# インジケーターシグナル × セッション × AMDX
全15構造の確定5分足シグナルを、NY現地時刻の4セッション×90分A/M/D/X=16窓で分け、各窓のEntry条件を約定エンジンで再実行した。SMTは使用しない。
この16窓定義ではNY AMは06:00–12:00、Dは09:00–10:30。既存のH005用AMDX（D=09:30–10:30）とは別の区分。
シグナル足の開始時刻で窓を決め、次の5分足始値で約定。5分を超えるデータギャップをまたぐ新規エントリーは除外した。出口・コスト・1枚・ATR Stop/2Rは既存の共通エンジンと同じ。
データ: MNQ 5m、SHA256 `ecd46b136825e0b329c6956ece1420f764d1225f8cce460f7c42cc4f01329890`。IS 2025-01-01〜2025-12-31、OOS 2026-01-01〜2026-09-25T16:55:00-04:00を別々に集計。9月は途中まで。
2026年損益は以前の研究で閲覧済み。全240組の探索結果であり、このOOSを未使用検証とは呼ばない。
窓ごとにポジション制約を再評価するため、16窓の取引数や損益の合計は全時間戦略と一致しない。
## 探索候補
両期間で各100取引以上、期待値>$0/取引かつPF>1のセルを表示。該当: 16/240。
これは複数比較後の候補であり、将来データでの事前固定検証が必要。
| 構造 | 窓（NY時間） | IS n / 平均$ / PF | OOS n / 平均$ / PF | OOSプラス月 |
|---|---|---:|---:|---:|
| squeeze_release | ny_am D 09:00–10:30 | 167 / 32.60 / 1.85 | 120 / 19.27 / 1.34 | 6/9 |
| ema_ribbon | asia X 22:30–00:00 | 180 / 6.95 / 1.31 | 155 / 19.71 / 1.58 | 7/9 |
| rolling_zscore | ny_pm M 13:30–15:00 | 184 / 3.82 / 1.09 | 143 / 7.79 / 1.17 | 5/9 |
| displacement_fvg | ny_am D 09:00–10:30 | 336 / 2.64 / 1.08 | 260 / 4.00 / 1.09 | 6/9 |
| donchian_ema_atr | asia X 22:30–00:00 | 128 / 2.24 / 1.07 | 111 / 14.85 / 1.30 | 5/9 |
| donchian_ema_atr | asia A 18:00–19:30 | 139 / 1.43 / 1.02 | 110 / 6.38 / 1.10 | 4/9 |
| donchian_20_10 | london M 01:30–03:00 | 266 / 1.37 / 1.05 | 204 / 11.49 / 1.28 | 4/9 |
| ema_ribbon | asia D 21:00–22:30 | 191 / 1.26 / 1.05 | 154 / 3.00 / 1.06 | 6/9 |
| connors_rsi | ny_pm X 16:30–18:00 | 157 / 5.66 / 1.43 | 128 / 1.21 / 1.07 | 4/9 |
| connors_rsi | ny_am X 10:30–12:00 | 1148 / 2.63 / 1.13 | 818 / 1.18 / 1.04 | 5/9 |
| chandelier_flip | london D 03:00–04:30 | 228 / 0.77 / 1.02 | 145 / 9.63 / 1.22 | 6/9 |
| ema_ribbon | london A 00:00–01:30 | 224 / 0.64 / 1.03 | 160 / 14.85 / 1.40 | 6/9 |
| squeeze_release | asia M 19:30–21:00 | 124 / 1.57 / 1.10 | 112 / 0.25 / 1.01 | 3/9 |
| vwap_deviation | ny_am M 07:30–09:00 | 194 / 0.16 / 1.00 | 146 / 0.92 / 1.02 | 4/9 |
| supertrend_flip | london D 03:00–04:30 | 170 / 0.81 / 1.02 | 104 / 0.09 / 1.00 | 4/9 |
| ema_ribbon | ny_am X 10:30–12:00 | 244 / 3.64 / 1.05 | 171 / 0.09 / 1.00 | 4/9 |
## 月次の確認
上記16候補のうち、両期間でプラス月が過半数のセルは4。月次の符号は追加の記述的チェックで、独立した検証ではない。
| 構造 | 窓 | ISプラス月 | OOSプラス月 | IS / OOS 期待値$ |
|---|---|---:|---:|---:|
| squeeze_release | ny_am D 09:00–10:30 | 10/12 | 6/9 | 32.60 / 19.27 |
| ema_ribbon | asia X 22:30–00:00 | 7/12 | 7/9 | 6.95 / 19.71 |
| connors_rsi | ny_am X 10:30–12:00 | 7/12 | 5/9 | 2.63 / 1.18 |
