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 12 13 14 15 16 17 18
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| STAA | 2011-08-29 00:00:00 | 8.43 | 456 | 5.55 | 2012-02-20 00:00:00 | 10.03 | TRAILING_STOP | 19.02 | 730.78 | 0.56 | 25 | 74.00 |
| PHYS | 2011-08-08 00:00:00 | 14.77 | 693 | 12.87 | 2011-09-26 00:00:00 | 13.71 | TRAILING_STOP | -7.14 | -731.13 | -0.56 | 7 | 77.50 |
| IDCC | 2011-07-25 00:00:00 | 72.01 | 52 | 45.89 | 2011-09-19 00:00:00 | 58.10 | TRAILING_STOP | -19.32 | -723.46 | -0.53 | 8 | 76.40 |
| CHT | 2011-07-18 00:00:00 | 37.39 | 233 | 31.47 | 2011-07-25 00:00:00 | 34.69 | STAGE_EXIT | -7.23 | -630.07 | -0.46 | 1 | 71.60 |
| WTBA | 2011-07-18 00:00:00 | 9.49 | 764 | 7.68 | 2011-08-08 00:00:00 | 7.85 | TRAILING_STOP | -17.31 | -1254.62 | -0.91 | 3 | 71.40 |
| MLKN | 2011-07-11 00:00:00 | 28.00 | 517 | 25.26 | 2011-07-18 00:00:00 | 26.27 | STAGE_EXIT | -6.17 | -893.65 | -0.63 | 1 | 70.30 |
| NTIC | 2011-07-11 00:00:00 | 9.71 | 713 | 7.73 | 2011-08-15 00:00:00 | 8.00 | TRAILING_STOP | -17.63 | -1220.78 | -0.86 | 5 | 73.00 |
| TSSI | 2011-07-11 00:00:00 | 1.80 | 5481 | 1.55 | 2011-08-29 00:00:00 | 1.65 | TRAILING_STOP | -8.62 | -852.48 | -0.60 | 7 | 74.00 |
| GWW | 2011-07-04 00:00:00 | 158.53 | 78 | 140.47 | 2011-07-25 00:00:00 | 148.07 | STAGE_EXIT | -6.59 | -815.35 | -0.58 | 3 | 70.20 |
| JOUT | 2011-07-04 00:00:00 | 17.93 | 503 | 15.13 | 2011-08-08 00:00:00 | 16.14 | TRAILING_STOP | -9.97 | -899.39 | -0.64 | 5 | 71.70 |
| ELLO | 2011-06-20 00:00:00 | 7.41 | 1989 | 6.72 | 2011-06-27 00:00:00 | 6.71 | INITIAL_STOP | -9.56 | -1409.55 | -1.02 | 1 | 70.70 |
| VRME | 2011-06-20 00:00:00 | 72.39 | 35 | 33.05 | 2011-10-17 00:00:00 | 139.34 | TRAILING_STOP | 92.47 | 2343.09 | 1.70 | 17 | 76.90 |
| ANIX | 2011-06-06 00:00:00 | 11.02 | 246 | 5.18 | 2011-07-25 00:00:00 | 5.49 | TRAILING_STOP | -50.20 | -1361.12 | -0.95 | 7 | 75.90 |
| IEP | 2011-06-06 00:00:00 | 44.73 | 198 | 37.46 | 2011-08-01 00:00:00 | 39.73 | TRAILING_STOP | -11.16 | -988.68 | -0.69 | 8 | 78.50 |
| SCKT | 2011-05-30 00:00:00 | 3.06 | 1530 | 2.09 | 2011-06-27 00:00:00 | 2.16 | TRAILING_STOP | -29.33 | -1371.34 | -0.93 | 4 | 73.10 |
| WTM | 2011-05-30 00:00:00 | 406.31 | 26 | 350.38 | 2011-08-08 00:00:00 | 391.74 | TRAILING_STOP | -3.59 | -378.78 | -0.26 | 10 | 73.50 |
