That day's volatility determines profitability; coin-toss-type day-trading EA "Emily_System"
Coin-toss trading-type logic installed
An intraday EA with morning entry and late-night settlement on the same day
The forward test has just started, but the start seems favorable.
【Emily_System Overview】
“Emily_System” appears to be a day-trading EA that enters during the low-volatility early-morning hours in Japan time and closes during the high-volatility late-night hours.
According to the seller, there are no restrictions on time frame or currency pair, but based on the number of candles to settlement and the level of volatility, the product page recommends GBP/JPY on 5- or 15-minute charts.
【Backtest Analysis】
・GBP/JPY 15-minute chart
2009.01.01‑2019.01.01
Spread 1.0Fixed at 0.1 lot
Net profit +326,000 yen (average annual 32,600 yen)
Maximum drawdown ‑154,000 yen
Total trades 616 (annual average 135 trades)
Win rate 49.68％
PF 1.18
Recommended margin for safe operation is fixed at 0.1 lot
5.5+（15.4×2）＝36.3（万円）This means 36.3 (ten thousand yen).
Expected annual return is 8.9%.
・Annual Revenue
The loss in 2016 stands out prominently.
With a 15-minute chart, the number of trades is small, so with a win rate around 50%, losses can skew larger.
・GBP/JPY 5-minute chart
2009.01.01‑2019.01.01
Spread 1.0Fixed at 0.1 lot
Net profit +461,000 yen (annual average 46,100 yen)
Maximum drawdown ‑173,000 yen
Total trades 1,356 (annual average 135 trades)
Win rate 50.52％
PF 1.11
Recommended margin amount is fixed at
0.1 lot
In this case, the expected annual return is approximately 11.4%, higher than the 15-minute chart.
・Annual Revenue
2013 was the peak year, and profits have been earned for seven consecutive years.
Trading with high-volatility currency pairs tends to yield more trades and larger take-profits, helping to stabilize the overall performance.
・Monthly
On a monthly basis, losing months are closer to 40% of the time, more than one might expect.
The combination of the maximum stop-loss setting and the late-night settlement logic appears to produce small losses and large profits.
・Trade Analysis
We review the Trades during the backtest period on the chart.
Blue: Long Red: Short
If a long-term trend develops, it will steadily generate daily profits.
If volatility increases, profits will, of course, rise significantly.
As seen above, Emily_System also includes logic to forcibly settle during Japan time late night, so its daily moves determine performance; it is a different type from other technically-based robust EAs. Because its behavior differs from other EAs, it will surely be a valuable addition to a portfolio.
