【FXロジック検証第六弾！！】Volume系インディケーターの「MFI」で17通貨過去５年間検証してみた！
FXってバイナリーオプションと違って、値動きが大きいほうがおいしんだよね？てことは、MT4にいろんなインジケータ入ってるけど、下手にオシレーターとか入れて逆張り狙うよりもボリューム系のインディケータで大きくPips狙えばいんじゃね！？
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、RSI,CCI,Bollinger Bands, Stochastics,MA Crossと検証してきました。よかったら見てみてね！
今回なんですが、前回のStochasticsに続き第6弾としてMFIというRSIに非常に似た計算式で作られているのですが現在価格が盛り上がっているかどうかを判断するVolume系のインディケータで検証していこうと思います。
注文はMFIが20以下で買い注文 MFIが80以上で売り注文
決済はMFIが80以上で買いの決済 MFI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 -6773.99 Gross profit 31779.58 Gross loss -38553.57
Profit factor 0.82 Expected payoff -3.07 Absolute drawdown 6934.79
Maximal drawdown 8572.20 (73.66%) Relative drawdown 73.66% (8572.20)
Total trades 2204 Short positions 1159 (56.08%) Long positions 1045 (57.22%)
Profit trades 1248 (56.62%) Loss trades 956 (43.38%) Largestprofit trade 474.41
loss trade -674.22 Averageprofit trade 25.46 loss trade -40.33
Maximumconsecutive wins 20 (803.99) consecutive losses 9 (-275.61)
Maximalconsecutive profit 803.99 (20) consecutive loss -796.73 (2)
Averageconsecutive wins:2 consecutive losses:2
EURUSD 
Total net profit -3446.79 Gross profit 48157.77 Gross loss -51604.57
Profit factor 0.93 Expected payoff -1.49 Absolute drawdown 3590.11
Maximal drawdown 6770.52 (51.37%) Relative drawdown 51.37% (6770.52)
Total trades 2307 Short positions 1176 (59.52%) Long positions 1131 (57.56%)
Profit trades 1351 (58.56%) Loss trades 956 (41.44%) Largestprofit trade 672.60
loss trade -532.56 Averageprofit trade 35.65 loss trade -53.98
Maximumconsecutive wins 16 (369.07) consecutive losses 10 (-199.20)
Maximalconsecutive profit 1220.93 (14) consecutive loss -663.17 (3)
Averageconsecutive wins:2 consecutive losses:2
EURJPY
Total net profit -4660.25 Gross profit 44774.94 Gross loss -49435.19
Profit factor 0.91 Expected payoff -2.32 Absolute drawdown 5212.69
Maximal drawdown 7884.97 (62.22%) Relative drawdown 62.22% (7884.97)
Total trades 2013 Short positions 1018 (56.09%) Long positions 995 (55.98%)
Profit trades 1128 (56.04%) Loss trades 885 (43.96%) Largestprofit trade 713.56
loss trade -839.62 Averageprofit trade 39.69 loss trade -55.86
Maximumconsecutive wins 10 (134.54) consecutive losses 9 (-235.94)
Maximalconsecutive profit 872.60 (4) consecutive loss -1121.58 (2)
Averageconsecutive wins:2 consecutive losses:2
EURAUD
Total net profit -5981.55 Gross profit 33500.03 Gross loss -39481.58
Profit factor 0.85 Expected payoff -2.98 Absolute drawdown 6564.97
Maximal drawdown 6908.26 (66.79%) Relative drawdown 66.79% (6908.26)
Total trades 2006 Short positions 1002 (59.58%) Long positions 1004 (56.67%)
Profit trades 1166 (58.13%) Loss trades 840 (41.87%) Largestprofit trade 323.88
loss trade -714.96 Averageprofit trade 28.73 loss trade -47.00
Maximumconsecutive wins 9 (464.91) consecutive losses 11 (-472.82)
Maximalconsecutive profit 588.78 (4) consecutive loss -1130.78 (3)
Averageconsecutive wins:2 consecutive losses:2
EURGBP
Total net profit -6721.39 Gross profit 27484.02 Gross loss -34205.40
Profit factor 0.80 Expected payoff -3.72 Absolute drawdown 6745.33
Maximal drawdown 7062.81 (68.45%) Relative drawdown 68.45% (7062.81)
Total trades 1809 Short positions 932 (55.47%) Long positions 877 (54.73%)
Profit trades 997 (55.11%) Loss trades 812 (44.89%) Largestprofit trade 279.25
loss trade -652.74 Averageprofit trade 27.57 loss trade -42.12
Maximumconsecutive wins 11 (178.45) consecutive losses 8 (-487.30)
Maximalconsecutive profit 491.92 (8) consecutive loss -753.63 (2)
Averageconsecutive wins:2 consecutive losses:2
GBPJPY
Total net profit -4881.28 Gross profit 52338.83 Gross loss -57220.10