| ALKS | 2011-05-23 00:00:00 | 17.90 | 292 | 12.95 | 2011-08-01 00:00:00 | 16.33 | TRAILING_STOP | -8.78 | -458.63 | -0.32 | 10 | 81.60 |
| OFIX | 2011-05-23 00:00:00 | 38.71 | 179 | 30.65 | 2011-08-08 00:00:00 | 35.61 | TRAILING_STOP | -8.01 | -554.77 | -0.38 | 11 | 81.10 |
| REI | 2011-05-23 00:00:00 | 12.22 | 175 | 3.98 | 2011-08-01 00:00:00 | 6.68 | TRAILING_STOP | -45.36 | -970.45 | -0.67 | 10 | 82.20 |
| PDEX | 2011-05-16 00:00:00 | 3.02 | 1832 | 2.22 | 2011-06-27 00:00:00 | 2.38 | TRAILING_STOP | -21.24 | -1173.84 | -0.80 | 6 | 79.10 |
| NRT | 2011-05-09 00:00:00 | 33.42 | 414 | 29.81 | 2011-06-27 00:00:00 | 32.92 | STAGE_EXIT | -1.47 | -203.97 | -0.14 | 7 | 84.00 |
| NSC | 2011-05-02 00:00:00 | 74.75 | 141 | 63.90 | 2011-06-13 00:00:00 | 70.83 | STAGE_EXIT | -5.25 | -552.88 | -0.36 | 6 | 82.00 |
| TRNS | 2011-04-18 00:00:00 | 9.43 | 926 | 7.75 | 2011-07-11 00:00:00 | 8.87 | TRAILING_STOP | -5.90 | -515.42 | -0.33 | 12 | 78.30 |
| CCEC | 2011-04-04 00:00:00 | 74.56 | 151 | 64.15 | 2011-05-23 00:00:00 | 67.50 | TRAILING_STOP | -9.47 | -1065.95 | -0.68 | 7 | 84.20 |
| OXM | 2011-04-04 00:00:00 | 34.42 | 157 | 24.42 | 2011-08-08 00:00:00 | 31.08 | TRAILING_STOP | -9.69 | -523.88 | -0.33 | 18 | 84.30 |
| NSC | 2011-03-14 00:00:00 | 65.97 | 314 | 61.32 | 2011-04-18 00:00:00 | 66.14 | STAGE_EXIT | 0.25 | 52.06 | 0.04 | 5 | 75.70 |
| RGR | 2011-03-14 00:00:00 | 19.35 | 354 | 15.23 | 2011-06-06 00:00:00 | 18.94 | TRAILING_STOP | -2.13 | -145.82 | -0.10 | 12 | 82.20 |
| RBBN | 2011-03-07 00:00:00 | 20.14 | 315 | 15.26 | 2011-04-04 00:00:00 | 17.76 | STAGE_EXIT | -11.80 | -748.38 | -0.49 | 4 | 83.30 |
| PRAA | 2011-02-21 00:00:00 | 28.06 | 312 | 23.20 | 2011-06-06 00:00:00 | 26.36 | TRAILING_STOP | -6.05 | -529.84 | -0.35 | 15 | 80.30 |
| OCC | 2011-01-31 00:00:00 | 5.78 | 509 | 3.01 | 2011-05-23 00:00:00 | 4.31 | TRAILING_STOP | -25.50 | -750.53 | -0.53 | 16 | 87.90 |
| MG | 2011-01-17 00:00:00 | 15.37 | 352 | 11.31 | 2011-06-13 00:00:00 | 15.33 | TRAILING_STOP | -0.25 | -13.59 | -0.01 | 21 | 89.70 |
| FUN | 2011-01-10 00:00:00 | 16.80 | 433 | 13.50 | 2011-06-13 00:00:00 | 18.26 | STAGE_EXIT | 8.69 | 632.12 | 0.44 | 22 | 85.90 |