| chandelier_flip | london D 03:00–04:30 | 7/12 | 6/9 | 0.77 / 9.63 |
## 全時間の対照
5分を超えるギャップ後の新規約定を除く同じルールで再実行した全時間結果。既存の全時間バックテストとはこの点で数値が異なりうる。
| 構造 | IS n / 平均$ / PF | OOS n / 平均$ / PF |
|---|---:|---:|
| donchian_20_10 | 2819 / -1.05 / 0.98 | 2084 / -1.21 / 0.98 |
| donchian_ema_atr | 1948 / 0.41 / 1.01 | 1490 / -2.96 / 0.96 |
| supertrend_flip | 1654 / 0.86 / 1.02 | 1288 / -0.18 / 1.00 |
| chandelier_flip | 2342 / -0.64 / 0.99 | 1727 / 0.20 / 1.00 |
| ema_ribbon | 2283 / -1.12 / 0.98 | 1664 / -4.31 / 0.93 |
| squeeze_release | 2020 / 2.04 / 1.09 | 1553 / -4.71 / 0.86 |
| vwap_deviation | 2091 / -8.60 / 0.82 | 1459 / -8.67 / 0.87 |
| rolling_zscore | 3339 / -3.06 / 0.92 | 2432 / -4.30 / 0.91 |
| connors_rsi | 15441 / -2.17 / 0.85 | 11455 / -2.26 / 0.88 |
| opening_range | 450 / -2.73 / 0.97 | 314 / -1.81 / 0.98 |
| adx_di_cross | 1825 / -3.46 / 0.89 | 1361 / -8.57 / 0.80 |
| bbw_release | 733 / -6.15 / 0.71 | 492 / -1.64 / 0.95 |
| kaufman_efficiency | 4952 / -2.26 / 0.87 | 3585 / -3.39 / 0.86 |
| displacement_fvg | 1249 / -0.16 / 0.99 | 895 / 0.66 / 1.02 |
| madz_reversion | 961 / -10.85 / 0.81 | 715 / 6.60 / 1.09 |
## 全セルの位置
各セルは `IS: 件数 / 平均損益$ / PF` と `OOS: 件数 / 平均損益$ / PF`。`*` はどちらかが100取引未満。時間はNY現地時刻でDST対応。
### donchian_20_10
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 203 / -7.58 / 0.81
OOS 146 / 13.54 / 1.30 | 19:30–21:00
IS 218 / 1.63 / 1.05
OOS 212 / -7.09 / 0.86 | 21:00–22:30
IS 211 / -8.52 / 0.71
OOS 152 / 12.94 / 1.32 | 22:30–00:00
IS 194 / -3.75 / 0.85
OOS 137 / -8.57 / 0.79 |
| london | 00:00–01:30
IS 248 / -3.30 / 0.88
OOS 201 / 14.42 / 1.42 | 01:30–03:00
IS 266 / 1.37 / 1.05
OOS 204 / 11.49 / 1.28 | 03:00–04:30
IS 298 / -9.64 / 0.75
OOS 216 / -2.38 / 0.95 | 04:30–06:00
IS 183 / 2.77 / 1.08
OOS 144 / -13.21 / 0.73 |
| ny_am | 06:00–07:30
IS 264 / -5.18 / 0.87
OOS 176 / -15.28 / 0.71 | 07:30–09:00
IS 271 / -8.26 / 0.84
OOS 196 / -8.10 / 0.88 | 09:00–10:30
IS 403 / 1.11 / 1.02
OOS 293 / -9.19 / 0.90 | 10:30–12:00
IS 196 / 6.76 / 1.10
OOS 151 / -8.07 / 0.91 |
| ny_pm | 12:00–13:30
IS 210 / 17.03 / 1.29
OOS 148 / -13.91 / 0.82 | 13:30–15:00
IS 200 / 4.88 / 1.08
OOS 146 / -15.88 / 0.79 | 15:00–16:30
IS 230 / -2.11 / 0.97
OOS 172 / -8.89 / 0.88 | 16:30–18:00*
IS 22 / 2.39 / 1.05
OOS 20 / -40.13 / 0.64 |
### donchian_ema_atr
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 139 / 1.43 / 1.02
OOS 110 / 6.38 / 1.10 | 19:30–21:00
