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 11 12 13 14 15 16 17
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EHTH | 2012-10-08 00:00:00 | 20.11 | 433 | 16.93 | 2013-02-11 00:00:00 | 22.19 | TRAILING_STOP | 10.36 | 902.21 | 0.65 | 18 | 72.50 |
| NC | 2012-10-08 00:00:00 | 11.01 | 513 | 8.33 | 2013-03-25 00:00:00 | 12.32 | TRAILING_STOP | 11.84 | 669.06 | 0.49 | 24 | 74.20 |
| PKG | 2012-10-01 00:00:00 | 36.30 | 211 | 29.73 | 2014-04-28 00:00:00 | 66.27 | STAGE_EXIT | 82.54 | 6322.56 | 4.56 | 82 | 74.40 |
| WD | 2012-09-24 00:00:00 | 15.76 | 452 | 12.70 | 2013-04-01 00:00:00 | 17.67 | TRAILING_STOP | 12.10 | 862.19 | 0.62 | 27 | 78.80 |
| DLX | 2012-09-17 00:00:00 | 32.01 | 201 | 25.13 | 2013-06-03 00:00:00 | 36.12 | TRAILING_STOP | 12.81 | 824.48 | 0.60 | 37 | 73.30 |
| JOE | 2012-09-17 00:00:00 | 22.33 | 286 | 17.51 | 2012-10-08 00:00:00 | 19.16 | STAGE_EXIT | -14.21 | -907.47 | -0.66 | 3 | 76.50 |
| CNOB | 2012-09-10 00:00:00 | 11.89 | 1131 | 10.69 | 2012-10-22 00:00:00 | 11.11 | STAGE_EXIT | -6.61 | -888.97 | -0.65 | 6 | 70.70 |
| G | 2012-08-06 00:00:00 | 18.60 | 523 | 16.03 | 2012-09-03 00:00:00 | 16.39 | TRAILING_STOP | -11.85 | -1152.96 | -0.86 | 4 | 72.60 |
| TWO | 2012-07-30 00:00:00 | 69.44 | 190 | 62.32 | 2012-09-24 00:00:00 | 71.54 | STAGE_EXIT | 3.02 | 398.48 | 0.29 | 8 | 74.00 |
| JCTC | 2012-07-16 00:00:00 | 2.74 | 2570 | 2.21 | 2013-09-23 00:00:00 | 5.41 | TRAILING_STOP | 97.15 | 6848.73 | 4.96 | 62 | 74.00 |
| MDXG | 2012-06-11 00:00:00 | 1.54 | 3546 | 1.17 | 2013-07-15 00:00:00 | 5.46 | TRAILING_STOP | 253.87 | 13891.39 | 10.62 | 57 | 74.80 |
| MO | 2012-06-11 00:00:00 | 33.24 | 402 | 29.99 | 2012-09-17 00:00:00 | 33.99 | STAGE_EXIT | 2.27 | 303.73 | 0.23 | 14 | 70.50 |
| T | 2012-06-11 00:00:00 | 26.28 | 425 | 23.20 | 2012-10-22 00:00:00 | 26.33 | TRAILING_STOP | 0.21 | 23.38 | 0.02 | 19 | 71.30 |
| COFS | 2012-05-21 00:00:00 | 13.50 | 578 | 11.28 | 2012-10-15 00:00:00 | 13.17 | STAGE_EXIT | -2.41 | -188.11 | -0.15 | 21 | 70.80 |
| HTH | 2012-05-14 00:00:00 | 10.70 | 545 | 8.31 | 2012-12-17 00:00:00 | 12.96 | TRAILING_STOP | 21.09 | 1230.29 | 0.94 | 31 | 88.00 |
| SKT | 2012-05-14 00:00:00 | 32.44 | 390 | 29.10 | 2012-05-21 00:00:00 | 31.14 | STAGE_EXIT | -4.03 | -509.79 | -0.39 | 1 | 78.10 |
