More than 500 trades per year! USD/JPY single-position EA 'Scalping Leo'
More than 500 trades per year,
USD/JPY annual return of 30% or more in scalping! 'Scalping Leo'
【Scalping Leo - Overview】
Currency pair: [USD/JPY]
Trading style: [Scalping][Day trading]
Maximum number of positions: 1
Usage timeframe: M5
Maximum stop loss: 10
Take profit: 20
This is a 1-position scalping EA for USD/JPY on the 5-minute chart.
Fixed stop loss: since it is take profit, there is no expectation of profit increase through trailing, but
the profit-to-loss ratio is 2:1, so a stable P/L curve is expected to grow funds.
【Backtest Analysis】
2008.01.01-2018.3.30
Spread 0.5 pips
Fixed at 0.1 lot
Net profit +467,000 yen (annual average 45,000 yen)
Maximum drawdown: 47,000 yen
Total trades: 5,509 (annual average over 500)
Win rate: 36.78%
Required margin per 0.1 lot is 4.2 + (4.7×2) = 13.6万円.
With ample margin, 0.1 lot on around 150,000 yen should be fine.
Expected annual return is 30%–33%, which is excellent for an EA.
Most notably, the average annual number of trades over 500 is appealing.
The win rate being below 40% is concerning, but
The risk-reward ratio (loss to profit) is 2, so theoretically a win rate of 33.3% or higher yields profit.
In a ten-year backtest, the win rate is 36%, so profits remain.
【Trade Example】
Red: SELL
Green: BUY
From a quick glance, you can tell the win rate isn't very good...?
It's a finely tuned win rate.
【Notes on Scalping EA】
Now, it's fine if the risk-reward ratio is 2 and win rate at least 33%, but for scalping EAs,
the 'spread' is critical. If the spread pushes the risk-reward ratio below 2, even with a 36% win rate,
profits may not accumulate.
Backtest with spread 1.0
While net profit with spread 0.5 was +467,000 yen,
with spread 1.0, it is only +145,000 yen, a large reduction in profit.
A 0.5-pip spread difference leads to more than triple the difference over ten years!!
The high number of trades is also one of the reasons this gap widens. Please operate with a 0.5-pip spread account.
From the above,
When operating scalping-type EAs, we strongly recommend using a broker with high execution speed and narrow spreads!
Recommended is under 1 pip, preferably around 0.5 pips for backtest-equivalent results!