IS 159 / -4.18 / 0.90
OOS 154 / -19.48 / 0.69 | 21:00–22:30
IS 146 / -4.57 / 0.87
OOS 104 / 21.62 / 1.41 | 22:30–00:00
IS 128 / 2.24 / 1.07
OOS 111 / 14.85 / 1.30 |
| london | 00:00–01:30
IS 169 / -0.52 / 0.98
OOS 137 / 20.91 / 1.56 | 01:30–03:00
IS 200 / -1.00 / 0.97
OOS 143 / 15.82 / 1.37 | 03:00–04:30
IS 225 / -12.90 / 0.70
OOS 161 / 7.92 / 1.15 | 04:30–06:00
IS 145 / 2.05 / 1.05
OOS 113 / -14.62 / 0.77 |
| ny_am | 06:00–07:30
IS 198 / -9.06 / 0.79
OOS 127 / -2.99 / 0.95 | 07:30–09:00
IS 225 / -3.49 / 0.93
OOS 157 / -1.10 / 0.98 | 09:00–10:30
IS 357 / -3.54 / 0.95
OOS 256 / 0.02 / 1.00 | 10:30–12:00
IS 176 / -5.60 / 0.94
OOS 134 / -29.11 / 0.77 |
| ny_pm | 12:00–13:30
IS 165 / 42.04 / 1.60
OOS 121 / -12.68 / 0.88 | 13:30–15:00
IS 157 / 13.12 / 1.19
OOS 108 / -40.68 / 0.58 | 15:00–16:30
IS 160 / 7.90 / 1.11
OOS 124 / -15.24 / 0.83 | 16:30–18:00*
IS 18 / -17.04 / 0.79
OOS 11 / 44.67 / 1.49 |
### supertrend_flip
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 73 / 27.80 / 1.86
OOS 80 / 10.58 / 1.18 | 19:30–21:00*
IS 81 / 10.02 / 1.33
OOS 102 / 16.17 / 1.30 | 21:00–22:30*
IS 82 / -2.57 / 0.94
OOS 68 / 16.99 / 1.32 | 22:30–00:00*
IS 69 / 3.31 / 1.11
OOS 55 / -9.33 / 0.84 |
| london | 00:00–01:30*
IS 118 / -3.78 / 0.87
OOS 84 / 27.22 / 1.84 | 01:30–03:00*
IS 140 / -7.10 / 0.79
OOS 87 / -2.90 / 0.94 | 03:00–04:30
IS 170 / 0.81 / 1.02
OOS 104 / 0.09 / 1.00 | 04:30–06:00*
IS 76 / 12.69 / 1.37
OOS 69 / 3.89 / 1.07 |
| ny_am | 06:00–07:30*
IS 118 / -9.77 / 0.78
OOS 86 / -26.00 / 0.60 | 07:30–09:00
IS 144 / -13.49 / 0.74
OOS 111 / -8.94 / 0.87 | 09:00–10:30
IS 234 / -19.04 / 0.76
OOS 173 / -10.45 / 0.90 | 10:30–12:00*
IS 73 / 5.63 / 1.07
OOS 67 / -15.65 / 0.86 |
| ny_pm | 12:00–13:30*
IS 80 / 38.16 / 1.55
OOS 52 / 46.29 / 1.63 | 13:30–15:00*
IS 78 / 2.08 / 1.03
OOS 62 / -14.70 / 0.83 | 15:00–16:30*
IS 113 / 20.90 / 1.35
OOS 84 / -8.11 / 0.90 | 16:30–18:00*
IS 5 / 91.35 / 10.29
OOS 4 / -101.24 / 0.00 |
### chandelier_flip
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 105 / -2.78 / 0.93
OOS 94 / -3.72 / 0.94 | 19:30–21:00*
IS 95 / 3.63 / 1.10
OOS 111 / 21.50 / 1.41 | 21:00–22:30*
IS 101 / -6.52 / 0.82
OOS 85 / -6.26 / 0.89 | 22:30–00:00*
IS 98 / -1.91 / 0.94
OOS 69 / 1.08 / 1.02 |
| london | 00:00–01:30*
IS 123 / -8.32 / 0.72
OOS 78 / 47.81 / 2.83 | 01:30–03:00*
IS 185 / -0.83 / 0.97
OOS 94 / 13.41 / 1.34 | 03:00–04:30
IS 228 / 0.77 / 1.02
OOS 145 / 9.63 / 1.22 | 04:30–06:00
