Backtest Results

Asian Session Range Breakout

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

The Asian-session range breakout that started this project, finally tested out of sample. Optimized on 2019 to 2022, frozen, then run once on 2022 to 2026, it returned $10,230 net at a profit factor of 1.16 and kept 96% of its in-sample edge.

USD/JPY

Real edge, held OOS - forward testing
$10k → $20.2k
+$10,230 net profit
Win Rate: 45.75% · PF: 1.163 · Max DD: 23.7%

Strategy Rules

Measure the high and low of completed M15 bars between SessionStartHourUTC and SessionEndHourUTC (the Asian range).
During the trade window (SessionEndHourUTC .. TradeExitHourUTC), if the last COMPLETED M15 close is above the session high, enter long at market on the new bar.
One trade per calendar day.
Mirror: if the last completed M15 close is below the session low during the trade window, enter short at market.
One trade per calendar day (whichever side triggers first).
Skip Sunday/Saturday stub bars (no real Asian session).
Require a valid, non-degenerate range (high > low, both > 0).

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% of equity
Commission$3.50/side/lot (IC Markets Raw, modeled)
OOS Runs Consumed2

Methodology

Genetic optimization on the in-sample window with a net-of-costs robustness criterion; parameter-plateau selection (top candidates must have profitable neighborhoods, not just a best pass); out-of-sample window run once per frozen candidate on real ticks; verdicts gated on net profit factor, drawdown, and IS-to-OOS retention.

Key Takeaway

The edge is real and it held out of sample: it survived a doubled-cost rerun, passed a 10,000-run Monte Carlo resample with only a 4% chance of loss, and beat buy-and-hold on risk-adjusted return by 1.5 times. It still fails two of our live gates. The 23.7% drawdown exceeds our 20% cap, and the 1.21 in-sample profit factor is below our 1.30 minimum. Too risky to ship and too robust to bin, so it becomes our first forward-test candidate rather than a pass or a rejection.

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.