[東大式] XXXブレイクアウト

* * Traditional breakout method Improved

* University of Tokyo styleWith our originally developed filter , Selected breakouts with high accuracy

Robustness is evaluated over 15 items using statistics, probability theory, and machine learning methods.

* Developed and verified more than 800 systems in the past as an algorithmic trader while studying at the University of Tokyo

[Todai Filters] -[Todai Filters]. ---------------------------

Characteristics of the modern market Capturing the

The following is a list of the most common types of the Self-developed algorithm, Select breakouts with high accuracy Carefully selected

Proprietary computer simulation and fund management algorithms enable compound interest management

What is a breakout?

It was originally a method mainly used by the legendary investment group "Turtles".

Basically, when the price is moving back and forth within a certain range, the strategy is to "buy" when the price exceeds the upper limit and "sell" when the price exceeds the lower limit. Due to the nature of the strategy, the winning rate is about 33%, and consists of a large number of small losses and a small number of large wins to offset them.

This is a strategy that took the world by storm in the 1980s, and naturally, this method is not applicable in today's market, but the original "concept" is very simple and rational, and with some modifications, it can work perfectly well in today's market.

How to improve classic breakouts in a modern way

We will consider how the "modern market" differs from the "market of the time. The changes in today's market include

1. The shift to electronic markets has allowed information to be incorporated more quickly.
2. Trends no longer lasted as long, and major reversals increased.

The first is that the number of months is not as large as in the Turtles' case. Considering 1. 2. it is reasonable to consider "short term breakout" instead of months like turtles. It is reasonable to consider "short term breakout" instead of However, this would cause many false breakouts. However, this may cause many false breakouts, so we should not trade all the breakouts, Therefore, it is necessary to select only those breakouts with high accuracy It is necessary to carefully select the ones with high accuracy instead of trading all breakouts.

To carefully select breakouts with high accuracy

First, consider the following basic premise.

• 70-80% of the market is a non-trend market, and the trend is about 20-30% of the whole market.
• Breakouts that occur in a non-trending condition are often "false", but even if they are "false" because they do not form a trend, you will not lose much and the amount of loss will be small.
• If you take a position when volatility is high, there is a high likelihood of a large reversal.

Based on the above, I hypothesized that the breakout ofWhen volatility is low and the market is non-trending. breakout will be more accurate, based on these hypotheses.

Basic Concepts of Trade Strategy

As a strategy concept, it is quite simple.

1. Capture short-term trends of 1 to 3 days
2. Use the 1-hour time frame as the time axis.
3. Only place trades when the market is not trending and volatility is low (so-called filtering).

We have settled on the very simple concept of "not a trend" and "small volatility". In order to determine the condition of "no trend and small volatility" as described in 3. above, we developed our own algorithm.

Performance Results

The above figures are based on "simple interest" operation, which yields a profit of about 7 million yen over 7 years.

The above performance is not back-tested data conveniently applied to historical data,Forward Test data.

Here, a 10-year forward test is generated using a method called "walk forward analysis".

[Setting Parameters]-------------------------------

1. magic

It is a magic number. This number is unique to each EA, so do not share it with other EAs.

PositionSizingAllowed

If you want to compound interest, set to true. If you want simple interest, set to false. True is strongly recommended.

3. fvalue [setting required only in the case of compounding].

This is a setting of how much risk you are willing to take out of the funds in your account.

With 0.01, you are risking 1% of your account funds.

0.01 to 0.02 is recommended. 0.03 to 0.05 is also acceptable if you can take a lot of risk, but the drawdown will be larger.

** [No setting is required for simple interest operation (any value is acceptable)]

4.Lots [setting required only for simple interest operations].

This is the number of lots for each trade when using simple interest. For most firms, 1 lot = 100,000 currency, but please note that there are some firms that differ from this.

If the entered lot number is less than or equal to the minimum lot number of your broker, the trade will be automatically executed at the minimum lot number of your broker. Please confirm this in MT4 beforehand.

** [No setting is required for compound interest operation (any value is acceptable)]

[notes]--------------------------------------------

Please take the following into consideration

*Trade frequency:ordinaryEqual 5-6 times per month

The strategy is not designed to trade many times a day, so be prepared for a certain amount of drawdowns.

In general, it is said that statistical superiority becomes meaningful only when the number of trades exceeds 30. For the evaluation of performance, we request you to operate for a few months.

We hope that you will take a long term view, since there is a great possibility that you may experience drawdowns without immediate profit.

The data provided as backtest data is based on the simple interest rate. However, we strongly recommend you to use "Compound Interest" when you actually use the automatic trading.

[How to install]------------ ---------- ---------- -------

• Library files ... Please place it in the Libraries folder of your MT4.
• mqh file ... Please place it in the Include folder of your MT4.