IS 131 / 10.24 / 1.37
OOS 100 / -4.79 / 0.89 |
| ny_am | 06:00–07:30
IS 176 / -4.88 / 0.88
OOS 132 / -16.21 / 0.72 | 07:30–09:00
IS 193 / -26.84 / 0.52
OOS 150 / -20.19 / 0.71 | 09:00–10:30
IS 349 / 8.11 / 1.14
OOS 279 / -14.85 / 0.84 | 10:30–12:00
IS 176 / -9.14 / 0.89
OOS 125 / 5.50 / 1.07 |
| ny_pm | 12:00–13:30*
IS 120 / 43.14 / 1.67
OOS 73 / 50.36 / 1.65 | 13:30–15:00*
IS 111 / -11.08 / 0.84
OOS 76 / -14.02 / 0.83 | 15:00–16:30
IS 140 / -0.88 / 0.99
OOS 104 / -6.20 / 0.92 | 16:30–18:00*
IS 11 / -4.80 / 0.89
OOS 12 / -40.58 / 0.65 |
### ema_ribbon
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 191 / 4.60 / 1.12
OOS 146 / -18.34 / 0.71 | 19:30–21:00
IS 215 / -5.34 / 0.85
OOS 166 / -15.65 / 0.73 | 21:00–22:30
IS 191 / 1.26 / 1.05
OOS 154 / 3.00 / 1.06 | 22:30–00:00
IS 180 / 6.95 / 1.31
OOS 155 / 19.71 / 1.58 |
| london | 00:00–01:30
IS 224 / 0.64 / 1.03
OOS 160 / 14.85 / 1.40 | 01:30–03:00
IS 231 / 0.42 / 1.01
OOS 163 / -1.23 / 0.97 | 03:00–04:30
IS 252 / -3.74 / 0.89
OOS 172 / 8.69 / 1.20 | 04:30–06:00
IS 224 / -4.72 / 0.86
OOS 155 / -5.43 / 0.89 |
| ny_am | 06:00–07:30
IS 252 / -3.66 / 0.90
OOS 174 / -12.85 / 0.77 | 07:30–09:00
IS 277 / -10.41 / 0.79
OOS 205 / -5.97 / 0.90 | 09:00–10:30
IS 340 / 2.65 / 1.04
OOS 249 / -20.79 / 0.79 | 10:30–12:00
IS 244 / 3.64 / 1.05
OOS 171 / 0.09 / 1.00 |
| ny_pm | 12:00–13:30
IS 223 / 0.44 / 1.01
OOS 168 / -10.64 / 0.86 | 13:30–15:00
IS 216 / 16.98 / 1.29
OOS 158 / -12.64 / 0.83 | 15:00–16:30
IS 223 / -4.83 / 0.92
OOS 157 / -3.74 / 0.95 | 16:30–18:00*
IS 57 / 37.79 / 2.18
OOS 42 / -35.59 / 0.57 |
### squeeze_release
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 129 / -5.72 / 0.70
OOS 102 / -6.91 / 0.74 | 19:30–21:00
IS 124 / 1.57 / 1.10
OOS 112 / 0.25 / 1.01 | 21:00–22:30*
IS 135 / -6.48 / 0.61
OOS 89 / -7.07 / 0.75 | 22:30–00:00*
IS 130 / 1.51 / 1.13
OOS 96 / 0.50 / 1.03 |
| london | 00:00–01:30
IS 133 / -2.52 / 0.82
OOS 111 / 5.97 / 1.34 | 01:30–03:00
IS 157 / 0.17 / 1.01
OOS 111 / -3.48 / 0.86 | 03:00–04:30
IS 139 / -3.48 / 0.84
OOS 107 / 2.03 / 1.06 | 04:30–06:00
IS 111 / -1.35 / 0.92
OOS 100 / 4.10 / 1.21 |
| ny_am | 06:00–07:30
IS 149 / 1.29 / 1.07
OOS 103 / -11.75 / 0.64 | 07:30–09:00
IS 149 / -8.46 / 0.67
OOS 122 / -24.71 / 0.46 | 09:00–10:30
IS 167 / 32.60 / 1.85
OOS 120 / 19.27 / 1.34 | 10:30–12:00*
IS 92 / 19.22 / 1.56
OOS 84 / -3.45 / 0.91 |
| ny_pm | 12:00–13:30*
IS 133 / 18.52 / 1.66
OOS 97 / -8.83 / 0.78 | 13:30–15:00*
