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
1,981件 / 40ページ 7 8 9 10 11 12 13
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CMTV | 2017-03-13 00:00:00 | 18.04 | 546 | 14.99 | 2017-08-21 00:00:00 | 17.71 | STAGE_EXIT | -1.78 | -175.54 | -0.11 | 23 | 80.70 |
| ALL | 2017-03-06 00:00:00 | 81.65 | 186 | 72.67 | 2017-09-04 00:00:00 | 87.13 | TRAILING_STOP | 6.70 | 1018.11 | 0.61 | 26 | 74.70 |
| BRK-B | 2017-03-06 00:00:00 | 175.79 | 93 | 157.82 | 2017-03-27 00:00:00 | 166.35 | STAGE_EXIT | -5.37 | -878.32 | -0.53 | 3 | 76.90 |
| ERIE | 2017-02-27 00:00:00 | 120.21 | 121 | 106.38 | 2017-05-08 00:00:00 | 115.18 | TRAILING_STOP | -4.18 | -608.72 | -0.36 | 10 | 76.50 |
| BG | 2017-02-20 00:00:00 | 77.58 | 145 | 66.07 | 2017-05-01 00:00:00 | 71.37 | TRAILING_STOP | -8.00 | -900.44 | -0.54 | 10 | 72.30 |
| MTLS | 2017-02-06 00:00:00 | 8.82 | 1139 | 7.39 | 2017-12-04 00:00:00 | 13.71 | TRAILING_STOP | 55.48 | 5572.25 | 3.42 | 43 | 82.00 |
| HLI | 2016-12-12 00:00:00 | 31.05 | 245 | 24.62 | 2017-08-21 00:00:00 | 36.14 | STAGE_EXIT | 16.38 | 1245.97 | 0.79 | 36 | 82.30 |
| MBI | 2016-12-05 00:00:00 | 10.63 | 562 | 7.84 | 2017-02-27 00:00:00 | 10.01 | TRAILING_STOP | -5.85 | -349.38 | -0.22 | 12 | 80.50 |
| FCBC | 2016-11-14 00:00:00 | 28.81 | 260 | 22.83 | 2017-03-06 00:00:00 | 26.55 | TRAILING_STOP | -7.82 | -585.80 | -0.38 | 16 | 76.90 |
| PRI | 2016-11-14 00:00:00 | 69.64 | 104 | 54.74 | 2017-05-08 00:00:00 | 77.50 | TRAILING_STOP | 11.29 | 818.01 | 0.53 | 25 | 79.00 |
| SLRC | 2016-11-14 00:00:00 | 21.43 | 805 | 19.50 | 2016-12-05 00:00:00 | 20.59 | STAGE_EXIT | -3.94 | -679.45 | -0.44 | 3 | 77.70 |
| BKR | 2016-10-31 00:00:00 | 62.12 | 108 | 47.73 | 2017-02-20 00:00:00 | 59.84 | TRAILING_STOP | -3.68 | -246.80 | -0.16 | 16 | 75.20 |
| CXT | 2016-10-31 00:00:00 | 23.68 | 549 | 20.84 | 2017-03-13 00:00:00 | 26.06 | STAGE_EXIT | 10.05 | 1306.92 | 0.84 | 19 | 74.00 |
| AREN | 2016-10-24 00:00:00 | 18.74 | 108 | 4.27 | 2017-05-08 00:00:00 | 22.65 | TRAILING_STOP | 20.87 | 422.26 | 0.27 | 28 | 80.00 |
| DPZ | 2016-10-24 00:00:00 | 167.50 | 63 | 142.75 | 2017-07-24 00:00:00 | 188.46 | TRAILING_STOP | 12.51 | 1320.31 | 0.85 | 39 | 70.30 |
| MTR | 2016-10-24 00:00:00 | 12.53 | 467 | 9.17 | 2016-10-31 00:00:00 | 9.15 | TRAILING_STOP | -26.95 | -1576.31 | -1.01 | 1 | 78.20 |
