【FXロジック検証第４弾！】Stochasticsでバックテストしてみたら以外と...?
MT4の人気なインディケータ一通り、バックテストしてみてわかったけど勝率はいいけど利益率がな～...。やっぱりMT４に最初から入っているインディケータはFXではダメなんかな～？ストキャスティクスも有名だし、ストキャスティクスは利益出るかな～？
今回はこんな議題を解決していこうと思います。
前回ではFXでよくあるインディケータということで、Bollinger Bandsのロジックを過去5年間で検証してみました！よかったら見てみてね。
今回なんですが、Bollinger Bnadsに続き第4弾として過去五本の最高値最安値を取得して今の相場が売り傾向にあるのか、買い傾向にあるのかを判断するインディケータStochasticsの売買水準で過去５年間検証していこうと思います。
注文はStochasticsが20以下で買い注文 Stochasticsが80以上で売り注文
決済はStochasticsが80以上で買いの決済 Stochasticsが20以下で売り決済
検証する足は5分足
このロジックで過去検証していきます。
USDJPY
Total net profit -3766.40 Gross profit 11838.20 Gross loss -15604.60
Profit factor 0.76 Expected payoff -2.09 Absolute drawdown 4072.01
Maximal drawdown 4099.89 (40.88%) Relative drawdown 40.88% (4099.89)
Total trades 1806 Short positions 912 (52.41%) Long positions 894 (57.38%)
Profit trades 991 (54.87%) Loss trades 815 (45.13%) Largestprofit trade 149.86
loss trade -250.30 Averageprofit trade 11.95 loss trade -19.15
Maximumconsecutive wins 13 (302.00) consecutive losses 9 (-96.65)
Maximalconsecutive profit 302.00 (13) consecutive loss -373.44 (2)
Averageconsecutive wins:2 consecutive losses:2
EURUSD
Total net profit -4479.46 Gross profit 10142.36 Gross loss -14621.82
Profit factor 0.69 Expected payoff -2.36 Absolute drawdown 4693.85
Maximal drawdown 4801.68 (47.50%) Relative drawdown 47.50% (4801.68)
Total trades 1899 Short positions 948 (54.32%) Long positions 951 (56.68%)
Profit trades 1054 (55.50%) Loss trades 845 (44.50%) Largestprofit trade 115.40
loss trade -390.20 Averageprofit trade 9.62 loss trade -17.30
Maximumconsecutive wins 18 (187.68) consecutive losses 10 (-172.34)
Maximalconsecutive profit 212.10 (8) consecutive loss -390.20 (1)
Averageconsecutive wins:2 consecutive losses:2
EURJPY
Total net profit -5580.58 Gross profit 13425.17 Gross loss -19005.76
Profit factor 0.71 Expected payoff -3.07 Absolute drawdown 5622.64
Maximal drawdown 5668.75 (56.43%) Relative drawdown 56.43% (5668.75)
Total trades 1816 Short positions 934 (52.57%) Long positions 882 (56.46%)
Profit trades 989 (54.46%) Loss trades 827 (45.54%) Largestprofit trade 180.20
loss trade -402.47 Averageprofit trade 13.57 loss trade -22.98
Maximumconsecutive wins 11 (113.04) consecutive losses 8 (-140.27)
Maximalconsecutive profit 325.19 (5) consecutive loss -432.12 (2)
Averageconsecutive wins:2 consecutive losses:2
EURGBP
Total net profit -5937.41 Gross profit 10063.37 Gross loss -16000.78
Profit factor 0.63 Expected payoff -3.40 Absolute drawdown 5996.94
Maximal drawdown 5996.94 (59.97%) Relative drawdown 59.97% (5996.94)
Total trades 1748 Short positions 858 (51.40%) Long positions 890 (53.71%)
Profit trades 919 (52.57%) Loss trades 829 (47.43%) Largestprofit trade 253.29
loss trade -339.20 Averageprofit trade 10.95 loss trade -19.30
Maximumconsecutive wins 10 (114.10) consecutive losses 9 (-86.16)
Maximalconsecutive profit 327.80 (5) consecutive loss -361.85 (2)
Averageconsecutive wins:2 consecutive losses:2
EURAUD
Total net profit -2927.81 Gross profit 21145.91 Gross loss -24073.73
Profit factor 0.88 Expected payoff -1.55 Absolute drawdown 2942.30
Maximal drawdown 3072.07 (30.33%) Relative drawdown 30.33% (3072.07)
Total trades 1888 Short positions 940 (60.96%) Long positions 948 (59.28%)
Profit trades 1135 (60.12%) Loss trades 753 (39.88%) Largestprofit trade 549.84
loss trade -727.04 Averageprofit trade 18.63 loss trade -31.97
Maximumconsecutive wins 14 (354.13) consecutive losses 9 (-190.79)
Maximalconsecutive profit 627.29 (4) consecutive loss -828.91 (2)
Averageconsecutive wins:3 consecutive losses:2
GBPJPY
Total net profit -6362.62 Gross profit 20766.79 Gross loss -27129.41