| BN | 2012-05-07 00:00:00 | 7.39 | 954 | 6.02 | 2012-10-08 00:00:00 | 7.53 | TRAILING_STOP | 1.94 | 136.42 | 0.10 | 22 | 79.30 |
| FAF | 2012-04-23 00:00:00 | 17.12 | 386 | 13.83 | 2013-05-13 00:00:00 | 25.78 | STAGE_EXIT | 50.54 | 3340.51 | 2.63 | 55 | 84.90 |
| ALGT | 2012-04-09 00:00:00 | 58.54 | 187 | 51.69 | 2012-09-17 00:00:00 | 63.73 | TRAILING_STOP | 8.88 | 971.55 | 0.76 | 23 | 79.70 |
| UMH | 2012-04-09 00:00:00 | 11.52 | 746 | 9.80 | 2012-05-21 00:00:00 | 10.12 | TRAILING_STOP | -12.22 | -1050.27 | -0.82 | 6 | 73.80 |
| CSV | 2012-04-02 00:00:00 | 7.53 | 811 | 5.90 | 2013-08-19 00:00:00 | 17.83 | STAGE_EXIT | 137.00 | 8360.79 | 6.36 | 72 | 82.20 |
| QCRH | 2012-04-02 00:00:00 | 12.02 | 489 | 9.34 | 2012-11-12 00:00:00 | 13.23 | TRAILING_STOP | 10.01 | 588.38 | 0.45 | 32 | 83.30 |
| IP | 2012-03-05 00:00:00 | 33.29 | 257 | 28.34 | 2012-05-07 00:00:00 | 28.92 | TRAILING_STOP | -13.12 | -1122.00 | -0.88 | 9 | 75.30 |
| FRME | 2012-02-20 00:00:00 | 11.43 | 411 | 8.29 | 2012-05-28 00:00:00 | 11.45 | TRAILING_STOP | 0.15 | 6.82 | 0.01 | 14 | 75.60 |
| GRVY | 2012-02-20 00:00:00 | 11.86 | 218 | 5.94 | 2012-05-14 00:00:00 | 8.14 | TRAILING_STOP | -31.36 | -811.18 | -0.63 | 12 | 77.90 |
| BYRN | 2012-01-30 00:00:00 | 3.91 | 591 | 1.74 | 2012-03-05 00:00:00 | 1.92 | TRAILING_STOP | -50.87 | -1174.90 | -0.92 | 5 | 77.90 |
| HDSN | 2012-01-30 00:00:00 | 2.76 | 1006 | 1.48 | 2012-07-30 00:00:00 | 3.27 | TRAILING_STOP | 18.49 | 512.57 | 0.40 | 26 | 76.40 |
| FNB | 2012-01-16 00:00:00 | 12.41 | 505 | 9.91 | 2012-04-23 00:00:00 | 11.24 | TRAILING_STOP | -9.46 | -592.82 | -0.47 | 14 | 71.10 |
| MBWM | 2012-01-16 00:00:00 | 11.52 | 482 | 8.90 | 2012-10-22 00:00:00 | 16.36 | TRAILING_STOP | 41.97 | 2331.20 | 1.84 | 40 | 72.80 |
| LWLG | 2012-01-09 00:00:00 | 1.73 | 1576 | 0.94 | 2012-04-02 00:00:00 | 1.33 | TRAILING_STOP | -23.45 | -640.59 | -0.51 | 12 | 73.00 |
| M | 2012-01-09 00:00:00 | 34.36 | 229 | 28.87 | 2012-05-14 00:00:00 | 35.26 | TRAILING_STOP | 2.61 | 205.62 | 0.16 | 18 | 70.80 |
| CFFI | 2012-01-02 00:00:00 | 26.66 | 291 | 22.32 | 2012-10-01 00:00:00 | 38.24 | TRAILING_STOP | 43.42 | 3369.08 | 2.66 | 39 | 72.00 |
| BMY | 2011-12-26 00:00:00 | 35.16 | 252 | 30.16 | 2012-01-30 00:00:00 | 32.20 | STAGE_EXIT | -8.43 | -747.10 | -0.59 | 5 | 70.70 |
