バックテスト
正式Run 73311e72-0d63-4524-b388-ddaf3545c633
正式値を表示。Controlled Replayは研究比較専用。
Portfolio仕様: 最大15銘柄、1 Trade Risk 0.75%。条件を満たす機会がなければCashを保持します。
初期資金
$10,000.00
最終資産
$569,241.41
総リターン
5592.41%
CAGR
6.46%
Sharpe
0.537
Sortino
0.684
最大ドローダウン
-48.31%
最長ドローダウン期間
415週
MAR
0.134
プロフィットファクター
1.560
勝率
38.62%
Trade数
1,981
平均Trade Return
8.34%
Capital Exposure
42.27%
Risk Exposure
7.44%
Equity Curve / Benchmark
IS / OOS / Holdout
| segment | start_date | end_date | cagr | sharpe_ratio | max_drawdown | max_drawdown_duration_weeks | profit_factor | trade_count | win_rate |
|---|---|---|---|---|---|---|---|---|---|
| HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 7.61 | 0.43 | -48.31 | 289.00 | 1.50 | 635 | 33.70 |
| IS | 1962-01-01 00:00:00 | 2000-10-02 00:00:00 | 6.25 | 0.78 | -27.25 | 415.00 | 2.43 | 793 | 41.99 |
| OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 5.86 | 0.54 | -29.68 | 304.00 | 1.48 | 553 | 39.42 |
Benchmark成績
| benchmark | segment | start_date | end_date | total_return | cagr | sharpe_ratio | max_drawdown | max_drawdown_duration_weeks |
|---|---|---|---|---|---|---|---|---|
| NASDAQ | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 618.10 | 16.49 | 0.89 | -35.72 | 119.00 |
| NASDAQ | IS | 1971-02-01 00:00:00 | 2000-10-02 00:00:00 | 3261.01 | 12.58 | 0.75 | -59.44 | 295.00 |
| NASDAQ | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 10.35 | 0.77 | 0.15 | -67.27 | 656.00 |
| SP500 | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 361.24 | 12.56 | 0.81 | -31.81 | 104.00 |
| SP500 | IS | 1962-01-01 00:00:00 | 2000-10-02 00:00:00 | 1922.67 | 8.07 | 0.60 | -47.99 | 393.00 |
| SP500 | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 20.45 | 1.45 | 0.17 | -56.24 | 319.00 |
| SPY | HOLDOUT | 2013-09-09 00:00:00 | 2026-08-10 00:00:00 | 358.48 | 12.51 | 0.81 | -32.23 | 104.00 |
| SPY | IS | 1993-01-25 00:00:00 | 2000-10-02 00:00:00 | 221.05 | 16.39 | 1.07 | -17.55 | 53.00 |
| SPY | OOS | 2000-10-09 00:00:00 | 2013-09-02 00:00:00 | 20.70 | 1.47 | 0.17 | -55.91 | 323.00 |
取引履歴
| Ticker | エントリー日 | エントリー価格 | 株数 | 初期ストップ | 決済日 | 決済価格 | 決済理由 | リターン % | 損益 | R Multiple | 保有週数 | Total Score |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ELV | 2026-06-08 00:00:00 | 412.37 | 57 | 342.27 | 2026-07-20 00:00:00 | 376.92 | STAGE_EXIT | -8.60 | -2020.56 | -0.51 | 6 | 70.30 |
| GRDX | 2026-06-08 00:00:00 | 6.50 | 1221 | 3.18 | 2026-07-20 00:00:00 | 3.53 | TRAILING_STOP | -45.72 | -3630.43 | -0.89 | 6 | 75.30 |
| CLFD | 2026-06-01 00:00:00 | 46.83 | 267 | 31.49 | 2026-07-06 00:00:00 | 32.83 | TRAILING_STOP | -29.89 | -3737.63 | -0.91 | 5 | 82.60 |
| AESI | 2026-04-27 00:00:00 | 16.45 | 758 | 11.13 | 2026-07-13 00:00:00 | 13.56 | TRAILING_STOP | -17.60 | -2194.37 | -0.54 | 11 | 82.00 |
| GLNG | 2026-03-30 00:00:00 | 55.52 | 278 | 40.85 | 2026-07-27 00:00:00 | 47.97 | TRAILING_STOP | -13.59 | -2098.05 | -0.51 | 17 | 78.10 |
| CF | 2026-03-16 00:00:00 | 124.18 | 112 | 88.00 | 2026-06-08 00:00:00 | 108.94 | TRAILING_STOP | -12.27 | -1706.29 | -0.42 | 12 | 74.70 |
