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 10 11 12 13 14 15 16
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KRNY | 2014-03-10 00:00:00 | 10.50 | 662 | 7.87 | 2014-09-08 00:00:00 | 10.54 | TRAILING_STOP | 0.40 | 28.14 | 0.02 | 26 | 83.20 |
| SIEB | 2014-02-03 00:00:00 | 3.10 | 1133 | 1.65 | 2014-07-07 00:00:00 | 2.65 | TRAILING_STOP | -14.37 | -504.01 | -0.31 | 22 | 82.60 |
| BCHT | 2014-01-27 00:00:00 | 10.02 | 242 | 3.27 | 2014-05-12 00:00:00 | 6.01 | TRAILING_STOP | -40.04 | -970.97 | -0.59 | 15 | 82.10 |
| CTSO | 2014-01-27 00:00:00 | 7.46 | 361 | 2.95 | 2014-08-04 00:00:00 | 5.80 | TRAILING_STOP | -22.30 | -601.03 | -0.37 | 27 | 87.60 |
| TVTX | 2014-01-20 00:00:00 | 13.80 | 239 | 6.75 | 2014-05-05 00:00:00 | 11.49 | TRAILING_STOP | -16.75 | -552.42 | -0.33 | 15 | 85.50 |
| PKOH | 2013-12-16 00:00:00 | 47.71 | 156 | 37.27 | 2014-08-18 00:00:00 | 58.14 | STAGE_EXIT | 21.88 | 1628.37 | 1.00 | 35 | 82.90 |
| ALSN | 2013-12-09 00:00:00 | 28.05 | 428 | 24.20 | 2013-12-16 00:00:00 | 27.45 | STAGE_EXIT | -2.14 | -257.22 | -0.16 | 1 | 80.70 |
| ELTK | 2013-12-02 00:00:00 | 13.58 | 230 | 6.41 | 2014-04-07 00:00:00 | 10.78 | TRAILING_STOP | -20.61 | -643.70 | -0.39 | 18 | 82.00 |
| WLFC | 2013-11-11 00:00:00 | 17.73 | 502 | 14.48 | 2014-05-05 00:00:00 | 19.46 | TRAILING_STOP | 9.80 | 872.28 | 0.54 | 25 | 80.60 |
| BELFB | 2013-11-04 00:00:00 | 21.40 | 363 | 16.94 | 2014-01-20 00:00:00 | 20.32 | TRAILING_STOP | -5.07 | -394.12 | -0.24 | 11 | 79.60 |
| SGC | 2013-11-04 00:00:00 | 7.51 | 1055 | 5.98 | 2014-01-27 00:00:00 | 7.04 | TRAILING_STOP | -6.25 | -495.37 | -0.31 | 12 | 84.30 |
| DRS | 2013-10-28 00:00:00 | 4.33 | 1043 | 2.75 | 2013-12-09 00:00:00 | 2.93 | TRAILING_STOP | -32.30 | -1458.05 | -0.89 | 6 | 81.10 |
| PRDO | 2013-10-28 00:00:00 | 5.96 | 542 | 2.93 | 2014-05-05 00:00:00 | 5.82 | TRAILING_STOP | -2.43 | -78.51 | -0.05 | 27 | 82.60 |
| BBVA | 2013-10-14 00:00:00 | 12.07 | 647 | 9.55 | 2014-04-21 00:00:00 | 12.21 | STAGE_EXIT | 1.09 | 85.04 | 0.05 | 27 | 72.60 |
| EVGN | 2013-10-07 00:00:00 | 152.30 | 43 | 114.43 | 2014-04-14 00:00:00 | 177.05 | TRAILING_STOP | 16.25 | 1064.09 | 0.65 | 27 | 85.00 |
| LXRX | 2013-10-07 00:00:00 | 19.92 | 427 | 16.08 | 2013-10-28 00:00:00 | 16.34 | TRAILING_STOP | -17.96 | -1527.72 | -0.93 | 3 | 86.00 |
