Backtest Results

Gotobi Tokyo Fix — EURJPY Transmission

Dukascopy Tick Data · OOS 2022–2026 · IS 2019–2022 · commission included

The USDJPY gotobi effect - Japanese importers buying dollars before the 9:55 JST Tokyo fix - also lifts EUR/JPY on the same calendar days. We took the exact parameters validated on USDJPY, changed nothing, and ran them once on EUR/JPY: profit factor 1.42 across 283 out-of-sample trades, all four years 2022-2025 positive.

EUR/JPY

Real edge - transmitted from USDJPY

$10k → $12.6k

+$2,625 net profit

Win Rate: 54.42% · PF: 1.417 · Max DD: 6.05%

Strategy Rules

Trade only gotobi days: calendar dates divisible by 5, shifted to the preceding business day when they fall on a weekend (Japanese settlement convention)

Enter long EUR/JPY at 15:55 UTC the day before the fix (nine hours before the 9:55 JST Tokyo fix; JST has no DST, so the UTC clock is constant)

Hard exit at the fix, 00:55 UTC, regardless of profit or loss - the flow ends at the fix

Catastrophe stop 60 pips; take-profit 200 pips (a formality - never reached); skip entry if the spread exceeds 3 pips

One trade per gotobi day, long only, 1% of equity risked per trade

Parameters are the USDJPY parent's frozen candidate c2, inherited unchanged - this pair was never optimized on

Backtest Parameters

In-Sample Window2019.01.01 – 2022.01.01

Out-of-Sample Window2022.01.01 – 2026.01.01

Data SourceDukascopy tick data (real ticks)

Starting Capital$10,000

Risk per Trade1.0% of equity

Commission$3.50/side/lot (IC Markets Raw, modeled)

OOS Runs Consumed1

Methodology

No optimization was performed on EUR/JPY at any stage. The parameter set was inherited frozen from the USDJPY parent strategy (validated 2026-07), the transmission hypothesis was pre-registered, and the pair got exactly two tester runs on real Dukascopy ticks: one in-sample confirmation (which reproduced the independent raw-data measurement, 213 trades) and one out-of-sample run 2022-2026. Verdict gated on net profit factor, drawdown, IS-to-OOS retention, a 10,000-run Monte Carlo, and a buy-and-hold benchmark - all figures net of commission and swap.

Key Takeaway

Zero parameters were fitted to EUR/JPY - the rules were frozen on USDJPY before this pair was ever tested, which makes this the cleanest validation in our registry. What held up: profit factor retention 0.91, every out-of-sample year positive, Monte Carlo probability of loss 1.4%, and it beat buy-and-hold on risk-adjusted return (1.22x) during the biggest yen decline in decades. What to watch: the edge is fading - 2024 (+\) and 2025 (+\) earned a fraction of 2022 (+\,317), the same decay direction the USDJPY original showed. The forward test, not this backtest, will decide if it is still alive.

Disclaimer: Past performance is not indicative of future results. These backtest results are based on historical data with realistic commission assumptions. Real trading involves additional risks including execution delays, variable spreads, and emotional decision-making.