分後
High: W:272 L:183 59.78%
Low: W:312 L:201 60.82%
Total:W:584 L:384 60.33%
Entry:¥4,840,000
Profit:¥2,628,000
Loss:¥1,920,000
Total:¥708,000
PF:1.37%
3分後
High: W:261 L:194 57.36%
Low: W:301 L:212 58.67%
Total:W:562 L:406 58.06%
Entry:¥4,840,000
Profit:¥2,529,000
Loss:¥2,030,000
Total:¥499,000
PF:1.25%
5分後
High: W:255 L:200 56.04%
Low: W:298 L:215 58.09%
Total:W:553 L:415 57.13%
Entry:¥4,840,000
Profit:¥2,350,250
Loss:¥2,075,000
Total:¥275,250
PF:1.13%

EURJPY
1分後
High: W:292 L:219 57.14%
Low: W:277 L:180 60.61%
Total:W:569 L:399 58.78%
Entry:¥4,840,000
Profit:¥2,560,500
Loss:¥1,995,000
Total:¥565,500
PF:1.28%
3分後
High: W:296 L:215 57.93%
Low: W:272 L:185 59.52%
Total:W:568 L:400 58.68%
Entry:¥4,840,000
Profit:¥2,556,000
Loss:¥2,000,000
Total:¥556,000
PF:1.28%
5分後
High: W:288 L:223 56.36%
Low: W:264 L:192 57.89%
Total:W:552 L:415 57.08%
Entry:¥4,835,000
Profit:¥2,346,000
Loss:¥2,075,000
Total:¥271,000
PF:1.13%

EURAUD
1分後
High: W:353 L:207 63.04%
Low: W:224 L:158 58.64%
Total:W:577 L:365 61.25%
Entry:¥4,710,000
Profit:¥2,596,500
Loss:¥1,825,000
Total:¥771,500
PF:1.42%
3分後
High: W:390 L:171 69.52%
Low: W:234 L:148 61.26%
Total:W:624 L:319 66.17%
Entry:¥4,715,000
Profit:¥2,808,000
Loss:¥1,595,000
Total:¥1,213,000
PF:1.76%
5分後
High: W:376 L:184 67.14%
Low: W:228 L:153 59.84%
Total:W:604 L:337 64.19%
Entry:¥4,705,000
Profit:¥2,567,000
Loss:¥1,685,000
Total:¥882,000
PF:1.52%

GBPJPY
1分後
High: W:335 L:218 60.58%
Low: W:267 L:203 56.81%
Total:W:602 L:421 58.85%
Entry:¥5,115,000
Profit:¥2,709,000
Loss:¥2,105,000
Total:¥604,000
PF:1.29%
3分後
High: W:337 L:216 60.94%
Low: W:270 L:200 57.45%
Total:W:607 L:416 59.34%
Entry:¥5,115,000
Profit:¥2,731,500
Loss:¥2,080,000
Total:¥651,500
PF:1.31%
5分後
High: W:328 L:226 59.21%
Low: W:273 L:199 57.84%
Total:W:601 L:425 58.58%
Entry:¥5,130,000
Profit:¥2,554,250
Loss:¥2,125,000
Total:¥429,250
PF:1.2%

GBPUSD
1分後
High: W:319 L:223 58.86%
Low: W:309 L:243 55.98%
Total:W:628 L:466 57.4%
Entry:¥5,470,000
Profit:¥2,826,000
Loss:¥2,330,000
Total:¥496,000
PF:1.21%
3分後
High: W:334 L:210 61.4%
Low: W:313 L:240 56.6%
Total:W:647 L:450 58.98%
Entry:¥5,485,000
Profit:¥2,911,500
Loss:¥2,250,000
Total:¥661,500
PF:1.29%
5分後
High: W:325 L:217 59.96%
Low: W:321 L:232 58.05%
Total:W:646 L:449 59.0%
Entry:¥5,475,000
Profit:¥2,745,500
Loss:¥2,245,000
Total:¥500,500
PF:1.22%

GBPAUD
1分後
High: W:385 L:202 65.59%
Low: W:207 L:148 58.31%
Total:W:592 L:350 62.85%
Entry:¥4,710,000
Profit:¥2,664,000
Loss:¥1,750,000
Total:¥914,000
PF:1.52%
3分後
High: W:401 L:186 68.31%
Low: W:198 L:156 55.93%
Total:W:599 L:342 63.66%
Entry:¥4,705,000
Profit:¥2,695,500
Loss:¥1,710,000
Total:¥985,500
PF:1.58%
5分後
High: W:404 L:183 68.82%
Low: W:198 L:157 55.77%
Total:W:602 L:340 63.91%
Entry:¥4,710,000
Profit:¥2,558,500
Loss:¥1,700,000
Total:¥858,500
PF:1.5%