| GERN | 2013-09-23 00:00:00 | 2.34 | 1545 | 1.27 | 2014-03-10 00:00:00 | 3.85 | TRAILING_STOP | 64.50 | 2331.23 | 1.41 | 24 | 81.60 |
| CCM | 2013-09-16 00:00:00 | 47.44 | 174 | 37.84 | 2014-05-05 00:00:00 | 59.85 | TRAILING_STOP | 26.15 | 2158.85 | 1.29 | 33 | 75.70 |
| ESEA | 2013-09-09 00:00:00 | 96.53 | 62 | 70.23 | 2013-11-11 00:00:00 | 77.22 | TRAILING_STOP | -20.00 | -1197.20 | -0.73 | 9 | 76.60 |
| SBLK | 2013-09-09 00:00:00 | 52.61 | 78 | 31.54 | 2014-05-05 00:00:00 | 56.78 | TRAILING_STOP | 7.93 | 325.42 | 0.20 | 34 | 77.00 |
| ARKR | 2013-09-02 00:00:00 | 22.21 | 1401 | 21.05 | 2013-09-09 00:00:00 | 22.16 | TRAILING_STOP | -0.26 | -82.29 | -0.05 | 1 | 76.20 |
| CTRN | 2013-08-26 00:00:00 | 16.84 | 514 | 13.63 | 2013-11-04 00:00:00 | 14.47 | TRAILING_STOP | -14.07 | -1218.44 | -0.74 | 10 | 82.90 |
| FUNC | 2013-08-26 00:00:00 | 9.11 | 1552 | 8.04 | 2013-09-02 00:00:00 | 8.71 | STAGE_EXIT | -4.34 | -614.03 | -0.37 | 1 | 82.90 |
| TREE | 2013-08-26 00:00:00 | 24.54 | 284 | 18.74 | 2014-03-17 00:00:00 | 31.11 | TRAILING_STOP | 26.78 | 1866.45 | 1.13 | 29 | 79.20 |
| UBS | 2013-08-05 00:00:00 | 20.28 | 520 | 17.07 | 2013-10-28 00:00:00 | 19.12 | TRAILING_STOP | -5.74 | -605.82 | -0.36 | 12 | 84.30 |
| CAAS | 2013-07-15 00:00:00 | 7.21 | 791 | 5.11 | 2013-11-04 00:00:00 | 6.39 | TRAILING_STOP | -11.49 | -655.49 | -0.39 | 16 | 77.70 |
| RBCAA | 2013-07-15 00:00:00 | 27.74 | 310 | 22.36 | 2013-10-07 00:00:00 | 25.99 | TRAILING_STOP | -6.30 | -541.97 | -0.33 | 12 | 76.20 |
| TROO | 2013-06-17 00:00:00 | 10.02 | 320 | 4.79 | 2014-02-03 00:00:00 | 12.46 | TRAILING_STOP | 24.31 | 779.62 | 0.47 | 33 | 89.00 |
| STLA | 2013-06-03 00:00:00 | 5.29 | 983 | 3.60 | 2013-07-15 00:00:00 | 3.99 | TRAILING_STOP | -24.58 | -1278.41 | -0.77 | 6 | 84.60 |
| FHI | 2013-05-20 00:00:00 | 27.18 | 349 | 22.43 | 2013-09-09 00:00:00 | 28.14 | STAGE_EXIT | 3.53 | 334.81 | 0.20 | 16 | 77.80 |
| CSPI | 2013-05-13 00:00:00 | 4.09 | 1414 | 2.94 | 2013-08-05 00:00:00 | 4.16 | TRAILING_STOP | 1.53 | 88.48 | 0.05 | 12 | 78.10 |
| RCBC | 2013-05-06 00:00:00 | 9.62 | 705 | 7.33 | 2013-12-02 00:00:00 | 9.98 | STAGE_EXIT | 3.75 | 254.36 | 0.16 | 30 | 78.30 |
| NXH | 2013-04-22 00:00:00 | 19.10 | 271 | 13.45 | 2013-10-14 00:00:00 | 26.67 | TRAILING_STOP | 39.66 | 2052.59 | 1.34 | 25 | 74.60 |
