Morning scalping with multiple positions EA comparison Premia_Scal_USDJPY_M1 and Black Panther USDJPY

Forward testing has been underway for one and a half years, delivering a favorable performance of 59% return and 6,000 pips earned for “Premia_Scal_USDJPY_M1.” Its distinctive feature is the large number of positions in a morning scalp—20 positions.

When you think of a morning scalp with many positions, Black Panther comes to mind.

For EAs of a similar type, it’s natural to wonder which is better suited to the current market and how they perform in long-term operation, so I would like to compare forward testing and backtesting.

Forward comparison of Premia_Scal and Black Panther

Premia_Scal Overview

We operate with a maximum stop loss of 50 pips and up to 20 positions. The drawdown period is short, resulting in an ideally upward-sloping profit and loss curve, don’t you think?
Let’s look at pips earned in forward

▲2019: +2846 pips earned; 2020: +2898 pips earned.

The recommended margin from forward testing is 1,000,000 yen.

Black Panther_USDJPY Overview

On the other hand, Black Panther operates with a maximum of 15 positions and a stop loss of 50 pips.
What stands out is that compounding is recommended, and the maximum drawdown is controlled by the compounding parameter.

For more details on Black Panther, click here

Let’s look at the pips earned in 2019.

▲2019: +2659 pips; 2020: +583 pips

earned.

Forward operation uses compounding, so the rate of return and the maximum drawdown are not directly comparable; therefore I have compared using pips earned. Looking at pips earned, in 2019 Premia_Scal and Black Panther earned about the same.
In 2020, so far Premia_Scal has earned more than 2000 pips.

Since Premia_Scal has a maximum of 20 positions versus Black Panther’s 15, it’s natural that it earns more pips.

What else should be compared? The maximum drawdown.

0.1 lot: Compare max drawdown and recommended margin

Premia Scal, referring to 2017 TDS backtest data,TDS Backtest, as a reference,

0.1 lot maximum DD 340,000 yen
Annual number of trades 945
Average annual profit 280,000 yen
Win rate 87%
Thus, the recommended margin is,
(4.5×20) + (34×2) =1.58 million yen

In the recommended margin,Expected annual return is 18%.

If we refer to the most recent five years (2013–2018) before the forward start,
the annual average profit rises to 360,000 yen, andthe recommended margin is 1.4 million yen with an expected annual return of 26%..

On the other hand, for Black Panther,From past feature article, the calculation for recommended margin yields:

Backtest period: 2010.1.04-2019.12.31 (10 years)
Spread 1.0
With fixed 0.3 lot
Average annual profit: 1,120,000 yen (0.1 lot: 370,000 yen)
Average annual number of trades: 2,037
Win rate: 74%
Maximum drawdown: 857,000 yen (0.1 lot: 285,000 yen)

Recommended margin：{ (4.5×3)×15 } + (85.7×2) = 3,739,000 yen

Thus, for 0.1 lot, about one-quarter of thatApproximately 1.24 million yen is the recommended margin.

With the recommended marginAverage expected annual return is +30%.

Remarkably, long-term backtesting shows little difference in performance.
The difference is that Black Panther recommends compounding, and you can start with any amount; fixed-operation has a maximum lot size limit of 0.3 lots.

Premia Scal uses only simple interest, and there is no limit on the lot size.
In terms of maximum drawdown, for 0.1 lot Premia Scal has a max DD of 340,000 yen, while Black Panther has 370,000 yen. Considering that Premia Scal has five more positions, Premia Scal may offer a more stable P/L curve.

Summary

Premia Scal has a higher win rate than Black Panther, but a slightly lower trading frequency (about 1,000 trades per year). It is expected to achieve 2,800–3,600 pips annually. The recommended margin per 0.1 lot is 1.4 million yen.

Black Panther trades more than 2,000 times per year (high frequency), but its win rate is slightly lower. It is expected to earn about 3,700 pips annually on average. The recommended margin per 0.1 lot is 1.24 million yen. When using compounding, the maximum lot size is limited to 0.3 lots.

That is the result.

It’s hard to choose one over the other, but both are EAs that can be expected to perform well in the long term.

Given the good win rate, Premia_Scal’s compounding performance also looks promising, so I would like to compare again with compounding next time.

Premia Scal

Black Panther