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 8 9 10 11 12 13 14
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CNTY | 2015-12-14 00:00:00 | 7.34 | 1562 | 6.35 | 2016-01-11 00:00:00 | 6.48 | TRAILING_STOP | -11.74 | -1346.90 | -0.87 | 4 | 73.30 |
| GENC | 2015-12-14 00:00:00 | 8.73 | 706 | 6.53 | 2017-03-06 00:00:00 | 13.54 | TRAILING_STOP | 55.08 | 3395.34 | 2.18 | 64 | 75.50 |
| CYTK | 2015-11-09 00:00:00 | 11.17 | 364 | 6.85 | 2016-01-18 00:00:00 | 8.26 | TRAILING_STOP | -26.04 | -1058.80 | -0.67 | 10 | 75.80 |
| LDOS | 2015-11-09 00:00:00 | 55.09 | 129 | 42.89 | 2016-01-25 00:00:00 | 47.81 | TRAILING_STOP | -13.22 | -939.23 | -0.60 | 11 | 75.70 |
| MATX | 2015-11-09 00:00:00 | 53.06 | 135 | 41.41 | 2015-12-14 00:00:00 | 42.61 | TRAILING_STOP | -19.70 | -1410.77 | -0.90 | 5 | 74.40 |
| ARTNA | 2015-10-19 00:00:00 | 26.55 | 343 | 22.00 | 2015-11-09 00:00:00 | 24.62 | STAGE_EXIT | -7.28 | -662.79 | -0.42 | 3 | 75.70 |
| CBZ | 2015-10-19 00:00:00 | 11.11 | 1039 | 9.61 | 2015-11-09 00:00:00 | 10.21 | STAGE_EXIT | -8.12 | -937.84 | -0.60 | 3 | 71.80 |
| FNLC | 2015-10-19 00:00:00 | 20.29 | 718 | 18.11 | 2016-01-04 00:00:00 | 19.59 | TRAILING_STOP | -3.46 | -504.55 | -0.32 | 11 | 71.00 |
| UFPI | 2015-10-19 00:00:00 | 23.67 | 353 | 19.25 | 2016-01-04 00:00:00 | 21.37 | TRAILING_STOP | -9.71 | -811.76 | -0.52 | 11 | 73.80 |
| FLO | 2015-10-12 00:00:00 | 26.12 | 444 | 22.63 | 2015-11-09 00:00:00 | 23.12 | TRAILING_STOP | -11.49 | -1332.54 | -0.86 | 4 | 72.70 |
| GOLD | 2015-10-12 00:00:00 | 6.51 | 1338 | 5.35 | 2016-05-16 00:00:00 | 9.05 | TRAILING_STOP | 39.06 | 3401.47 | 2.20 | 31 | 79.00 |
| SIGI | 2015-10-12 00:00:00 | 33.78 | 341 | 29.24 | 2015-12-14 00:00:00 | 32.97 | TRAILING_STOP | -2.40 | -276.03 | -0.18 | 9 | 72.60 |
| TAYD | 2015-10-12 00:00:00 | 15.07 | 677 | 12.78 | 2015-12-14 00:00:00 | 14.62 | TRAILING_STOP | -3.01 | -306.66 | -0.20 | 9 | 71.90 |
| BYFC | 2015-09-21 00:00:00 | 11.70 | 2714 | 11.13 | 2015-09-28 00:00:00 | 10.30 | TRAILING_STOP | -12.00 | -3810.46 | -2.46 | 1 | 77.00 |
| FOCL | 2015-09-21 00:00:00 | 4.93 | 1092 | 3.51 | 2015-09-28 00:00:00 | 3.51 | TRAILING_STOP | -28.86 | -1553.76 | -1.00 | 1 | 74.50 |
| HBCP | 2015-09-21 00:00:00 | 26.03 | 527 | 23.10 | 2015-12-28 00:00:00 | 25.93 | STAGE_EXIT | -0.40 | -54.77 | -0.04 | 14 | 75.60 |
