急騰急落とボリンジャーバンドは相性悪い！？【バーサイズが急変しても組み合わせによっては勝率が低いです。】

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5分足Bollinger Bands 2σ以下かつ1分足Bollinger bands 3σ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5分足Bollinger Bands 2σ以上かつ1分足Bollinger bands 3σ以上Lowエントリー

それでは実際に検証していきます！

 

AUDJPY
1分後
High: W:1133 L:896 55.84%
Low: W:1147 L:841 57.7%
Total:W:2280 L:1737 56.76%
Entry:¥20,085,000
Profit:¥10,260,000
Loss:¥8,685,000
Total:¥1,575,000
PF:1.18%
3分後
High: W:1110 L:920 54.68%
Low: W:1170 L:818 58.85%
Total:W:2280 L:1738 56.74%
Entry:¥20,090,000
Profit:¥10,260,000
Loss:¥8,690,000
Total:¥1,570,000
PF:1.18%
5分後
High: W:1136 L:896 55.91%
Low: W:1109 L:880 55.76%
Total:W:2245 L:1776 55.83%
Entry:¥20,105,000
Profit:¥9,541,250
Loss:¥8,880,000
Total:¥661,250
PF:1.07%

AUDNZD
1分後
High: W:1279 L:873 59.43%
Low: W:996 L:734 57.57%
Total:W:2275 L:1607 58.6%
Entry:¥19,410,000
Profit:¥10,237,500
Loss:¥8,035,000
Total:¥2,202,500
PF:1.27%
3分後
High: W:1340 L:811 62.3%
Low: W:981 L:749 56.71%
Total:W:2321 L:1560 59.8%
Entry:¥19,405,000
Profit:¥10,444,500
Loss:¥7,800,000
Total:¥2,644,500
PF:1.34%
5分後
High: W:1388 L:765 64.47%
Low: W:975 L:751 56.49%
Total:W:2363 L:1516 60.92%
Entry:¥19,395,000
Profit:¥10,042,750
Loss:¥7,580,000
Total:¥2,462,750
PF:1.32%

AUDUSD
1分後
High: W:1317 L:1141 53.58%
Low: W:1416 L:1174 54.67%
Total:W:2733 L:2315 54.14%
Entry:¥25,240,000
Profit:¥12,298,500
Loss:¥11,575,000
Total:¥723,500
PF:1.06%
3分後
High: W:1341 L:1120 54.49%
Low: W:1440 L:1155 55.49%
Total:W:2781 L:2275 55.0%
Entry:¥25,280,000
Profit:¥12,514,500
Loss:¥11,375,000
Total:¥1,139,500
PF:1.1%
5分後
High: W:1335 L:1123 54.31%
Low: W:1439 L:1152 55.54%
Total:W:2774 L:2275 54.94%
Entry:¥25,245,000
Profit:¥11,789,500
Loss:¥11,375,000
Total:¥414,500
PF:1.04%

EURAUD
1分後
High: W:1368 L:886 60.69%
Low: W:1168 L:792 59.59%
Total:W:2536 L:1678 60.18%
Entry:¥21,070,000
Profit:¥11,412,000
Loss:¥8,390,000
Total:¥3,022,000
PF:1.36%
3分後
High: W:1392 L:863 61.73%
Low: W:1117 L:845 56.93%
Total:W:2509 L:1708 59.5%
Entry:¥21,085,000
Profit:¥11,290,500
Loss:¥8,540,000
Total:¥2,750,500
PF:1.32%
5分後
High: W:1393 L:861 61.8%
Low: W:1118 L:845 56.95%
Total:W:2511 L:1706 59.54%
Entry:¥21,085,000
Profit:¥10,671,750
Loss:¥8,530,000
Total:¥2,141,750
PF:1.25%

GBPAUD
1分後
High: W:1360 L:823 62.3%
Low: W:1066 L:788 57.5%
Total:W:2426 L:1611 60.09%
Entry:¥20,185,000
Profit:¥10,917,000
Loss:¥8,055,000
Total:¥2,862,000
PF:1.36%
3分後
High: W:1352 L:829 61.99%
Low: W:1060 L:794 57.17%
Total:W:2412 L:1623 59.78%
Entry:¥20,175,000
Profit:¥10,854,000
Loss:¥8,115,000
Total:¥2,739,000
PF:1.34%
5分後
High: W:1367 L:817 62.59%
Low: W:1048 L:805 56.56%
Total:W:2415 L:1622 59.82%
Entry:¥20,185,000
Profit:¥10,263,750
Loss:¥8,110,000
Total:¥2,153,750
PF:1.27%