'CycleTrapAsianBreak2The strategy will be upgraded to V4.40.
The main correction points are as follows.
1. Close at 20:00 on Friday.
2. Added drawdown adjustment function.
3. The loss cut is not a fixed value, but variably set by internal logic.
In order to avoid the risk of carrying over the position held on weekends, 1 was revised so that it would be closed by hand (it may not be closed by changing parameters).
For 2), when a certain amount of drawdown (including unrealized losses) occurs to the operating funds
In this case, we settled near the position quote so that the drawdown would not expand.
* It is important that the position be settled near the quoted price, not forced settlement.
For 3, the loss cut was previously set to be fixed, but from this version, it has been set to be variable by the internal logic.
* Internal logic sets a variable loss cut value within the maximum loss cut parameter value (150pips).
Using the improved version above,
The results of backtesting for the past 11 years (2005 / 01-2015 / 12) are as follows.
Throughout the last 11 years,
・ Profit factor: 1.48
・ Maximum drawdown: 7.85%
I think that it has transformed into a strategy that can withstand long-term operation.
Furthermore, paying attention to loss cut, maximum loss cut -128 pips, average loss cut -63 pips
And I think that the improvement effect appears in the average loss cut by the correction of 3 above.
The recent pound-yen has been volatile since the beginning of the year.
So, I think there is an aspect where this strategy can be used.
Added 2016 / 01 / 16:
The Euroyen version was also backtested for the past 11 years.
The result is below.
Asian box breakout seems to be effective for this currency as well.