| OPHC | 2015-09-21 00:00:00 | 14.43 | 368 | 10.24 | 2015-09-28 00:00:00 | 9.88 | INITIAL_STOP | -31.52 | -1673.88 | -1.08 | 1 | 78.80 |
| EDUC | 2015-09-07 00:00:00 | 3.26 | 1587 | 2.29 | 2016-02-08 00:00:00 | 4.62 | TRAILING_STOP | 41.79 | 2159.64 | 1.41 | 22 | 74.60 |
| ARL | 2015-08-31 00:00:00 | 6.78 | 984 | 5.24 | 2015-10-19 00:00:00 | 6.38 | TRAILING_STOP | -6.02 | -401.88 | -0.26 | 7 | 73.40 |
| TAYD | 2015-08-31 00:00:00 | 14.03 | 950 | 12.43 | 2015-09-21 00:00:00 | 12.85 | STAGE_EXIT | -8.37 | -1115.07 | -0.73 | 3 | 73.10 |
| CENT | 2015-08-24 00:00:00 | 9.22 | 946 | 7.65 | 2015-12-14 00:00:00 | 10.53 | TRAILING_STOP | 14.20 | 1238.51 | 0.83 | 16 | 71.90 |
| DHI | 2015-08-24 00:00:00 | 29.50 | 654 | 27.23 | 2015-09-21 00:00:00 | 30.58 | STAGE_EXIT | 3.66 | 706.21 | 0.48 | 4 | 70.80 |
| HRL | 2015-08-24 00:00:00 | 29.81 | 1031 | 28.37 | 2015-09-07 00:00:00 | 30.80 | STAGE_EXIT | 3.32 | 1019.43 | 0.69 | 2 | 72.60 |
| TOWN | 2015-08-24 00:00:00 | 17.61 | 1072 | 16.22 | 2016-01-04 00:00:00 | 19.12 | TRAILING_STOP | 8.63 | 1628.62 | 1.10 | 19 | 71.80 |
| HIG | 2015-08-17 00:00:00 | 49.02 | 243 | 42.47 | 2015-08-24 00:00:00 | 42.38 | INITIAL_STOP | -13.53 | -1611.95 | -1.01 | 1 | 72.40 |
| TFSL | 2015-08-17 00:00:00 | 17.57 | 662 | 15.16 | 2016-01-11 00:00:00 | 17.43 | TRAILING_STOP | -0.75 | -87.46 | -0.05 | 21 | 71.80 |
| MDLZ | 2015-08-10 00:00:00 | 45.77 | 224 | 38.63 | 2015-08-24 00:00:00 | 39.07 | TRAILING_STOP | -14.64 | -1500.52 | -0.94 | 2 | 77.90 |
| PEGA | 2015-08-03 00:00:00 | 13.60 | 587 | 10.87 | 2016-01-04 00:00:00 | 12.90 | TRAILING_STOP | -5.11 | -408.14 | -0.25 | 22 | 71.70 |
| RDY | 2015-08-03 00:00:00 | 12.97 | 819 | 11.01 | 2015-09-21 00:00:00 | 11.93 | STAGE_EXIT | -7.97 | -846.68 | -0.53 | 7 | 72.70 |
| KALU | 2015-07-27 00:00:00 | 87.03 | 225 | 79.96 | 2015-08-24 00:00:00 | 79.80 | INITIAL_STOP | -8.31 | -1627.97 | -1.02 | 4 | 72.50 |
| WIX | 2015-07-27 00:00:00 | 27.11 | 278 | 21.38 | 2015-08-03 00:00:00 | 21.34 | INITIAL_STOP | -21.30 | -1605.73 | -1.01 | 1 | 73.90 |
| HIHO | 2015-07-13 00:00:00 | 4.54 | 1325 | 3.30 | 2015-07-27 00:00:00 | 3.35 | TRAILING_STOP | -26.17 | -1573.64 | -0.96 | 2 | 73.40 |
| CAG | 2015-07-06 00:00:00 | 34.54 | 290 | 28.90 | 2015-09-21 00:00:00 | 30.91 | TRAILING_STOP | -10.51 | -1052.70 | -0.64 | 11 | 73.10 |