| TGS | 2016-10-24 00:00:00 | 7.92 | 1100 | 6.49 | 2016-11-14 00:00:00 | 6.54 | TRAILING_STOP | -17.39 | -1514.15 | -0.97 | 3 | 71.00 |
| ASUR | 2016-10-10 00:00:00 | 6.99 | 884 | 5.20 | 2017-08-07 00:00:00 | 12.20 | TRAILING_STOP | 74.37 | 4597.86 | 2.90 | 43 | 71.00 |
| AUPH | 2016-10-10 00:00:00 | 4.91 | 758 | 2.82 | 2016-10-31 00:00:00 | 2.88 | TRAILING_STOP | -41.32 | -1537.89 | -0.97 | 3 | 77.80 |
| AAOI | 2016-09-19 00:00:00 | 21.85 | 193 | 13.69 | 2017-08-28 00:00:00 | 58.95 | TRAILING_STOP | 169.74 | 7159.42 | 4.55 | 49 | 82.50 |
| CAC | 2016-09-12 00:00:00 | 31.99 | 446 | 28.47 | 2016-10-10 00:00:00 | 29.98 | STAGE_EXIT | -6.28 | -896.73 | -0.57 | 4 | 77.60 |
| AUDC | 2016-09-05 00:00:00 | 5.71 | 1144 | 4.31 | 2016-10-24 00:00:00 | 5.32 | STAGE_EXIT | -6.86 | -448.52 | -0.28 | 7 | 82.40 |
| EML | 2016-09-05 00:00:00 | 19.53 | 569 | 16.72 | 2017-02-06 00:00:00 | 19.50 | TRAILING_STOP | -0.16 | -17.96 | -0.01 | 22 | 79.80 |
| KMDA | 2016-09-05 00:00:00 | 4.81 | 1726 | 3.88 | 2017-06-19 00:00:00 | 6.61 | TRAILING_STOP | 37.35 | 3100.87 | 1.94 | 41 | 83.00 |
| MOMO | 2016-08-29 00:00:00 | 21.70 | 185 | 13.06 | 2016-12-12 00:00:00 | 19.36 | TRAILING_STOP | -10.78 | -432.83 | -0.27 | 15 | 79.10 |
| BCO | 2016-08-15 00:00:00 | 37.42 | 237 | 30.65 | 2018-02-05 00:00:00 | 79.43 | TRAILING_STOP | 112.24 | 9955.46 | 6.20 | 77 | 73.70 |
| CPS | 2016-08-15 00:00:00 | 97.31 | 84 | 78.31 | 2016-10-17 00:00:00 | 96.19 | TRAILING_STOP | -1.15 | -94.19 | -0.06 | 9 | 75.60 |
| IVR | 2016-08-08 00:00:00 | 155.71 | 67 | 131.74 | 2016-11-14 00:00:00 | 144.05 | TRAILING_STOP | -7.49 | -781.10 | -0.49 | 14 | 76.00 |
| TTMI | 2016-08-01 00:00:00 | 10.03 | 519 | 6.90 | 2017-07-31 00:00:00 | 16.72 | TRAILING_STOP | 66.72 | 3473.29 | 2.13 | 52 | 75.40 |
| ED | 2016-06-20 00:00:00 | 78.11 | 206 | 70.56 | 2016-08-15 00:00:00 | 74.55 | TRAILING_STOP | -4.56 | -733.29 | -0.47 | 8 | 79.00 |
| APEI | 2016-05-30 00:00:00 | 28.48 | 188 | 20.34 | 2016-08-08 00:00:00 | 25.27 | TRAILING_STOP | -11.25 | -602.49 | -0.39 | 10 | 73.30 |
| NERV | 2016-05-30 00:00:00 | 94.59 | 31 | 45.34 | 2016-10-24 00:00:00 | 82.64 | TRAILING_STOP | -12.64 | -370.55 | -0.24 | 21 | 80.00 |
| BWFG | 2016-05-16 00:00:00 | 21.95 | 691 | 19.67 | 2016-05-30 00:00:00 | 21.16 | STAGE_EXIT | -3.63 | -550.19 | -0.35 | 2 | 74.50 |