| CPS | 2013-04-15 00:00:00 | 42.03 | 333 | 37.31 | 2013-04-22 00:00:00 | 41.88 | STAGE_EXIT | -0.38 | -52.55 | -0.03 | 1 | 75.60 |
| NVAX | 2013-04-15 00:00:00 | 53.51 | 114 | 39.69 | 2013-05-06 00:00:00 | 40.16 | TRAILING_STOP | -24.94 | -1521.09 | -0.97 | 3 | 76.50 |
| HOMB | 2013-04-01 00:00:00 | 9.44 | 1724 | 8.52 | 2013-04-15 00:00:00 | 9.83 | STAGE_EXIT | 4.09 | 666.24 | 0.42 | 2 | 70.10 |
| JNJ | 2013-04-01 00:00:00 | 81.55 | 168 | 72.08 | 2013-09-16 00:00:00 | 89.50 | STAGE_EXIT | 9.75 | 1335.24 | 0.84 | 24 | 70.40 |
| GPC | 2013-03-25 00:00:00 | 77.94 | 125 | 65.20 | 2013-08-26 00:00:00 | 76.89 | TRAILING_STOP | -1.34 | -130.15 | -0.08 | 22 | 73.60 |
| OGE | 2013-03-25 00:00:00 | 34.38 | 281 | 28.70 | 2013-10-07 00:00:00 | 35.14 | TRAILING_STOP | 2.20 | 212.68 | 0.13 | 28 | 74.40 |
| BWFG | 2013-03-11 00:00:00 | 19.29 | 299 | 13.97 | 2013-05-20 00:00:00 | 21.35 | TRAILING_STOP | 10.69 | 616.30 | 0.39 | 10 | 83.70 |
| PFLT | 2013-03-04 00:00:00 | 14.37 | 1131 | 12.99 | 2013-03-11 00:00:00 | 14.18 | STAGE_EXIT | -1.30 | -211.61 | -0.14 | 1 | 80.80 |
| AUB | 2013-02-11 00:00:00 | 17.81 | 647 | 15.45 | 2014-01-27 00:00:00 | 23.62 | TRAILING_STOP | 32.68 | 3764.35 | 2.47 | 50 | 75.00 |
| FUSB | 2013-02-11 00:00:00 | 7.21 | 993 | 5.68 | 2013-08-26 00:00:00 | 8.33 | TRAILING_STOP | 15.51 | 1111.44 | 0.73 | 28 | 75.80 |
| ORMP | 2013-01-21 00:00:00 | 6.73 | 534 | 3.92 | 2013-06-17 00:00:00 | 7.12 | TRAILING_STOP | 5.71 | 205.30 | 0.14 | 21 | 77.40 |
| EMN | 2012-12-17 00:00:00 | 65.29 | 127 | 54.30 | 2013-04-01 00:00:00 | 66.80 | TRAILING_STOP | 2.31 | 191.70 | 0.14 | 15 | 76.20 |
| LPL | 2012-11-12 00:00:00 | 16.28 | 302 | 11.72 | 2013-01-21 00:00:00 | 12.93 | TRAILING_STOP | -20.56 | -1010.96 | -0.73 | 10 | 74.00 |
| AKO-B | 2012-10-22 00:00:00 | 38.89 | 238 | 33.12 | 2013-03-25 00:00:00 | 38.44 | TRAILING_STOP | -1.15 | -106.67 | -0.08 | 22 | 73.10 |
| BMI | 2012-10-22 00:00:00 | 22.07 | 343 | 18.07 | 2013-04-15 00:00:00 | 23.27 | TRAILING_STOP | 5.45 | 412.39 | 0.30 | 25 | 74.50 |
| HTHT | 2012-10-22 00:00:00 | 4.31 | 1339 | 3.28 | 2013-03-04 00:00:00 | 4.13 | TRAILING_STOP | -4.23 | -243.78 | -0.18 | 19 | 71.10 |
| LMNR | 2012-10-22 00:00:00 | 23.38 | 221 | 17.18 | 2013-02-11 00:00:00 | 19.45 | TRAILING_STOP | -16.82 | -868.72 | -0.63 | 16 | 72.10 |