An EA that profits as it diversifies risk across three currency pairs "Three Arrows"
Make big profits with three pairs: GBP/JPY, AUD/JPY, and EUR/JPY.
Portfolio-friendly EA “Three Arrows”
【Three Arrows Overview
The forward period spans May 2018 to August 2019 (1 year and 3 months). Looking at the forward equity curve, there are troughs, but it is overall upward-sloping.
The tradable currency pairs are GBP/JPY, EUR/JPY, and AUD/JPY. It is useful not only as a standalone but also in a portfolio.
Maximum number of positions is 1.
■Monthly Analysis
●2018
In 2018, total earned pips were 1,035.7 pips. There was a large drawdown of -276.3 pips in November, but it was offset in other years.
●2019
In 2019, about 8 months yielded 1,491 pips. January and August were particularly strong, and the other months were stable as well, except for June.
【Backtest Analysis】
●GBP/JPY
2008.01.01‐2018.12.31
Spread 14.0
0.1 lot fixed
Net profit +4,300,000 yen (average per year 43,000 yen)
Maximum drawdown -135,000 yen
Total trades 1,746 (annual average 175)
Win rate 56.93%
PF 1.12
Recommended margin when fixed at 0.1 lot
(5.2)＋(13.5×2)＝32.2(万円)
This yields an expected annual return of 13%.
■Yearly/Monthly Profit and Loss
Looking at yearly results, the most recent two years are negative. However, other years are generally profitable, so the total is positive.
●EUR/JPY
2008.01.01‐2018.12.31
Spread 7.0
0.1 lot fixed
Net profit +7,970,000 yen (annual average 80,000 yen)
Maximum drawdown -69,000 yen
Total trades 1,962 (annual average 196)
Win rate 50.61%
PF 1.31
Recommended margin when fixed at 0.1 lot
(4.8)＋(6.9×2)＝18.6(万円)
This yields an expected annual return of 42%.
■Yearly/Monthly Profit and Loss
EUR/JPY has remained profitable in every year over the past 10 years.
●AUD/JPY
2008.01.01‐2018.12.31
Spread 10
0.1 lot fixed
Net profit +4,260,000 yen (annual average 43,000 yen)
Maximum drawdown -74,000 yen
Total trades 932 (annual average 93)
Win rate 54.51%
PF 1.27
Recommended margin when fixed at 0.1 lot
(3.0)＋(7.4×2)＝17.8(万円)
This yields an expected annual return of 23%.
■Yearly/Monthly Profit and Loss
In 2014 and 2018 there were large losses, but other years were profitable.
【Portfolio Analysis】
●Three currency pairs
This is a three-pair currency portfolio. Since 2017 it appears to have leveled off somewhat, but it has mostly continued to rise steadily.
■Yearly Profit/Loss
Yearly results show a dip in the most recent two years, but there has been no ten-year loss and it remains stable.
●GBP/JPY / EUR/JPY
This is the GBP/JPY and EUR/JPY portfolio. It is also rising.
■Yearly Profit/Loss
Yearly results show a loss in 2017, but 2018 recovered the following year. Other years remained stable.
●GBP/JPY / AUD/JPY
GBP/JPY and AUD/JPY. It has been flattening since around 2016.
■Yearly Profit/Loss
There was a large negative in 2018.
●EUR/JPY / AUD/JPY
EUR/JPY and AUD/JPY. In 2018 momentum slowed slightly, but the trend is upward.
■Yearly Profit/Loss
Looking at yearly results, there has never been a year with a negative result over the 10 years.
Individually, all three pairs have maximum drawdowns under 10%, indicating low risk. Setting to 0.1 lot reduces the required margin and makes risk management easier for this EA.
However, it also seems to shine when used in a portfolio.
Because the currency pairs are yen crosses and drawdowns remain low even in portfolio mode, it should be user-friendly for beginners.
Of course, it would be interesting to pair it with other EAs in a portfolio. It may pair well with dollar-straight (USD-based) crosses.
This time we performed a backtest with a lot size of 0.1, but adjusting it could change the results.