IS 120 / -14.05 / 0.60
OOS 86 / -0.97 / 0.98 | 15:00–16:30
IS 133 / 0.46 / 1.02
OOS 102 / -30.27 / 0.36 | 16:30–18:00*
IS 29 / -19.21 / 0.49
OOS 17 / -41.30 / 0.42 |
### vwap_deviation
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 72 / -10.47 / 0.78
OOS 53 / -2.97 / 0.95 | 19:30–21:00*
IS 84 / -16.39 / 0.61
OOS 85 / 9.74 / 1.18 | 21:00–22:30*
IS 57 / -15.16 / 0.60
OOS 62 / -29.79 / 0.48 | 22:30–00:00*
IS 48 / -11.84 / 0.48
OOS 46 / -13.35 / 0.58 |
| london | 00:00–01:30
IS 200 / -2.57 / 0.86
OOS 149 / -6.65 / 0.80 | 01:30–03:00
IS 362 / -3.34 / 0.86
OOS 236 / -18.90 / 0.60 | 03:00–04:30
IS 308 / -8.62 / 0.77
OOS 209 / -21.69 / 0.61 | 04:30–06:00
IS 169 / -2.72 / 0.93
OOS 123 / -3.96 / 0.93 |
| ny_am | 06:00–07:30
IS 156 / -7.25 / 0.83
OOS 106 / -1.06 / 0.98 | 07:30–09:00
IS 194 / 0.16 / 1.00
OOS 146 / 0.92 / 1.02 | 09:00–10:30
IS 349 / -2.85 / 0.95
OOS 262 / 6.10 / 1.07 | 10:30–12:00
IS 199 / -0.48 / 0.99
OOS 128 / -24.40 / 0.80 |
| ny_pm | 12:00–13:30*
IS 140 / -34.76 / 0.63
OOS 88 / -21.09 / 0.80 | 13:30–15:00*
IS 117 / -44.50 / 0.55
OOS 77 / 3.00 / 1.03 | 15:00–16:30*
IS 104 / -43.58 / 0.51
OOS 69 / -29.84 / 0.71 | 16:30–18:00*
IS 16 / -107.30 / 0.16
OOS 13 / 42.74 / 1.86 |
### rolling_zscore
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 211 / -3.45 / 0.88
OOS 149 / -11.24 / 0.76 | 19:30–21:00
IS 238 / -6.03 / 0.79
OOS 230 / -8.47 / 0.82 | 21:00–22:30
IS 190 / 0.20 / 1.01
OOS 136 / -11.57 / 0.73 | 22:30–00:00
IS 177 / -5.60 / 0.74
OOS 120 / -12.17 / 0.65 |
| london | 00:00–01:30
IS 257 / 1.69 / 1.09
OOS 188 / -14.39 / 0.61 | 01:30–03:00
IS 294 / -5.89 / 0.77
OOS 180 / -18.62 / 0.57 | 03:00–04:30
IS 289 / -2.45 / 0.91
OOS 221 / -7.95 / 0.82 | 04:30–06:00
IS 164 / -8.95 / 0.69
OOS 129 / 5.19 / 1.15 |
| ny_am | 06:00–07:30
IS 291 / -1.44 / 0.95
OOS 186 / 4.10 / 1.11 | 07:30–09:00
IS 278 / 2.86 / 1.09
OOS 210 / -7.10 / 0.86 | 09:00–10:30
IS 388 / -0.03 / 1.00
OOS 280 / 2.04 / 1.03 | 10:30–12:00
IS 146 / -22.26 / 0.69
OOS 111 / -26.27 / 0.68 |
| ny_pm | 12:00–13:30
IS 193 / -10.93 / 0.80
OOS 121 / 24.88 / 1.51 | 13:30–15:00
IS 184 / 3.82 / 1.09
OOS 143 / 7.79 / 1.17 | 15:00–16:30
IS 245 / -5.00 / 0.90
OOS 171 / 4.07 / 1.07 | 16:30–18:00*
IS 13 / 6.94 / 1.12
OOS 10 / 77.12 / 4.71 |
### connors_rsi
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 875 / -2.58 / 0.77
OOS 695 / -3.76 / 0.76 | 19:30–21:00
IS 893 / -2.96 / 0.73
OOS 787 / -4.58 / 0.78 | 21:00–22:30