| TMQ | 2016-05-09 00:00:00 | 0.77 | 3866 | 0.36 | 2016-09-19 00:00:00 | 0.53 | TRAILING_STOP | -31.79 | -948.12 | -0.59 | 19 | 79.80 |
| UEIC | 2016-03-14 00:00:00 | 65.33 | 92 | 48.62 | 2016-10-10 00:00:00 | 69.39 | TRAILING_STOP | 6.21 | 373.23 | 0.24 | 30 | 72.60 |
| BKH | 2016-02-22 00:00:00 | 56.84 | 120 | 44.43 | 2016-08-15 00:00:00 | 58.50 | TRAILING_STOP | 2.91 | 198.41 | 0.13 | 25 | 70.30 |
| ELMD | 2016-02-22 00:00:00 | 3.95 | 744 | 1.94 | 2016-09-05 00:00:00 | 4.30 | TRAILING_STOP | 8.92 | 262.03 | 0.18 | 28 | 77.60 |
| FNV | 2016-02-22 00:00:00 | 56.81 | 147 | 46.67 | 2016-08-29 00:00:00 | 70.77 | TRAILING_STOP | 24.57 | 2051.89 | 1.38 | 27 | 71.80 |
| CPB | 2016-02-15 00:00:00 | 58.81 | 191 | 51.10 | 2016-08-01 00:00:00 | 61.07 | TRAILING_STOP | 3.85 | 432.94 | 0.29 | 24 | 73.10 |
| ED | 2016-02-08 00:00:00 | 72.28 | 183 | 64.43 | 2016-02-22 00:00:00 | 70.21 | STAGE_EXIT | -2.87 | -379.72 | -0.26 | 2 | 73.60 |
| NNN | 2016-02-08 00:00:00 | 43.72 | 243 | 37.80 | 2016-09-05 00:00:00 | 48.49 | STAGE_EXIT | 10.92 | 1160.46 | 0.81 | 30 | 75.80 |
| SR | 2016-02-08 00:00:00 | 64.06 | 183 | 56.20 | 2016-05-09 00:00:00 | 64.77 | STAGE_EXIT | 1.11 | 130.36 | 0.09 | 13 | 75.80 |
| WEC | 2016-02-08 00:00:00 | 57.27 | 212 | 50.48 | 2016-03-14 00:00:00 | 58.38 | STAGE_EXIT | 1.94 | 235.04 | 0.16 | 5 | 75.40 |
| YORW | 2016-02-08 00:00:00 | 26.80 | 460 | 23.67 | 2016-05-30 00:00:00 | 26.74 | TRAILING_STOP | -0.23 | -28.10 | -0.02 | 16 | 74.30 |
| O | 2016-02-01 00:00:00 | 53.94 | 210 | 47.01 | 2016-09-05 00:00:00 | 62.14 | STAGE_EXIT | 15.20 | 1721.58 | 1.18 | 31 | 75.20 |
| WCN | 2016-02-01 00:00:00 | 39.77 | 276 | 34.50 | 2016-10-10 00:00:00 | 49.37 | STAGE_EXIT | 24.16 | 2651.90 | 1.82 | 36 | 71.90 |
| DMAC | 2016-01-25 00:00:00 | 2.19 | 3035 | 1.71 | 2016-11-14 00:00:00 | 3.05 | TRAILING_STOP | 39.19 | 2602.60 | 1.78 | 42 | 73.20 |
| IESC | 2015-12-28 00:00:00 | 10.76 | 471 | 7.47 | 2016-06-20 00:00:00 | 12.05 | TRAILING_STOP | 11.95 | 605.88 | 0.39 | 25 | 74.30 |
| ELS | 2015-12-21 00:00:00 | 32.71 | 416 | 28.92 | 2016-09-12 00:00:00 | 38.05 | STAGE_EXIT | 16.35 | 2224.96 | 1.41 | 38 | 74.70 |
| FMBH | 2015-12-21 00:00:00 | 26.45 | 356 | 22.03 | 2016-02-22 00:00:00 | 23.37 | TRAILING_STOP | -11.66 | -1098.13 | -0.70 | 9 | 76.30 |