RESEARCH: Morning breakouts on the AUDJPY part 2

This is part 2 of Morning breakouts on the AUDJPY.

I finished backtesting the rest of 2013, 2014 and early 2015, and collected 412 sample trades. The backtest degraded quite badly. Here are the profit factors for various reward-to-risk ratios.

It's pretty much breakeven.

Wednesday continues to perform very badly. What happens if we omit Wednesday trades? We're left with 316 sample trades, which provided the following results:

The results are better, but profitability is too marginal for my liking. Maybe it can be improved with some discretion, like avoiding trades that are next to support or resistance.

Heh, this is what my typical day is like, testing new ideas and reaching deadends 95% of the time. 

RESEARCH: Morning breakouts on the AUDJPY

I spent this afternoon backtesting morning breakouts on the AUDJPY. 

This is based on the 4H timeframe. Basically, I looked for candles at 00:00, with a range less than 1*ATR(6). I use ATR(6) as this gives me the average candle size for the last 6 candles, or the last 24 hours (6*4 = 24 hours). 00:00 = NY Close. 

I looked for small candles as this is based on my observation that small candles tend to precede large candles. I entered on the break of the high or low of the small 00:00 candle, with my stop loss located at the opposite end of the candle. Example is below:

(click to enlarge)

Results after 100 sample trades (from early to mid 2013):

It showed promise of profitability, especially with bigger reward-to-risk ratios.

I did a bit of optimisation, and looked at which weekdays performed better. The backtest showed good results, except for Wednesday. If I omitted trades on Wednesday, I get the following results (from 76 sample trades):

This is a significant improvement. 

This isn't a trading system (yet), but it's showing some promise.