IS 943 / -2.73 / 0.71
OOS 753 / -2.75 / 0.81 | 22:30–00:00
IS 881 / -3.07 / 0.62
OOS 703 / -1.05 / 0.91 |
| london | 00:00–01:30
IS 995 / -2.48 / 0.69
OOS 743 / -2.61 / 0.80 | 01:30–03:00
IS 1086 / -2.53 / 0.74
OOS 796 / -3.49 / 0.76 | 03:00–04:30
IS 1268 / -3.36 / 0.75
OOS 896 / -2.57 / 0.85 | 04:30–06:00
IS 1073 / -0.76 / 0.91
OOS 753 / -1.35 / 0.90 |
| ny_am | 06:00–07:30
IS 1054 / -3.38 / 0.73
OOS 786 / 0.66 / 1.05 | 07:30–09:00
IS 1177 / -2.00 / 0.85
OOS 837 / -4.08 / 0.80 | 09:00–10:30
IS 1345 / -2.93 / 0.90
OOS 970 / -4.10 / 0.89 | 10:30–12:00
IS 1148 / 2.63 / 1.13
OOS 818 / 1.18 / 1.04 |
| ny_pm | 12:00–13:30
IS 981 / -2.27 / 0.89
OOS 696 / 3.48 / 1.17 | 13:30–15:00
IS 858 / -1.58 / 0.92
OOS 586 / 0.23 / 1.01 | 15:00–16:30
IS 829 / -3.99 / 0.82
OOS 615 / -9.87 / 0.63 | 16:30–18:00
IS 157 / 5.66 / 1.43
OOS 128 / 1.21 / 1.07 |
### opening_range
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 19:30–21:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 21:00–22:30*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 22:30–00:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — |
| london | 00:00–01:30*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 01:30–03:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 03:00–04:30*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 04:30–06:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — |
| ny_am | 06:00–07:30*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 07:30–09:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — | 09:00–10:30
IS 172 / -1.05 / 0.99
OOS 125 / -21.63 / 0.83 | 10:30–12:00
IS 163 / 3.48 / 1.04
OOS 135 / -23.84 / 0.79 |
| ny_pm | 12:00–13:30*
IS 111 / 0.24 / 1.00
OOS 76 / 19.96 / 1.27 | 13:30–15:00*
IS 103 / 17.21 / 1.30
OOS 58 / 6.76 / 1.09 | 15:00–16:30*
IS 63 / -1.21 / 0.97
OOS 46 / 2.16 / 1.05 | 16:30–18:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — |
### adx_di_cross
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 82 / -3.99 / 0.85
OOS 78 / -9.46 / 0.80 | 19:30–21:00*
IS 93 / -3.89 / 0.80
OOS 101 / 2.56 / 1.07 | 21:00–22:30*
IS 89 / -3.56 / 0.81
OOS 89 / 0.73 / 1.02 | 22:30–00:00*
IS 79 / 3.40 / 1.25
OOS 73 / -3.32 / 0.88 |
| london | 00:00–01:30*
IS 126 / 0.85 / 1.05
OOS 62 / 0.22 / 1.01 | 01:30–03:00*
IS 133 / -2.93 / 0.86
OOS 90 / -3.46 / 0.88 | 03:00–04:30
IS 208 / 1.44 / 1.06
OOS 112 / -3.31 / 0.89 | 04:30–06:00*
IS 100 / -1.41 / 0.93
OOS 94 / -12.05 / 0.54 |