Profit factor 0.91 Expected payoff -2.42 Absolute drawdown 7147.05
Maximal drawdown 8091.12 (73.93%) Relative drawdown 73.93% (8091.12)
Total trades 2021 Short positions 1035 (58.84%) Long positions 986 (58.82%)
Profit trades 1189 (58.83%) Loss trades 832 (41.17%) Largestprofit trade 1419.91
loss trade -1011.73 Averageprofit trade 44.02 loss trade -68.77
Maximumconsecutive wins 15 (382.74) consecutive losses 7 (-279.89)
Maximalconsecutive profit 1419.91 (1) consecutive loss -1792.42 (3)
Averageconsecutive wins:2 consecutive losses:2
GBPUSD
Total net profit -7822.75 Gross profit 39095.18 Gross loss -46917.93
Profit factor 0.83 Expected payoff -4.16 Absolute drawdown 7963.18
Maximal drawdown 7963.18 (79.63%) Relative drawdown 79.63% (7963.18)
Total trades 1881 Short positions 975 (59.28%) Long positions 906 (55.63%)
Profit trades 1082 (57.52%) Loss trades 799 (42.48%) Largestprofit trade 388.80
loss trade -878.20 Averageprofit trade 36.13 loss trade -58.72
Maximumconsecutive wins 18 (868.27) consecutive losses 9 (-322.89)
Maximalconsecutive profit 1064.09 (9) consecutive loss -1034.00 (2)
Averageconsecutive wins:2 consecutive losses:2
GBPAUD
Total net profit -490.50 Gross profit 57207.98 Gross loss -57698.48
Profit factor 0.99 Expected payoff -0.25 Absolute drawdown 3738.68
Maximal drawdown 5579.76 (47.12%) Relative drawdown 47.12% (5579.76)
Total trades 1999 Short positions 982 (58.96%) Long positions 1017 (59.78%)
Profit trades 1187 (59.38%) Loss trades 812 (40.62%) Largestprofit trade 566.00
loss trade -1635.03 Averageprofit trade 48.20 loss trade -71.06
Maximumconsecutive wins 13 (370.03) consecutive losses 7 (-1138.60)
Maximalconsecutive profit 1522.16 (4) consecutive loss -1721.81 (2)
Averageconsecutive wins:3 consecutive losses:2
AUDJPY
Total net profit -6994.94 Gross profit 26168.03 Gross loss -33162.97
Profit factor 0.79 Expected payoff -3.27 Absolute drawdown 7340.78
Maximal drawdown 7411.70 (73.60%) Relative drawdown 73.60% (7411.70)
Total trades 2138 Short positions 1114 (55.30%) Long positions 1024 (55.76%)
Profit trades 1187 (55.52%) Loss trades 951 (44.48%) Largestprofit trade 229.48
loss trade -500.01 Averageprofit trade 22.05 loss trade -34.87
Maximumconsecutive wins 11 (439.46) consecutive losses 8 (-275.04)
Maximalconsecutive profit 439.46 (11) consecutive loss -717.89 (6)
Averageconsecutive wins:2 consecutive losses:2
AUDUSD
Total net profit -5101.45 Gross profit 35178.89 Gross loss -40280.34
Profit factor 0.87 Expected payoff -2.27 Absolute drawdown 5129.05
Maximal drawdown 5833.75 (54.50%) Relative drawdown 54.50% (5833.75)
Total trades 2247 Short positions 1160 (57.33%) Long positions 1087 (56.30%)
Profit trades 1277 (56.83%) Loss trades 970 (43.17%) Largestprofit trade 285.20
loss trade -367.16 Averageprofit trade 27.55 loss trade -41.53
Maximumconsecutive wins 12 (286.05 )consecutive losses 11 (-335.25)
Maximalconsecutive profit 531.56 (9) consecutive loss -497.99 (5)
Averageconsecutive wins:2 consecutive losses:2
AUDNZD
Total net profit -6389.76 Gross profit 13362.78 Gross loss -19752.53
Profit factor 0.68 Expected payoff -3.44 Absolute drawdown 6402.07
Maximal drawdown 6440.42 (64.16%)Relative drawdown64.16% (6440.42)
Total trades 1858 Short positions 938 (51.71%) Long positions 920 (54.24%)
Profit trades 984 (52.96%) Loss trades 874 (47.04%) Largestprofit trade 267.91
loss trade -270.83 Averageprofit trade 13.58 loss trade -22.60
Maximumconsecutive wins 8 (55.96) consecutive losses 7 (-438.24)
Maximalconsecutive profit 493.09 (7) consecutive loss -438.24 (7)
Averageconsecutive wins:2 consecutive losses:2
NZDJPY