Profit factor 0.77 Expected payoff -3.44 Absolute drawdown 6645.35
Maximal drawdown 6811.42 (67.00%) Relative drawdown 67.00% (6811.42)
Total trades 1849 Short positions 926 (56.48%) Long positions 923 (56.23%)
Profit trades 1042 (56.35%) Loss trades 807 (43.65%) Largestprofit trade 386.38
loss trade -370.89 Averageprofit trade 19.93 loss trade -33.62
Maximumconsecutive wins 11 (336.13) consecutive losses 8 (-196.54)
Maximalconsecutive profit 449.00 (6) consecutive loss -496.85 (6)
Averageconsecutive wins:2 consecutive losses:2
GBPUSD
Total net profit -5771.18 Gross profit 13978.75 Gross loss -19749.93
Profit factor 0.71 Expected payoff -3.19 Absolute drawdown 5814.18
Maximal drawdown 6040.75 (59.07%) Relative drawdown 59.07% (6040.75)
Total trades 1807 Short positions 867 (57.90%) Long positions 940 (58.51%)
Profit trades 1052 (58.22%) Loss trades 755 (41.78%) Largestprofit trade 205.60
loss trade -771.70 Averageprofit trade 13.29 loss trade -26.16
Maximumconsecutive wins 17 (382.76) consecutive losses 6 (-463.60)
Maximalconsecutive profit 382.76 (17) consecutive loss -771.70 (1)
Averageconsecutive wins:3 consecutive losses:2
GBPAUD
Total net profit -2733.07 Gross profit 25214.40 Gross loss -27947.47
Profit factor 0.90 Expected payoff -1.50 Absolute drawdown 3030.76
Maximal drawdown 4926.27 (41.41%) Relative drawdown 41.41% (4926.27)
Total trades 1822 Short positions 941 (61.00%) Long positions 881 (58.00%)
Profit trades 1085 (59.55%) Loss trades 737 (40.45%) Largestprofit trade 659.66
loss trade -535.45 Averageprofit trade 23.24 loss trade -37.92
Maximumconsecutive wins 12 (404.52) consecutive losses 7 (-208.27)
Maximalconsecutive profit 876.46 (6) consecutive loss -669.36 (3)
Averageconsecutive wins:2 consecutive losses:2
AUDJPY
Total net profit- 6241.07 Gross profit 10842.94 Gross loss -17084.00
Profit factor 0.63 Expected payoff -3.32 Absolute drawdown 6252.38
Maximal drawdown 6513.60 (63.48%) Relative drawdown 63.48% (6513.60)
Total trades 1879 Short positions 954 (51.05%) Long positions 925 (55.68%)
Profit trades 1002 (53.33%) Loss trades 877 (46.67%) Largestprofit trade 184.87
loss trade -550.75 Averageprofit trade 10.82 loss trade -19.48
Maximumconsecutive wins 11 (52.10) consecutive losses 8 (-124.09)
Maximalconsecutive profit 334.23 (10) consecutive loss -561.84 (2
)Averageconsecutive wins:2 consecutive losses:2
AUDUSD
Total net profit -3234.72 Gross profit 13251.65 Gross loss -16486.37
Profit factor 0.80 Expected payoff -1.64 Absolute drawdown 3248.54
Maximal drawdown 3582.04 (34.66%) Relative drawdown 34.66% (3582.04)
Total trades 1977 Short positions 977 (53.53%) Long positions 1000 (58.40%)
Profit trades 1107 (55.99%) Loss trades 870 (44.01%) Largestprofit trade 148.60
loss trade -183.00 Averageprofit trade 11.97 loss trade -18.95
Maximumconsecutive wins 12 (185.60) consecutive losses 7 (-216.69)
Maximalconsecutive profit 189.60 (4) consecutive loss -249.46 (4)
Averageconsecutive wins:2 consecutive losses:2
AUDNZD
Total net profit -5457.82 Gross profit 4348.78 Gross loss -9806.60
Profit factor 0.44 Expected payoff -3.08 Absolute drawdown 5463.61
Maximal drawdown 5563.87 (55.09%) Relative drawdown 55.09% (5563.87)
Total trades 1772 Short positions 862 (43.85%) Long positions 910 (45.49%)
Profit trades 792 (44.70%) Loss trades 980 (55.30%) Largestprofit trade 93.77
loss trade -120.33 Averageprofit trade 5.49 loss trade -10.01
Maximumconsecutive wins 8 (116.93) consecutive losses 12 (-96.52)
Maximalconsecutive profit 151.82 (5) consecutive loss -169.39 (5)
Averageconsecutive wins:2 consecutive losses:2
NZDJPY
Total net profit -6454.73 Gross profit 10765.84 Gross loss -17220.57