| ny_am | 06:00–07:30*
IS 110 / -1.50 / 0.92
OOS 88 / -19.51 / 0.38 | 07:30–09:00
IS 150 / -12.57 / 0.63
OOS 107 / -8.41 / 0.80 | 09:00–10:30
IS 216 / 0.43 / 1.01
OOS 156 / -26.39 / 0.67 | 10:30–12:00*
IS 138 / -10.62 / 0.78
OOS 85 / -9.93 / 0.83 |
| ny_pm | 12:00–13:30*
IS 90 / -7.37 / 0.86
OOS 62 / 17.56 / 1.43 | 13:30–15:00*
IS 105 / -19.24 / 0.59
OOS 66 / -28.79 / 0.52 | 15:00–16:30*
IS 99 / 6.59 / 1.15
OOS 83 / -0.62 / 0.99 | 16:30–18:00*
IS 7 / 0.73 / 1.02
OOS 15 / -50.57 / 0.03 |
### bbw_release
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 90 / -18.45 / 0.31
OOS 71 / 2.38 / 1.10 | 19:30–21:00*
IS 137 / -9.60 / 0.58
OOS 85 / -13.12 / 0.64 | 21:00–22:30*
IS 100 / -3.90 / 0.80
OOS 35 / 10.97 / 1.61 | 22:30–00:00*
IS 126 / -3.92 / 0.76
OOS 70 / 5.34 / 1.30 |
| london | 00:00–01:30*
IS 147 / -9.20 / 0.51
OOS 70 / -2.67 / 0.90 | 01:30–03:00*
IS 56 / -5.81 / 0.71
OOS 37 / -8.21 / 0.76 | 03:00–04:30*
IS 10 / 24.92 / 2.23
OOS 17 / 47.74 / 2.96 | 04:30–06:00*
IS 8 / 33.86 / 4.68
OOS 13 / 7.96 / 1.22 |
| ny_am | 06:00–07:30*
IS 29 / 4.98 / 1.23
OOS 33 / -17.93 / 0.53 | 07:30–09:00*
IS 5 / -28.69 / 0.32
OOS 13 / -14.65 / 0.65 | 09:00–10:30*
IS 2 / 171.22 / 7.35
OOS 1 / 197.73 / — | 10:30–12:00*
IS 0 / 0.00 / —
OOS 0 / 0.00 / — |
| ny_pm | 12:00–13:30*
IS 2 / -17.94 / 0.55
OOS 6 / -39.07 / 0.00 | 13:30–15:00*
IS 13 / -24.39 / 0.36
OOS 20 / -0.03 / 1.00 | 15:00–16:30*
IS 23 / 14.54 / 1.50
OOS 30 / -5.00 / 0.89 | 16:30–18:00*
IS 5 / -0.04 / 1.00
OOS 9 / -35.13 / 0.21 |
### kaufman_efficiency
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30
IS 384 / -3.28 / 0.78
OOS 280 / -4.32 / 0.76 | 19:30–21:00
IS 302 / -3.35 / 0.76
OOS 242 / -1.90 / 0.91 | 21:00–22:30
IS 336 / -5.44 / 0.53
OOS 247 / 1.16 / 1.07 | 22:30–00:00
IS 336 / -1.40 / 0.83
OOS 203 / -7.80 / 0.49 |
| london | 00:00–01:30
IS 328 / -1.57 / 0.84
OOS 239 / 3.62 / 1.24 | 01:30–03:00
IS 329 / -2.99 / 0.77
OOS 232 / -2.55 / 0.85 | 03:00–04:30
IS 314 / -2.11 / 0.86
OOS 245 / -7.58 / 0.68 | 04:30–06:00
IS 292 / -1.82 / 0.87
OOS 232 / -3.52 / 0.79 |
| ny_am | 06:00–07:30
IS 335 / -3.04 / 0.79
OOS 230 / -8.88 / 0.59 | 07:30–09:00
IS 343 / -9.77 / 0.52
OOS 227 / -1.05 / 0.96 | 09:00–10:30
IS 345 / -0.96 / 0.97
OOS 246 / 0.21 / 1.00 | 10:30–12:00
IS 290 / 6.63 / 1.27
OOS 237 / -3.82 / 0.88 |
| ny_pm | 12:00–13:30
IS 315 / 4.44 / 1.21
OOS 222 / -8.61 / 0.73 | 13:30–15:00
IS 304 / -5.18 / 0.77
OOS 215 / -3.40 / 0.87 | 15:00–16:30