| DMRC | 2015-06-29 00:00:00 | 42.59 | 105 | 26.96 | 2015-09-28 00:00:00 | 32.30 | TRAILING_STOP | -24.15 | -1079.65 | -0.66 | 13 | 77.00 |
| GLPI | 2015-06-22 00:00:00 | 38.36 | 573 | 35.43 | 2015-07-06 00:00:00 | 35.36 | INITIAL_STOP | -7.81 | -1716.41 | -1.02 | 2 | 76.70 |
| ATLC | 2015-06-15 00:00:00 | 3.91 | 1222 | 2.56 | 2015-09-28 00:00:00 | 3.48 | TRAILING_STOP | -11.06 | -528.23 | -0.32 | 15 | 78.20 |
| NVMI | 2015-06-08 00:00:00 | 13.02 | 885 | 11.14 | 2015-08-10 00:00:00 | 12.13 | STAGE_EXIT | -6.84 | -787.90 | -0.47 | 9 | 70.70 |
| FIEE | 2015-05-25 00:00:00 | 11.52 | 237 | 4.64 | 2016-01-18 00:00:00 | 39.22 | TRAILING_STOP | 240.40 | 6565.11 | 4.02 | 34 | 77.40 |
| AVY | 2015-05-11 00:00:00 | 58.32 | 228 | 51.23 | 2015-08-24 00:00:00 | 55.00 | TRAILING_STOP | -5.69 | -756.19 | -0.47 | 15 | 72.80 |
| BCO | 2015-05-11 00:00:00 | 32.83 | 203 | 24.89 | 2015-08-17 00:00:00 | 28.59 | TRAILING_STOP | -12.90 | -859.79 | -0.53 | 14 | 76.00 |
| BLDR | 2015-04-20 00:00:00 | 13.10 | 245 | 6.37 | 2015-09-28 00:00:00 | 12.81 | TRAILING_STOP | -2.19 | -70.15 | -0.04 | 23 | 76.90 |
| HLT | 2015-04-13 00:00:00 | 62.77 | 187 | 54.01 | 2015-06-08 00:00:00 | 58.34 | TRAILING_STOP | -7.06 | -829.30 | -0.51 | 8 | 77.70 |
| CWST | 2015-04-06 00:00:00 | 6.04 | 902 | 4.21 | 2015-09-28 00:00:00 | 5.70 | TRAILING_STOP | -5.59 | -304.47 | -0.18 | 25 | 74.60 |
| GILT | 2015-03-30 00:00:00 | 6.01 | 1491 | 4.89 | 2015-06-08 00:00:00 | 5.30 | TRAILING_STOP | -11.79 | -1056.62 | -0.63 | 10 | 71.90 |
| AMRN | 2015-03-16 00:00:00 | 65.73 | 41 | 25.47 | 2015-08-17 00:00:00 | 41.28 | TRAILING_STOP | -37.19 | -1002.39 | -0.61 | 22 | 80.10 |
| HASI | 2015-03-09 00:00:00 | 17.70 | 475 | 14.29 | 2015-07-27 00:00:00 | 19.09 | TRAILING_STOP | 7.86 | 660.41 | 0.41 | 20 | 77.10 |
| COLM | 2015-02-23 00:00:00 | 56.22 | 106 | 40.99 | 2015-08-24 00:00:00 | 58.05 | TRAILING_STOP | 3.26 | 194.13 | 0.12 | 26 | 74.00 |
| SBFG | 2015-02-23 00:00:00 | 10.00 | 1242 | 8.70 | 2015-06-29 00:00:00 | 10.19 | STAGE_EXIT | 1.88 | 233.73 | 0.14 | 18 | 73.10 |
| AMC | 2015-02-09 00:00:00 | 298.10 | 31 | 247.46 | 2015-05-11 00:00:00 | 289.33 | TRAILING_STOP | -2.94 | -271.82 | -0.17 | 13 | 78.60 |
| CSWC | 2015-02-02 00:00:00 | 16.02 | 722 | 13.81 | 2015-07-20 00:00:00 | 17.80 | TRAILING_STOP | 11.14 | 1288.57 | 0.81 | 24 | 72.70 |