Gotō-day EA "Around 50" with an expected annual return of 60% and attractive stable yearly pip gains
In addition to entries based on technical logic using indicators such as moving averages and RSI,
there are anomaly trades that exploit patterns on specific days or times, such as the “Goto-day fix trade” that targets Monday gaps and the increase in dollar demand on days ending in 5 or 10.
The “Around Fifty” introduced this time is also an EA that utilizes the Goto-day anomaly, i.e., the anomaly on days ending in 5 and 10.
Around Fifty
EA Overview
"We enter on days with higher edge based on past data around the Goto-day,"
and, as a result, entries are made on days other than the Goto-day as well.
In addition, a major update was carried out in May 2020, and the forward P/L curve has been steadily improving since May.
Backtest Analysis
17-year backtest from 2003 by TDS indicates that
Maximum drawdown per 0.1 lot: 33,000 yen
Annual average profit: 66,000 yen
Annual average number of trades: 158
Average win in pips: 14.5 pips
Average loss in pips: -15.3 pips
Win rate: 65%
Recommended margin (per 0.1 lot)
(4.5)+(3.3*2)=11.1万円
This results in a projected annual return of 60% on the recommended margin.
The win rate is just under 70%, but the gap between the average win in pips (14.5) and the average loss in pips (-15.3) is small, so you can operate without large drawdowns.
In addition, it earns around 660 pips per year on average, and since the maximum drawdown is small, leveraging is recommended.
In forward testing as well, it operates at 1.0 lot with a margin of about 1 million yen, and that size should be sufficient.
▲Monthly profit and loss (the figure above is the profit for 1.0 lot)
On a monthly basis there are some negative months, but there are no losses for the year as a whole, and the annual profit ranges from about 400 pips to 1500 pips, showing very stable performance.
Even in years with lower profit, 400 pips translates to about 40% annual return, so capital efficiency is quite good, don’t you think?
▲Position holding time
Positions are closed within eight hours, with no weekend carry.
▲Long/short ratio
Besides the Goto-day trade, other logics are included, and buys and sells are traded in roughly equal proportions.
This shows it is not a simple Goto-day EA.
Trading days are fixed (on days ending in 5 and 10 and around them), and the time window is fixed,
so it does not overlap with the trading timing of other logic EAs, making it suitable to include in a portfolio.
Although it has only been a little over two months since the major update, this is an EA to watch for its future forward performance.