IS 304 / -5.48 / 0.76
OOS 212 / 1.01 / 1.04 | 16:30–18:00*
IS 95 / 7.46 / 1.44
OOS 76 / -15.87 / 0.43 |
### displacement_fvg
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 20 / 4.36 / 1.23
OOS 26 / 13.05 / 1.54 | 19:30–21:00*
IS 11 / -17.07 / 0.46
OOS 41 / -4.65 / 0.77 | 21:00–22:30*
IS 15 / -6.29 / 0.72
OOS 24 / -17.97 / 0.39 | 22:30–00:00*
IS 7 / -20.21 / 0.00
OOS 10 / -16.99 / 0.17 |
| london | 00:00–01:30*
IS 30 / 18.26 / 3.93
OOS 19 / -0.99 / 0.93 | 01:30–03:00*
IS 77 / -9.05 / 0.40
OOS 33 / -0.44 / 0.98 | 03:00–04:30*
IS 189 / -4.51 / 0.69
OOS 93 / 3.77 / 1.18 | 04:30–06:00*
IS 73 / 2.68 / 1.17
OOS 62 / -5.77 / 0.69 |
| ny_am | 06:00–07:30*
IS 103 / -3.85 / 0.77
OOS 67 / 8.86 / 1.54 | 07:30–09:00
IS 148 / -9.33 / 0.56
OOS 123 / 1.82 / 1.10 | 09:00–10:30
IS 336 / 2.64 / 1.08
OOS 260 / 4.00 / 1.09 | 10:30–12:00*
IS 116 / 15.13 / 1.50
OOS 81 / -18.64 / 0.64 |
| ny_pm | 12:00–13:30*
IS 47 / 1.96 / 1.07
OOS 17 / -24.92 / 0.32 | 13:30–15:00*
IS 32 / -16.60 / 0.58
OOS 19 / 0.52 / 1.01 | 15:00–16:30*
IS 51 / 2.83 / 1.09
OOS 26 / 42.63 / 2.81 | 16:30–18:00*
IS 2 / 187.76 / —
OOS 2 / -28.74 / 0.00 |
### madz_reversion
| セッション | A | M | D | X |
|---|---|---|---|---|
| asia | 18:00–19:30*
IS 65 / -25.56 / 0.57
OOS 64 / 17.41 / 1.28 | 19:30–21:00*
IS 38 / -25.19 / 0.53
OOS 36 / 9.63 / 1.15 | 21:00–22:30*
IS 40 / -10.27 / 0.73
OOS 48 / 7.75 / 1.14 | 22:30–00:00*
IS 68 / -11.10 / 0.65
OOS 48 / -2.83 / 0.94 |
| london | 00:00–01:30*
IS 85 / 1.94 / 1.06
OOS 51 / -13.79 / 0.72 | 01:30–03:00*
IS 64 / -4.35 / 0.87
OOS 40 / -2.38 / 0.95 | 03:00–04:30*
IS 78 / -10.79 / 0.75
OOS 61 / -11.56 / 0.82 | 04:30–06:00*
IS 75 / 10.37 / 1.29
OOS 54 / 11.20 / 1.21 |
| ny_am | 06:00–07:30*
IS 60 / -35.76 / 0.38
OOS 40 / -8.00 / 0.87 | 07:30–09:00*
IS 74 / 0.52 / 1.01
OOS 54 / 55.37 / 2.11 | 09:00–10:30*
IS 110 / -11.14 / 0.85
OOS 97 / 10.77 / 1.12 | 10:30–12:00*
IS 88 / 0.96 / 1.01
OOS 67 / 12.95 / 1.13 |
| ny_pm | 12:00–13:30*
IS 55 / -20.71 / 0.78
OOS 36 / -42.37 / 0.65 | 13:30–15:00*
IS 57 / -14.88 / 0.84
OOS 21 / -2.58 / 0.98 | 15:00–16:30*
IS 45 / -25.65 / 0.67
OOS 32 / -0.85 / 0.99 | 16:30–18:00*
IS 12 / -49.81 / 0.30
OOS 8 / 226.04 / 13.86 |
全指標、方向別の事後内訳、プラス月数、t値、最大DDは `results/summary/session_amdx_matrix.csv`。プラス月は決済月単位。t値は取引の独立性を仮定する参考値。方向別期待値は混合方向の約定結果を分けた記述値で、方向限定戦略の再実行結果ではない。
各窓のグラフ用に決済日別の実現損益を `results/summary/session_amdx_daily_pnl.json` に保存。この累積曲線は保有中の評価損益を含まず、CSVの最大DD（評価損益を含む）とは定義が異なる。