Backtest Results

Range Breakout Strategy

Dukascopy Tick Data · 2021–2025 · 1,289 trades (USD/JPY) · 1,301 trades (EUR/USD)

Same strategy, same timing, two pairs — very different outcomes. This is why testing across multiple instruments matters.

USD/JPY

Edge Found
$10k → $45.1k
+$35,143 net profit over 5 years
Win Rate: 40.9% · PF: 1.27 · Max DD: 17.8%

EUR/USD

No Edge
$10k → $4.8k
-$5,245 net loss over 5 years
Win Rate: 30.1% · PF: 1 · Max DD: 72.5%

Strategy Rules

Define a session window during the Asian session and measure the high and low — that's the range
If price closes above the session high, go long. If it closes below the session low, go short
Enter on the next candle open (with slippage adjustment)
Stop loss at the opposite end of the range
Exit at end of trade window or when stopped out
Max one trade per day

Backtest Parameters

Session Window01:00 - 04:00 UTC
Trade Window (USDJPY)04:00 - 18:00 UTC
Trade Window (EURUSD)04:00 - 16:00 UTC
Test Period2021 - 2025 (5 years)
Data SourceDukascopy Tick Data
Starting Capital$10,000
Risk per Trade1% of equity
Commission$3 per round trip
Pairs TestedEUR/USD, USD/JPY

How the Optimiser Works

The optimiser sweeps through every possible combination of session start and end times. Session start ranges from midnight to 6 AM UTC, the session is always at least three hours long, and the trade window runs until the configured exit time. It runs the full backtest for each combination and ranks results by net profit, drawdown, and profit factor. The best window across both pairs was 1 AM to 4 AM UTC.

Key Takeaway

Same logic, same timing, very different outcomes. The strategy shows a real edge on USD/JPY (+$35k, PF 1.27) but does not hold up on EUR/USD (-$5.2k, PF 1.00). This is why testing across multiple instruments matters. There is room to improve — excluding weak days, adding partial profit-taking at 1R, or using a trailing stop — but this version was kept clean to establish a baseline.

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.