| IPI | 2026-03-16 00:00:00 | 43.47 | 338 | 31.40 | 2026-06-08 00:00:00 | 34.71 | TRAILING_STOP | -20.16 | -2961.24 | -0.73 | 12 | 75.30 |
| PED | 2026-03-16 00:00:00 | 17.03 | 774 | 11.76 | 2026-05-25 00:00:00 | 13.08 | TRAILING_STOP | -23.23 | -3062.50 | -0.75 | 10 | 80.30 |
| SHEL | 2026-03-16 00:00:00 | 90.15 | 265 | 74.75 | 2026-05-25 00:00:00 | 83.95 | STAGE_EXIT | -6.88 | -1642.52 | -0.40 | 10 | 80.90 |
| AM | 2026-03-02 00:00:00 | 22.71 | 988 | 18.46 | 2026-04-27 00:00:00 | 21.66 | STAGE_EXIT | -4.62 | -1036.13 | -0.25 | 8 | 78.30 |
| CURB | 2026-03-02 00:00:00 | 27.58 | 1039 | 23.54 | 2026-03-30 00:00:00 | 26.14 | STAGE_EXIT | -5.21 | -1493.48 | -0.36 | 4 | 78.30 |
| LXU | 2026-03-02 00:00:00 | 11.62 | 1614 | 9.02 | 2026-05-18 00:00:00 | 13.00 | STAGE_EXIT | 11.83 | 2219.74 | 0.53 | 11 | 78.10 |
| FTH | 2026-02-23 00:00:00 | 32.95 | 185 | 10.08 | 2026-05-04 00:00:00 | 22.82 | TRAILING_STOP | -30.74 | -1873.38 | -0.44 | 10 | 84.80 |
| MSLE | 2026-01-19 00:00:00 | 8.33 | 1716 | 5.90 | 2026-03-16 00:00:00 | 7.44 | TRAILING_STOP | -10.66 | -1524.27 | -0.37 | 8 | 81.50 |
| ZNTL | 2026-01-12 00:00:00 | 3.86 | 1814 | 1.54 | 2026-03-02 00:00:00 | 2.15 | TRAILING_STOP | -44.14 | -3089.00 | -0.73 | 7 | 88.50 |
| GLSI | 2025-12-29 00:00:00 | 21.23 | 396 | 10.66 | 2026-03-30 00:00:00 | 21.49 | TRAILING_STOP | 1.21 | 101.52 | 0.02 | 13 | 86.30 |
| DG | 2025-12-08 00:00:00 | 133.35 | 157 | 106.72 | 2026-03-16 00:00:00 | 122.62 | TRAILING_STOP | -8.04 | -1684.13 | -0.40 | 14 | 81.00 |
| APPN | 2025-11-17 00:00:00 | 43.22 | 321 | 30.81 | 2025-12-29 00:00:00 | 33.99 | STAGE_EXIT | -21.34 | -2961.03 | -0.74 | 6 | 84.30 |
| FLS | 2025-11-03 00:00:00 | 68.94 | 228 | 51.43 | 2026-03-30 00:00:00 | 68.90 | TRAILING_STOP | -0.06 | -9.03 | -0.00 | 21 | 83.00 |
| NOK | 2025-11-03 00:00:00 | 7.16 | 1815 | 4.97 | 2026-07-13 00:00:00 | 9.83 | TRAILING_STOP | 37.22 | 4840.30 | 1.21 | 36 | 84.10 |
| VTMX | 2025-11-03 00:00:00 | 30.51 | 1246 | 27.31 | 2025-12-08 00:00:00 | 30.72 | STAGE_EXIT | 0.68 | 258.59 | 0.06 | 5 | 81.40 |
| NVX | 2025-10-13 00:00:00 | 3.28 | 1933 | 1.29 | 2025-11-03 00:00:00 | 1.35 | TRAILING_STOP | -58.65 | -3714.73 | -0.97 | 3 | 84.50 |
| BKKT | 2025-10-06 00:00:00 | 41.17 | 136 | 12.90 | 2025-11-17 00:00:00 | 16.47 | TRAILING_STOP | -60.01 | -3359.98 | -0.87 | 6 | 82.90 |
| TORO | 2025-10-06 00:00:00 | 4.25 | 2373 | 2.63 | 2026-01-19 00:00:00 | 3.70 | TRAILING_STOP | -12.85 | -1295.42 | -0.34 | 15 | 83.20 |
| FGI | 2025-09-22 00:00:00 | 7.58 | 982 | 3.66 | 2026-02-23 00:00:00 | 5.58 | TRAILING_STOP | -26.34 | -1959.48 | -0.51 | 22 | 80.00 |
| TURB | 2025-09-22 00:00:00 | 8.13 | 692 | 2.58 | 2025-11-03 00:00:00 | 2.92 | TRAILING_STOP | -64.01 | -3599.76 | -0.94 | 6 | 78.30 |
| NUVB | 2025-09-08 00:00:00 | 3.83 | 2488 | 2.24 | 2026-03-02 00:00:00 | 5.36 | TRAILING_STOP | 39.97 | 3806.59 | 0.96 | 25 | 76.10 |
| ECHO | 2025-09-01 00:00:00 | 61.06 | 111 | 26.55 | 2026-06-01 00:00:00 | 110.48 | STAGE_EXIT | 80.93 | 5485.30 | 1.43 | 39 | 79.30 |
