FX バックテストMA Crossは平均勝率50%以下！？
FXトレードでお金を稼ぎたいと思っているんだけど、手法が特に決まっていなくて過去検証するにもプログラミングもできないんだよね・・・。
MT4にかいろんなインディケータがあるからそれぞれの勝率がわかったら嬉しいな。
今回はこんな課題をもってFXでよく使われる手法や、MT4のインディケータを過去チャートから検証して過去5年間の勝率、利益、損失、プロフィットファクターまでMT4で取得できる数字をすべて公開ししていきたいと思います。
いきなり検証を始めていきますが、第一回は2本のMoving Averageがクロスという手法で検証してみたいと思います。
注文は、MA中期線がパラメータは50、長期戦を100とします。普段から5分足で検証しているので、今回も5分足で検証します。
決済もクロスです。
前回の続きでEURAUD
Total net profit -5211.32 Gross profit 32014.94 Gross loss -37226.26
Profit factor 0.86 Expected payoff -3.28 Absolute drawdown 5597.12
Maximal drawdown 5766.83 (56.71%) Relative drawdown 56.71% (5766.83)
Total trades 1589 Short positions 795 (47.17%) Long positions 794 (46.47%)
Profit trades 744 (46.82%) Loss trades 845 (53.18%) Largestprofit trade 444.93
loss trade -633.82 Averageprofit trade 43.03 loss trade -44.05
Maximumconsecutive wins 9 (360.18) consecutive losses 14 (-270.53)
Maximalconsecutive profit 1226.36 (8) consecutive loss -669.43 (4)
Averageconsecutive wins:2 consecutive losses:2
GBPAUD
Total net profit -8119.24 Gross profit 32253.26 Gross loss -40372.50
Profit factor 0.80 Expected payoff -5.08 Absolute drawdown 8328.47
Maximal drawdown 8564.61 (83.67%) Relative drawdown 83.67% (8564.61)
Total trades 1597 Short positions 798 (50.50%) Long positions 799 (49.44%)
Profit trades 798 (49.97%) Loss trades 799 (50.03%) Largestprofit trade 417.83
loss trade-553.86 Averageprofit trade 40.42 loss trade-50.53
Maximumconsecutive wins 12 (174.10) consecutive losses 11 (-570.28)
Maximalconsecutive profit 517.70 (8) consecutive loss -790.13 (6)
Averageconsecutive wins:2 consecutive losses:2
NZDJPY
Total net profit-5334.74 Gross profit 27554.59 Gross loss -32889.33
Profit factor 0.84 Expected payoff -3.31 Absolute drawdown 5673.02
Maximal drawdown 7989.57 (64.87%) Relative drawdown 64.87% (7989.57)
Total trades 1612 Short positions 805 (48.32%) Long positions 807 (47.09%)
Profit trades 769 (47.70%) Loss trades 843 (52.30%) Largestprofit trade 394.51
loss trade -421.90 Averageprofit trade 35.83 loss trade -39.01
Maximumconsecutive wins 8 (117.39) consecutive losses 9 (-128.56)
Maximalconsecutive profit 777.71 (5) consecutive loss -705.98 (6)
Averageconsecutive wins:2 consecutive losses:2
NZDUSD
Total net profit -3373.96 Gross profit 26508.23 Gross loss -29882.19
Profit factor 0.89 Expected payoff -2.20 Absolute drawdown 3725.90
Maximal drawdown 5083.15 (44.76%) Relative drawdown 44.76% (5083.15)
Total trades 1535 Short positions 767 (47.98%) Long positions 768 (47.53%)
Profit trades 733 (47.75%) Loss trades 802 (52.25%) Largestprofit trade 376.60
loss trade -517.60 Averageprofit trade 36.16 loss trade -37.26
Maximumconsecutive wins 9 (332.72 )consecutive losses 9 (-464.20)
Maximalconsecutive profit 541.13 (5) consecutive loss -585.50 (3)
Averageconsecutive wins:2 consecutive losses:2
