回数優先？勝率優先？あなたはどっち？

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！

CADJPY
1分後
High: W:379 L:260 59.31%
Low: W:313 L:208 60.08%
Total:W:692 L:468 59.66%
Entry:¥5,800,000
Profit:¥3,114,000
Loss:¥2,340,000
Total:¥774,000
PF:1.33%
3分後
High: W:382 L:259 59.59%
Low: W:312 L:209 59.88%
Total:W:694 L:468 59.72%
Entry:¥5,810,000
Profit:¥3,123,000
Loss:¥2,340,000
Total:¥783,000
PF:1.33%
5分後
High: W:369 L:271 57.66%
Low: W:305 L:216 58.54%
Total:W:674 L:487 58.05%
Entry:¥5,805,000
Profit:¥2,864,500
Loss:¥2,435,000
Total:¥429,500
PF:1.18%

CHFJPY
1分後
High: W:426 L:242 63.77%
Low: W:343 L:208 62.25%
Total:W:769 L:450 63.08%
Entry:¥6,095,000
Profit:¥3,460,500
Loss:¥2,250,000
Total:¥1,210,500
PF:1.54%
3分後
High: W:435 L:234 65.02%
Low: W:378 L:173 68.6%
Total:W:813 L:407 66.64%
Entry:¥6,100,000
Profit:¥3,658,500
Loss:¥2,035,000
Total:¥1,623,500
PF:1.8%
5分後
High: W:427 L:243 63.73%
Low: W:359 L:193 65.04%
Total:W:786 L:436 64.32%
Entry:¥6,110,000
Profit:¥3,340,500
Loss:¥2,180,000
Total:¥1,160,500
PF:1.53%

USDCAD
1分後
High: W:419 L:301 58.19%
Low: W:352 L:288 55.0%
Total:W:771 L:589 56.69%
Entry:¥6,800,000
Profit:¥3,469,500
Loss:¥2,945,000
Total:¥524,500
PF:1.18%
3分後
High: W:439 L:281 60.97%
Low: W:367 L:273 57.34%
Total:W:806 L:554 59.26%
Entry:¥6,800,000
Profit:¥3,627,000
Loss:¥2,770,000
Total:¥857,000
PF:1.31%
5分後
High: W:434 L:289 60.03%
Low: W:358 L:280 56.11%
Total:W:792 L:569 58.19%
Entry:¥6,805,000
Profit:¥3,366,000
Loss:¥2,845,000
Total:¥521,000
PF:1.18%

USDCHF
1分後
High: W:577 L:437 56.9%
Low: W:397 L:338 54.01%
Total:W:974 L:775 55.69%
Entry:¥8,745,000
Profit:¥4,383,000
Loss:¥3,875,000
Total:¥508,000
PF:1.13%
3分後
High: W:611 L:402 60.32%
Low: W:425 L:310 57.82%
Total:W:1036 L:712 59.27%
Entry:¥8,740,000
Profit:¥4,662,000
Loss:¥3,560,000
Total:¥1,102,000
PF:1.31%
5分後
High: W:610 L:406 60.04%
Low: W:420 L:315 57.14%
Total:W:1030 L:721 58.82%
Entry:¥8,755,000
Profit:¥4,377,500
Loss:¥3,605,000
Total:¥772,500
PF:1.21%

NZDJPY
1分後
High: W:517 L:267 65.94%
Low: W:312 L:163 65.68%
Total:W:829 L:430 65.85%
Entry:¥6,295,000
Profit:¥3,730,500
Loss:¥2,150,000
Total:¥1,580,500
PF:1.74%
3分後
High: W:507 L:278 64.59%
Low: W:310 L:166 65.13%
Total:W:817 L:444 64.79%
Entry:¥6,305,000
Profit:¥3,676,500
Loss:¥2,220,000
Total:¥1,456,500
PF:1.66%
5分後
High: W:511 L:274 65.1%
Low: W:309 L:167 64.92%
Total:W:820 L:441 65.03%
Entry:¥6,305,000
Profit:¥3,485,000
Loss:¥2,205,000
Total:¥1,280,000
PF:1.58%

NZDUSD
1分後
High: W:452 L:278 61.92%
Low: W:408 L:309 56.9%
Total:W:860 L:587 59.43%
Entry:¥7,235,000
Profit:¥3,870,000
Loss:¥2,935,000
Total:¥935,000
PF:1.32%
3分後
High: W:457 L:273 62.6%
Low: W:418 L:299 58.3%
Total:W:875 L:572 60.47%
Entry:¥7,235,000
Profit:¥3,937,500
Loss:¥2,860,000
Total:¥1,077,500
PF:1.38%
5分後
High: W:448 L:283 61.29%
Low: W:417 L:299 58.24%
Total:W:865 L:582 59.78%
Entry:¥7,235,000
Profit:¥3,676,250
Loss:¥2,910,000
Total:¥766,250
PF:1.26%