Will there be profits from volatility? 'Range Against the Machine AUD/CAD Edition'
【System Trade Overview】
Currency pair: [AUD/CAD]
Trading style: [Swing trading]
Maximum number of positions: 1
Timeframe used: M1
Maximum stop loss: 220 (trailing stop enabled)
Take profit: 200 (variable TP depending on market movement)
Notes: Opening price action, weekend close feature, compounding feature available
【Backtest Analysis】
2007.02.12-2017.12.31
Spread: 20
Fixed at 0.1 lot
Net profit: +2,140,000 yen (annual average 214,000 yen)
Maximum drawdown: -56,000 yen
Total trades: 3,914 (annual average 390 trades)
Win rate: 66%
Average gain: 2,330 yen
Average loss: -2,934 yen
This is the result.
Recommended margin per 0.1 lot is,
Since the AUD/CAD margin is 33,000 yen per 10,000 units,
(3.3) + (5.6*2) = 14.5 (ten-thousand yen)Thus it is.
As you can imagine, since the annual average gain per 0.1 lot is 214,000 yen,the annual average rate of return exceeds 100%!
Now, let's look at the annual profits in the backtest.
（Backtest P/L chart）
There was a maximum drawdown of nearly 50,000 yen in 2012. Since 2014 volatility has been lower, and
there is a gentle upward trend.
Looking at the number of trades, year-to-year variation is large. The low-profit year 2012 had 94 trades, reflecting volatility.
（Annual profits）
By year, profits for 2007-2009 stand out.
Since 2012, profits have been in the range of about 50,000–140,000 yen and stable.
The five-year average annual profit is 97,000 yen, so the return rate is about 66%That’s about it.
With an average monthly profit of around 80 pips, the annual profit would be 97,000 yen,
forward testing shows +70 pips in under a month, indicating results on par with the last five years.
Compared with the explosive profits up to 2008, it may seem lacking, but if the annual return exceeds 50%, it’s still quite excellent.
Although the forward period is still short, this is an EA that effectively leverages the characteristics of the AUD/CAD pair, so it is portfolio-friendly to operate alongside the main currency. Most notably, low volatility doesn’t have to be negative; conversely, if AUD/CAD volatility rises in the future and the market becomes volatile, past performance shows it has generated large profits in volatile conditions, so further upside is expected!
