USDJPY 検証結果
Symbol: OANDA:USDJPY
カテゴリ: 主要 FX (基軸通貨ペア)
検証期間: D 24 年 / 4H 13.4 年 / 1H 3.4 年 / 15m 0.875 年 / 5m 0.275 年 / 1m 25 日
1. Aggregate 結果 (3 indicator × 6 TF)
LAB.PRO Max (Q.PRO Long)
| TF | Trades | Win% | PF | Net JPY | Net % | Max DD% |
|---|
| 1m | 12 | 71.43 | 4.479 | +370,500 | +2.47 | 0.67 |
| 5m | 45 | 35.56 | 0.814 | -264,500 | -1.76 | 5.62 |
| 15m | 94 | 57.45 | 1.506 | +2,409,500 | +16.06 | 8.08 |
| 1H | 109 | 67.89 | 1.629 | +6,316,500 | +42.11 | 15.81 |
| 4H | 73 | 76.71 | 1.683 | +5,747,000 | +38.31 | 18.13 |
| D | 5 | 20.00 | 0.727 | -204,500 | -1.36 | 5.01 |
LAB.ESS (Q.ESS)
| TF | Trades | Win% | PF | Net JPY |
|---|
| 1m | 1,392 | 47.77 | 1.031 | +269,500 |
| 5m | 2,559 | 48.42 | 0.891 | -4,739,500 |
| 15m | 3,917 | 49.26 | 0.984 | -1,603,500 |
| 1H | 489 | 51.94 | 0.963 | -1,544,000 |
| 4H | 693 | 50.22 | 1.089 | +6,998,500 |
| D | 638 | 49.37 | 0.886 | -29,757,000 |
LAB.ELA (Q.ELA Full)
| TF | Trades | Win% | PF | Net JPY |
|---|
| 1m | 66 | 37.88 | 0.531 | -469,500 |
| 5m | 84 | 58.33 | 1.426 | +907,500 |
| 15m | 135 | 53.33 | 1.101 | +780,000 |
| 1H | 518 | 52.12 | 1.034 | +1,542,500 |
| 4H | 799 | 57.20 | 1.192 | +17,705,500 |
| D | 233 | 70.39 | 1.413 | +18,707,500 |
2. Variant 分解 (本銘柄の専売的データ)
LAB.PRO Max × QUANT / TREND
| TF | QUANT_L Trd / Win% / PF | TREND_L Trd / Win% / PF |
|---|
| 15m | 67 / 58.21 / 1.518 | 27 / 55.56 / 1.349 |
| 1H | 67 / 71.64 / 1.619 | 42 / 61.90 / 1.688 |
| 4H | 53 / 84.91 / 1.657 | 20 / 55.00 / 1.947 |
LAB.ESS × TREND/RANGE × Long/Short
| TF | TREND_L PF | TREND_S PF | RANGE_L PF | RANGE_S PF |
|---|
| 1H | 3.453 ★ | 0.791 | 0.650 | 1.232 |
| 4H | 0.962 | 3.679 ★★ | 0.854 | 1.343 |
| D | 5.103 (5tr) | 7.438 (5tr) | 0.915 | 0.829 |
LAB.ELA × WALL/GOLD
| TF | WALL_L PF | WALL_S PF | GOLD_L PF | GOLD_S PF |
|---|
| 5m | 1.479 | 1.274 | 0.997 | 1.831 |
| 1H | 1.027 | 0.982 | 3.026 ★★ | 0.773 |
| 4H | 1.374 | 1.044 | 0.823 | — |
| D | 1.438 | 1.376 | — | — |
TP filter 効果 (Q.PRO × 4H × TREND)
| Filter | Trade | Win% | PF |
|---|
| any | 20 | 55.00 | 1.947 |
| 30pip+ | 5 | 80.00 | 4.967 |
| 50pip+ | 5 | 80.00 | ∞ |
3. Positive (採用候補)
| Cell | PF | Win% | Trade |
|---|
| Q.PRO × 4H × QUANT (主力) | 1.657 | 84.91 | 53 |
| Q.PRO × 4H × TREND | 1.947 | 55.00 | 20 |
| Q.PRO × 4H × TREND × 30pip+ | 4.967 | 80.00 | 5 |
| Q.PRO × 1H × QUANT | 1.619 | 71.64 | 67 |
| Q.PRO × 1H × TREND | 1.688 | 61.90 | 42 |
| Q.PRO × 15m × QUANT | 1.518 | 58.21 | 67 |
| Q.ESS × 4H × TREND Short | 3.679 | 76.47 | 34 |
| Q.ESS × 1H × TREND Long | 3.453 | 66.67 | 30 |
| Q.ELA × D (WALL 集計) | 1.413 | 70.39 | 233 |
| Q.ELA × 4H (WALL 集計) | 1.192 | 57.20 | 799 |
| Q.ELA × 1H × GOLD Long | 3.026 | 72.73 | 11 |
| Q.ELA × 5m × GOLD Short | 1.831 | 62.50 | 8 |
4. Negative (採用不可)
| Cell | PF | 理由 |
|---|
| Q.PRO × D | 0.727 | 5 trade で機能不全 |
| Q.PRO × 5m | 0.814 | noise 過多 |
| Q.ESS aggregate (RANGE 込) | 0.89-1.09 | RANGE drag |
| Q.ESS × D × RANGE | 0.82-0.92 | drag |
| Q.ELA × 1m | 0.531 | 全 variant 機能不全 |
5. Best Practice (USDJPY 採用方針)
単独運用なら
- Q.PRO × 4H (PF 1.683 / Win 76.71%) を core に
-
- Q.ELA × D (PF 1.413 / Win 70.39%) を補完
Variant precision 運用
- Q.ESS × 4H × TREND Short (PF 3.679) ★
- Q.ESS × 1H × TREND Long (PF 3.453) ★
- Q.ELA × 1H × GOLD Long (PF 3.026) ★
- Q.PRO × 4H × TREND × 30pip+ filter (PF 4.967) ★
Portfolio 構成例
| Weight | Cell | PF |
|---|
| 35% | Q.PRO × 4H × QUANT (主力) | 1.66 |
| 25% | Q.ELA × D | 1.41 |
| 15% | Q.ESS × 4H × TREND Short | 3.68 |
| 15% | Q.ESS × 1H × TREND Long | 3.45 |
| 10% | Q.PRO × 1H × TREND | 1.69 |
期待年率: ~10-13%、Sharpe ~1.6+