| RIGL | 2025-08-11 00:00:00 | 32.69 | 314 | 20.11 | 2026-01-12 00:00:00 | 39.32 | TRAILING_STOP | 20.31 | 2084.32 | 0.53 | 22 | 77.00 |
| CELC | 2025-08-04 00:00:00 | 40.08 | 135 | 12.30 | 2026-06-01 00:00:00 | 109.97 | TRAILING_STOP | 174.38 | 9435.58 | 2.52 | 43 | 78.70 |
| ABVX | 2025-07-28 00:00:00 | 65.82 | 70 | 8.84 | 2026-03-02 00:00:00 | 106.67 | TRAILING_STOP | 62.06 | 2859.34 | 0.72 | 31 | 80.00 |
| INBX | 2025-07-21 00:00:00 | 24.55 | 380 | 14.08 | 2026-03-02 00:00:00 | 68.98 | TRAILING_STOP | 181.01 | 16885.45 | 4.25 | 32 | 77.90 |
| LITS | 2025-07-21 00:00:00 | 6.55 | 984 | 2.51 | 2025-09-08 00:00:00 | 3.05 | TRAILING_STOP | -53.42 | -3444.56 | -0.87 | 7 | 78.10 |
| RMCO | 2025-07-07 00:00:00 | 1.58 | 8934 | 1.12 | 2026-03-16 00:00:00 | 3.50 | TRAILING_STOP | 120.79 | 17083.91 | 4.10 | 36 | 79.10 |
| ZKIN | 2025-05-12 00:00:00 | 3.38 | 1671 | 1.16 | 2025-08-11 00:00:00 | 1.89 | TRAILING_STOP | -44.00 | -2482.91 | -0.67 | 13 | 79.00 |
| BULL | 2025-04-21 00:00:00 | 24.28 | 273 | 12.08 | 2025-05-12 00:00:00 | 12.57 | TRAILING_STOP | -48.22 | -3195.99 | -0.96 | 3 | 80.00 |
| DFDV | 2025-04-14 00:00:00 | 7.37 | 513 | 0.91 | 2025-09-22 00:00:00 | 14.48 | TRAILING_STOP | 96.49 | 3648.39 | 1.10 | 23 | 80.00 |
| RGLD | 2025-04-14 00:00:00 | 178.23 | 102 | 145.79 | 2025-07-07 00:00:00 | 163.05 | TRAILING_STOP | -8.51 | -1547.70 | -0.47 | 12 | 72.50 |
| DERM | 2025-04-07 00:00:00 | 7.06 | 1730 | 5.26 | 2025-10-06 00:00:00 | 6.91 | TRAILING_STOP | -2.16 | -264.54 | -0.08 | 26 | 72.70 |
| AEVA | 2025-03-31 00:00:00 | 6.23 | 1401 | 4.01 | 2025-08-04 00:00:00 | 12.72 | TRAILING_STOP | 104.09 | 9088.55 | 2.91 | 18 | 78.40 |
| GRPN | 2025-03-31 00:00:00 | 18.36 | 450 | 11.43 | 2025-09-01 00:00:00 | 23.99 | TRAILING_STOP | 30.70 | 2535.96 | 0.81 | 22 | 72.80 |
| YALA | 2025-03-31 00:00:00 | 5.27 | 3068 | 4.25 | 2025-10-06 00:00:00 | 6.93 | TRAILING_STOP | 31.48 | 5089.92 | 1.63 | 27 | 76.60 |
| RGC | 2025-03-24 00:00:00 | 1.82 | 1940 | 0.19 | 2025-11-03 00:00:00 | 14.16 | TRAILING_STOP | 678.24 | 23939.76 | 7.59 | 32 | 79.20 |
| DGICA | 2025-03-10 00:00:00 | 17.96 | 1164 | 15.29 | 2025-07-21 00:00:00 | 17.65 | TRAILING_STOP | -1.68 | -350.88 | -0.11 | 19 | 82.40 |
| LYG | 2025-03-10 00:00:00 | 3.68 | 4458 | 2.98 | 2026-03-16 00:00:00 | 4.98 | TRAILING_STOP | 35.45 | 5811.44 | 1.88 | 53 | 80.40 |
| BBVA | 2025-03-03 00:00:00 | 13.65 | 981 | 10.47 | 2026-03-02 00:00:00 | 21.11 | TRAILING_STOP | 54.68 | 7321.03 | 2.35 | 52 | 76.90 |
| DRVN | 2025-03-03 00:00:00 | 17.57 | 1396 | 15.33 | 2025-03-31 00:00:00 | 15.70 | TRAILING_STOP | -10.62 | -2602.95 | -0.83 | 4 | 82.30 |
| ADEA | 2025-02-24 00:00:00 | 17.26 | 675 | 12.56 | 2025-03-31 00:00:00 | 12.97 | TRAILING_STOP | -24.90 | -2901.42 | -0.91 | 5 | 75.60 |
| EBMT | 2025-02-24 00:00:00 | 17.90 | 1433 | 15.68 | 2025-03-31 00:00:00 | 16.14 | TRAILING_STOP | -9.80 | -2512.55 | -0.79 | 5 | 75.40 |
| SABR | 2025-02-24 00:00:00 | 4.51 | 3051 | 3.47 | 2025-03-10 00:00:00 | 3.53 | TRAILING_STOP | -21.80 | -2999.60 | -0.94 | 2 | 75.40 |