Profit factor 0.63 Expected payoff -3.47 Absolute drawdown 6488.71
Maximal drawdown 7578.23 (68.34%) Relative drawdown 68.34% (7578.23)
Total trades 1859 Short positions 938 (51.07%) Long positions 921 (51.90%)
Profit trades 957 (51.48%) Loss trades 902 (48.52%) Largestprofit trade 223.63
loss trade -337.59 Averageprofit trade 11.25 loss trade -19.09
Maximumconsecutive wins 20 (218.27) consecutive losses 10 (-83.59)
Maximalconsecutive profit 269.44 (4) consecutive loss -416.39 (4)
Averageconsecutive wins:2 consecutive losses:2
NZDUSD
Total net profit -4487.33 Gross profit 9353.71 Gross loss -13841.04
Profit factor 0.68 Expected payoff -2.38 Absolute drawdown 4503.73
Maximal drawdown 4570.95 (45.40%) Relative drawdown 45.40% (4570.95)
Total trades 1882 Short positions 881 (55.73%) Long positions 1001 (53.95%)
Profit trades 1031 (54.78%) Loss trades 851 (45.22%) Largestprofit trade 130.20
loss trade -324.58 Averageprofit trade 9.07 loss trade -16.26
Maximumconsecutive wins 13 (119.60) consecutive losses 10 (-162.79)
Maximalconsecutive profit 206.00 (8) consecutive loss -324.58 (1)
Averageconsecutive wins:2 consecutive losses:2
CADJPY
Total net profit -6721.89 Gross profit 7628.67 Gross loss -14350.56
Profit factor 0.53 Expected payoff -3.62 Absolute drawdown 6729.63
Maximal drawdown 6739.01 (67.33%) Relative drawdown 67.33% (6739.01)
Total trades 1857 Short positions 948 (51.48%) Long positions 909 (50.72%)
Profit trades 949 (51.10%) Loss trades 908 (48.90%) Largestprofit trade 83.21
loss trade-144.71Averageprofit trade8.04loss trade-15.80Maximumconsecutive wins (profit in money)13 (142.79)consecutive losses (loss in money)8 (-46.08)Maximalconsecutive profit (count of wins)173.88 (8)consecutive loss (count of losses)-296.15 (6)Averageconsecutive wins2consecutive losses2
USDCAD
Total net profit -2614.83 Gross profit 12921.73 Gross loss -15536.56
Profit factor 0.83 Expected payoff -1.32 Absolute drawdown 2753.35
Maximal drawdown 2753.35 (27.53%) Relative drawdown 27.53% (2753.35)
Total trades 1977 Short positions 1002 (58.08%) Long positions 975 (59.90%)
Profit trades 1166 (58.98%) Loss trades 811 (41.02%) Largestprofit trade 138.45
loss trade -227.67 Averageprofit trade 11.08 loss trade -19.16
Maximumconsecutive wins 15 (219.16) consecutive losses 9 (-209.94)
Maximalconsecutive profit 219.16 (15) consecutive loss -259.24 (5)
Averageconsecutive wins:2 consecutive losses:2
CHFJPY
Total net profit -3479.48 Gross profit 17596.28 Gross loss -21075.76
Profit factor 0.83 Expected payoff -1.87 Absolute drawdown 3527.04
Maximal drawdown 6699.98 (50.86%) Relative drawdown 50.86% (6699.98)
Total trades 1861 Short positions 938 (52.45%) Long positions 923 (51.35%)
Profit trades 966 (51.91%) Loss trades 895 (48.09%) Largestprofit trade 3018.57
loss trade -588.80 Averageprofit trade 18.22 loss trade -23.55
Maximumconsecutive wins 10 (174.14) consecutive losses 13 (-122.89)
Maximalconsecutive profit 3052.62 (3) consecutive loss -588.80 (1)
Averageconsecutive wins:2 consecutive losses:2
USDCHF
Total net profit -3791.75 Gross profit 10591.59 Gross loss -14383.34
Profit factor 0.74 Expected payoff -1.99 Absolute drawdown 3817.38
Maximal drawdown 3898.11 (38.67%) Relative drawdown 38.67% (3898.11)
Total trades 1910 Short positions 966 (55.38%) Long positions 944 (57.52%)
Profit trades 1078 (56.44%) Loss trades 832 (43.56%) Largestprofit trade 149.23
loss trade -723.38 Averageprofit trade 9.83 loss trade -17.29
Maximumconsecutive wins 12 (75.75) consecutive losses 8 (-122.21)
Maximalconsecutive profit 334.31 (8) consecutive loss -723.38 (1)
Averageconsecutive wins:2 consecutive losses:2
