Taking into account the latest USD/JPY spread, the expected annual yield of 17.29% is undervaluedBreakingFX
1-position 1.0-lot tradingBreakingFXis attracting attention.
As of June 24, 2020, the live account activation rate has reached 100% (191 active, 191 purchases), so,we ran TDS's 17 years of backtest datathrough Quant Analyzer.
Because of the breakout characteristics, slippage occurs, so the backtest is not reliable at all.
・Where is the best place to set the limit order to win?
・What trailing-stop width would actually be profitable?
・Which broker should be used, etc....
There are endless questions once you start counting. It took a long time to verify, but...
And to make it profitable, we rewrote the code and expanded the parameter ranges.
【Take-Profit Width】 The maximum take-profit width is set to 200 pips. You can change it yourself.
【Stop-Loss Width】 15–20 pips (you can change it yourself)
As described on the EA page, this is a breakout-seeking EA, and the backtest average profit is about 3.5 pips, performing light scalping.
Backtest Analysis
BreakingFX 24081 Gogojungle TDS Backtestusing the USD/JPY, 1.0 lot, variable-spread backtest results.
The developer states OANDA is recommended, but when checking the USD/JPY spread for their real account, it is around 0.3.
GogoJungle Spread Comparison
An article on NEET's FX automated trading blog that investigates the spreads used by TDS from DukascopyNEETがやるFXの自動売買ブログsays
Since 2005, every five years
1.61→1.01→0.41→0.37（pips）
it seems to have changed. I would like to examine the backtest results considering this spread evolution.
Although the units are dollars, the data used are yen-based values, so please convert to yen.
Annual average profit: ￥209,703
Monthly average profit: ￥23,392
Annual return:17.29%
Win rate: 86.08％
Annual average number of trades: 282
Average profit: ￥3,511
Average loss: ▲￥14,947
This is the result.
Next, let's look at the monthly and annual trading results.
【Monthly Results】
【Annual Results】
From 2003 to 2008, when the TDS USD/JPY spread was around 1.61 pips, the year was in losses.
However, as spreads narrowed, there were no annual losses overall.
【Recommended Margin and Return?】
The formula used for the recommended margin in GogoJungle's system-trade performance measurement (assuming 25x leverage) is
10,000 units × rate of the traded currency in JPY ÷ 25× average lots ÷ 0.1 × maximum number of positions + maximum loss (using the backtest maximum drawdown)×2
Therefore,
￥1,065,000（today's rate）÷25÷0.1×1 position ＋ ￥786,678（maximum drawdown）
Recommended margin is ￥1,212,678.
In contrast,annual average profit is ￥209,703209,703, so the expected annual return is 17.29%.
However, as mentioned repeatedly, these figures also include backtest results using broader spreads such as 1.61 pips, even though spreads have narrowed every five years since 2005: 1.61→1.01→0.41→0.37 pips.written by Hayakawa