Total net profit -6191.46 Gross profit 28397.36 Gross loss -34588.81
Profit factor 0.82 Expected payoff -2.83 Absolute drawdown 6302.78
Maximal drawdown 6529.76 (63.85%) Relative drawdown 63.85% (6529.76)
Total trades 2187 Short positions 1122 (54.99%) Long positions 1065 (56.15%)
Profit trades 1215 (55.56%) Loss trades 972 (44.44%) Largestprofit trade 330.20
loss trade -464.39 Averageprofit trade 23.37 loss trade -35.59
Maximumconsecutive wins 9 (597.95) consecutive losses 7 (-182.76)
Maximalconsecutive profit 597.95 (9) consecutive loss -609.33 (5)
Averageconsecutive wins:2 consecutive losses:2
NZDUSD
Total net profit -336.91 Gross profit 39043.10 Gross loss -39380.01
Profit factor 0.99 Expected payoff -0.17 Absolute drawdown 573.47
Maximal drawdown 2767.96 (22.70%) Relative drawdown 22.70% (2767.96)
Total trades 2008 Short positions 1044 (59.00%) Long positions 964 (56.54%)
Profit trades 1161 (57.82%) Loss trades 847 (42.18%) Largestprofit trade 254.40
loss trade -352.78 Averageprofit trade 33.63 loss trade -46.49
Maximumconsecutive wins 10 (283.21) consecutive losses 7 (-347.10)
Maximalconsecutive profit 638.21 (6) consecutive loss -352.78 (1)
Averageconsecutive wins:2 consecutive losses:2
CADJPY
Total net profit -6369.93 Gross profit 29614.29 Gross loss -35984.22
Profit factor 0.82 Expected payoff -3.49 Absolute drawdown 6436.26
Maximal drawdown 7828.98 (68.72%) Relative drawdown 68.72% (7828.98)
Total trades 1823 Short positions 910 (53.63%) Long positions 913 (54.98%)
Profit trades 990 (54.31%) Loss trades 833 (45.69%) Largestprofit trade 902.81
loss trade -657.29 Averageprofit trade 29.91 loss trade -43.20
Maximumconsecutive wins 12 (366.20) consecutive losses 8 (-187.71)
Maximalconsecutive profit 902.81 (1) consecutive loss -685.59 (2)
Averageconsecutive wins:2 consecutive losses:2
USDCAD
Total net profit -4804.90 Gross profit 27428.72 Gross loss -32233.62
Profit factor 0.85 Expected payoff -2.42 Absolute drawdown 4827.27
Maximal drawdown 4828.30 (48.28%) Relative drawdown 48.28% (4828.30)
Total trades 1989 Short positions 1023 (57.09%) Long positions 966 (59.63%)
Profit trades 1160 (58.32%) Loss trades 829 (41.68%) Largestprofit trade 232.18
loss trade -349.97 Averageprofit trade 23.65 loss trade -38.88
Maximumconsecutive wins 11 (247.81) consecutive losses 10 (-309.97)
Maximalconsecutive profit 433.90 (6) consecutive loss -414.45 (2)
Averageconsecutive wins:2 consecutive losses:2
CHFJPY
Total net profit -3276.66 Gross profit 50716.45 Gross loss -53993.10
Profit factor 0.94 Expected payoff -1.83 Absolute drawdown 3405.02
Maximal drawdown 8485.23 (56.27%) Relative drawdown 56.27% (8485.23)
Total trades 1791 Short positions 899 (56.73%) Long positions 892 (54.82%)
Profit trades 999 (55.78%) Loss trades 792 (44.22%) Largestprofit trade 2478.42
loss trade -1637.00 Averageprofit trade 50.77 loss trade -68.17
Maximumconsecutive wins 10 (1260.75) consecutive losses 10 (-202.72)
Maximalconsecutive profit 2620.86 (3) consecutive loss -1637.00 (1)
Averageconsecutive wins:2 consecutive losses:2
USDCHF
Total net profit -3179.70 Gross profit 42616.57 Gross loss -45796.27
Profit factor 0.93 Expected payoff -1.34 Absolute drawdown 3309.20
Maximal drawdown 4897.64 (42.26%) Relative drawdown 42.26% (4897.64)
Total trades 2367 Short positions 1226 (58.40%) Long positions 1141 (59.60%)
Profit trades 1396 (58.98%) Loss trades 971 (41.02%) Largestprofit trade 695.84
loss trade -386.53 Averageprofit trade 30.53 loss trade -47.16
Maximumconsecutive wins 12 (372.04) consecutive losses 8 (-96.24)
Maximalconsecutive profit 900.48 (5) consecutive loss -544.71 (2)
Averageconsecutive wins:2 consecutive losses:2
