5分後判定で勝率67.1％！？驚愕の勝率をたたき出したロジックはCCIと...?

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2015/01/01-2020/07/27の約5年半です。

使用するロジック

バーサイズが平均の２倍かつ陰線かつCCI-200以下Highエントリー

バーサイズが平均の２倍かつ陽線かつCCI200以上Lowエントリー

それでは実際に検証していきます！

AUDNZD
1分後
High: W:488 L:268 64.55%
Low: W:267 L:163 62.09%
Total:W:755 L:431 63.66%
Entry:¥5,930,000
Profit:¥3,397,500
Loss:¥2,155,000
Total:¥1,242,500
PF:1.58%
3分後
High: W:522 L:235 68.96%
Low: W:253 L:176 58.97%
Total:W:775 L:411 65.35%
Entry:¥5,930,000
Profit:¥3,487,500
Loss:¥2,055,000
Total:¥1,432,500
PF:1.7%
5分後
High: W:532 L:255 67.6%
Low: W:264 L:165 61.54%
Total:W:796 L:420 65.46%
Entry:¥6,080,000
Profit:¥3,383,000
Loss:¥2,100,000
Total:¥1,283,000
PF:1.61%

AUDJPY
1分後
High: W:338 L:284 54.34%
Low: W:326 L:190 63.18%
Total:W:664 L:474 58.35%
Entry:¥5,690,000
Profit:¥2,988,000
Loss:¥2,370,000
Total:¥618,000
PF:1.26%
3分後
High: W:349 L:276 55.84%
Low: W:333 L:183 64.53%
Total:W:682 L:459 59.77%
Entry:¥5,705,000
Profit:¥3,069,000
Loss:¥2,295,000
Total:¥774,000
PF:1.34%
5分後
High: W:375 L:246 60.39%
Low: W:335 L:182 64.8%
Total:W:710 L:428 62.39%
Entry:¥5,690,000
Profit:¥3,017,500
Loss:¥2,140,000
Total:¥877,500
PF:1.41%

AUDUSD
1分後
High: W:385 L:313 55.16%
Low: W:413 L:263 61.09%
Total:W:798 L:576 58.08%
Entry:¥6,870,000
Profit:¥3,591,000
Loss:¥2,880,000
Total:¥711,000
PF:1.25%
3分後
High: W:413 L:286 59.08%
Low: W:404 L:273 59.68%
Total:W:817 L:559 59.38%
Entry:¥6,880,000
Profit:¥3,676,500
Loss:¥2,795,000
Total:¥881,500
PF:1.32%
5分後
High: W:421 L:277 60.32%
Low: W:392 L:284 57.99%
Total:W:813 L:561 59.17%
Entry:¥6,870,000
Profit:¥3,455,250
Loss:¥2,805,000
Total:¥650,250
PF:1.23%

EURAUD
1分後
High: W:483 L:285 62.89%
Low: W:327 L:226 59.13%
Total:W:810 L:511 61.32%
Entry:¥6,605,000
Profit:¥3,645,000
Loss:¥2,555,000
Total:¥1,090,000
PF:1.43%
3分後
High: W:502 L:267 65.28%
Low: W:335 L:219 60.47%
Total:W:837 L:486 63.27%
Entry:¥6,615,000
Profit:¥3,766,500
Loss:¥2,430,000
Total:¥1,336,500
PF:1.55%
5分後
High: W:497 L:274 64.46%
Low: W:339 L:215 61.19%
Total:W:836 L:489 63.09%
Entry:¥6,625,000
Profit:¥3,553,000
Loss:¥2,445,000
Total:¥1,108,000
PF:1.45%

GBPAUD
1分後
High: W:489 L:275 64.01%
Low: W:295 L:171 63.3%
Total:W:784 L:446 63.74%
Entry:¥6,150,000
Profit:¥3,528,000
Loss:¥2,230,000
Total:¥1,298,000
PF:1.58%
3分後
High: W:512 L:255 66.75%
Low: W:265 L:200 56.99%
Total:W:777 L:455 63.07%
Entry:¥6,160,000
Profit:¥3,496,500
Loss:¥2,275,000
Total:¥1,221,500
PF:1.54%
5分後
High: W:511 L:256 66.62%
Low: W:277 L:187 59.7%
Total:W:788 L:443 64.01%
Entry:¥6,155,000
Profit:¥3,349,000
Loss:¥2,215,000
Total:¥1,134,000
PF:1.51%