| CZNC | 2011-12-26 00:00:00 | 18.90 | 398 | 15.74 | 2012-04-09 00:00:00 | 18.29 | TRAILING_STOP | -3.21 | -241.38 | -0.19 | 15 | 70.70 |
| ISBA | 2011-12-26 00:00:00 | 24.05 | 240 | 18.82 | 2012-07-16 00:00:00 | 24.13 | TRAILING_STOP | 0.34 | 19.71 | 0.02 | 29 | 74.10 |
| CIA | 2011-12-12 00:00:00 | 8.65 | 746 | 6.94 | 2012-04-02 00:00:00 | 9.63 | TRAILING_STOP | 11.39 | 734.76 | 0.58 | 16 | 71.40 |
| PATK | 2011-12-12 00:00:00 | 1.18 | 2417 | 0.65 | 2012-07-30 00:00:00 | 3.12 | TRAILING_STOP | 164.86 | 4696.43 | 3.68 | 33 | 76.60 |
| PBA | 2011-12-12 00:00:00 | 29.59 | 344 | 25.89 | 2012-01-09 00:00:00 | 26.41 | TRAILING_STOP | -10.73 | -1092.54 | -0.86 | 4 | 70.90 |
| AIOT | 2011-11-14 00:00:00 | 5.90 | 1112 | 4.74 | 2011-12-12 00:00:00 | 4.84 | TRAILING_STOP | -17.94 | -1177.46 | -0.91 | 4 | 71.30 |
| HUM | 2011-11-07 00:00:00 | 87.18 | 119 | 76.25 | 2011-12-05 00:00:00 | 86.68 | STAGE_EXIT | -0.58 | -60.42 | -0.05 | 4 | 71.70 |
| DRD | 2011-10-31 00:00:00 | 6.71 | 818 | 5.12 | 2011-12-26 00:00:00 | 5.36 | TRAILING_STOP | -20.10 | -1103.61 | -0.85 | 8 | 73.30 |
| MATV | 2011-10-31 00:00:00 | 36.04 | 154 | 27.60 | 2012-01-30 00:00:00 | 32.12 | TRAILING_STOP | -10.87 | -603.38 | -0.46 | 13 | 74.00 |
| USLM | 2011-10-31 00:00:00 | 11.01 | 470 | 8.24 | 2012-04-09 00:00:00 | 11.11 | TRAILING_STOP | 0.92 | 47.65 | 0.04 | 23 | 74.50 |
| AIFC | 2011-10-24 00:00:00 | 28.66 | 193 | 21.96 | 2011-11-21 00:00:00 | 23.03 | TRAILING_STOP | -19.63 | -1085.82 | -0.84 | 4 | 72.50 |
| MANH | 2011-10-24 00:00:00 | 10.21 | 877 | 8.73 | 2012-05-28 00:00:00 | 11.34 | STAGE_EXIT | 11.14 | 997.05 | 0.77 | 31 | 73.20 |
| OPK | 2011-10-17 00:00:00 | 5.11 | 1107 | 3.94 | 2012-02-20 00:00:00 | 4.72 | TRAILING_STOP | -7.65 | -432.57 | -0.33 | 18 | 71.60 |
| PW | 2011-10-17 00:00:00 | 149.80 | 40 | 117.51 | 2011-11-14 00:00:00 | 120.06 | STAGE_EXIT | -19.85 | -1189.58 | -0.92 | 4 | 79.40 |
| TXNM | 2011-10-17 00:00:00 | 17.28 | 725 | 15.50 | 2011-12-12 00:00:00 | 17.22 | STAGE_EXIT | -0.40 | -50.03 | -0.04 | 8 | 70.30 |
| QDEL | 2011-10-03 00:00:00 | 16.23 | 617 | 14.08 | 2011-12-19 00:00:00 | 15.61 | TRAILING_STOP | -3.83 | -383.54 | -0.29 | 11 | 70.30 |
| BMY | 2011-09-26 00:00:00 | 31.21 | 425 | 28.08 | 2011-11-14 00:00:00 | 30.75 | STAGE_EXIT | -1.49 | -197.17 | -0.15 | 7 | 74.40 |