Quantitative Analysis
Backtest Results
Historical simulation on real MT5 OHLC data. Includes commission ($7/lot) and slippage. London + NY killzone filter applied.
M15 · 50k Bars · 1% Risk
~25 months · 148 trades · $5,000 start
Profit Factor
3.90
> 2.0 = strong
Net Return
+209%
$5,000 → $15,433
Win Rate
54.1%
148 trades
Max Drawdown
−$476
Friction only −$131
Equity Progression
50k M15 bars · 1% risk · XAUUSDm
$15,433
from $5,000
Key Parameter Findings
H4 Trend Confirm
Requiring H4 EMA-20 direction to agree with H1 EMA eliminates counter-trend noise universally across all tested pairs.
Impact
PF ↑ all pairs
Setting
always true
Signal Cascade
Three-path OTE → FVG → OB cascade increased trade frequency from ~5/month to ~6/month while maintaining high PF.
Signals/mo
5 → 6+
PF retained
3.90
Trailing 2R = false
Moving SL to 1R when 2R is hit consistently reduced PF across all 32 sweep combinations. Partial TP is superior.
vs trailing on
PF higher
Setting
always false
All Runs
| Symbol | Period | TF | Risk | Trades | Win Rate | Profit Factor | Return | Max DD | |
|---|---|---|---|---|---|---|---|---|---|
| XAUUSDm | 50k bars (~25 mo) | M15 | 1% | 148 | 54.1% | 3.90 | +209.0% | -9.5% | Optimal config |
| GBPUSDm | 50k bars | M15 | 1% | 72 | 56.9% | 3.42 | +143.0% | — | Parameter sweep |
| NZDUSDm | 50k bars | M15 | 1% | 54 | 53.7% | 2.91 | +87.0% | — | Parameter sweep |
| EURUSDm | 50k bars | M15 | 1% | 48 | 52.1% | 2.67 | +62.0% | — | Parameter sweep |
| BTCUSDm | 50k bars | M15 | 1% | 31 | 58.1% | 2.44 | +48.0% | — | Parameter sweep |
Parameters
- Timeframe
- M15
- Symbol
- XAUUSDm
- Killzone
- 08:00–13:00, 15:00–18:00 UTC
- EMA H1 Period
- 20
- EMA H4 Confirm
- true (period 20)
- DOW Filter
- Skip Mon + Fri
- Min RR
- 2.5×
- Swing Period
- 2
- Partial TP 1R
- 50% at 1R
- Partial TP 2R
- 25% at 2R
- Trailing 2R
- false (hurts PF)
- Friday Close Hour
- 21:00 UTC
How It Works
- 1
Detect Structure
BOS or CHoCH confirms directional bias on the rolling candle window.
- 2
Trend Alignment
H1 EMA-20 and H4 EMA-20 must both agree with the BOS direction.
- 3
Killzone + DOW
Entry only during 08–13 UTC and 15–18 UTC. Skip Monday and Friday.
- 4
Signal Cascade
Try OTE (Fib 61.8–78.6%) first. Fallback to FVG, then OB if no OTE.
- 5
SL / TP / Partials
SL at PD array boundary. TP at swing extreme. Close 50% at 1R, 25% at 2R.
Disclaimer — Backtests simulate on historical OHLC data and do not account for requotes, broker restrictions, or changing market regimes. Past results do not guarantee future performance. For informational purposes only.