| HUBB | 2010-12-06 00:00:00 | 60.13 | 112 | 47.94 | 2011-05-16 00:00:00 | 64.72 | TRAILING_STOP | 7.64 | 514.57 | 0.38 | 23 | 76.40 |
| SNA | 2010-12-06 00:00:00 | 55.47 | 140 | 45.71 | 2011-05-30 00:00:00 | 57.28 | TRAILING_STOP | 3.27 | 253.92 | 0.19 | 25 | 73.30 |
| HIHO | 2010-11-15 00:00:00 | 4.10 | 700 | 2.27 | 2011-04-04 00:00:00 | 3.18 | TRAILING_STOP | -22.32 | -640.21 | -0.50 | 20 | 75.40 |
| INGR | 2010-11-01 00:00:00 | 43.08 | 152 | 34.72 | 2011-03-07 00:00:00 | 44.88 | TRAILING_STOP | 4.20 | 274.83 | 0.22 | 18 | 71.80 |
| BUD | 2010-10-11 00:00:00 | 61.61 | 119 | 51.51 | 2011-01-17 00:00:00 | 56.11 | TRAILING_STOP | -8.94 | -655.32 | -0.54 | 14 | 75.70 |
| RFIL | 2010-09-27 00:00:00 | 3.29 | 1774 | 2.62 | 2011-05-23 00:00:00 | 3.69 | STAGE_EXIT | 12.35 | 720.32 | 0.61 | 34 | 73.20 |
| XTLB | 2010-09-27 00:00:00 | 46.09 | 49 | 21.89 | 2010-11-01 00:00:00 | 25.09 | TRAILING_STOP | -45.57 | -1029.10 | -0.87 | 5 | 75.50 |
| ASM | 2010-09-13 00:00:00 | 0.96 | 5292 | 0.74 | 2011-05-02 00:00:00 | 2.53 | TRAILING_STOP | 163.07 | 8301.03 | 7.13 | 33 | 73.40 |
| MO | 2010-09-13 00:00:00 | 23.64 | 449 | 21.05 | 2010-12-06 00:00:00 | 24.80 | STAGE_EXIT | 4.92 | 522.24 | 0.45 | 12 | 72.60 |
| AG | 2010-09-06 00:00:00 | 5.13 | 823 | 3.72 | 2011-06-13 00:00:00 | 16.16 | TRAILING_STOP | 214.91 | 9073.88 | 7.83 | 40 | 74.10 |
| FIZZ | 2010-09-06 00:00:00 | 7.46 | 871 | 6.13 | 2010-11-29 00:00:00 | 6.64 | TRAILING_STOP | -11.05 | -717.79 | -0.62 | 12 | 71.60 |
| NI | 2010-09-06 00:00:00 | 6.92 | 1570 | 6.18 | 2010-09-27 00:00:00 | 6.89 | STAGE_EXIT | -0.34 | -37.20 | -0.03 | 3 | 73.70 |
| NNN | 2010-09-06 00:00:00 | 24.98 | 471 | 22.52 | 2010-11-15 00:00:00 | 25.94 | STAGE_EXIT | 3.84 | 451.29 | 0.39 | 10 | 73.80 |
| CBFV | 2010-08-16 00:00:00 | 18.04 | 684 | 16.32 | 2010-09-06 00:00:00 | 18.21 | STAGE_EXIT | 0.98 | 121.41 | 0.10 | 3 | 73.50 |
| ESOA | 2010-08-16 00:00:00 | 4.45 | 1012 | 3.29 | 2010-08-30 00:00:00 | 3.34 | TRAILING_STOP | -25.00 | -1125.71 | -0.96 | 2 | 79.40 |
| GGAL | 2010-08-16 00:00:00 | 7.89 | 554 | 5.77 | 2011-02-21 00:00:00 | 14.10 | TRAILING_STOP | 78.81 | 3443.11 | 2.94 | 27 | 71.80 |
| LFMD | 2010-08-09 00:00:00 | 1.55 | 1765 | 0.88 | 2010-10-11 00:00:00 | 1.08 | TRAILING_STOP | -30.52 | -836.66 | -0.71 | 9 | 72.70 |
| NL | 2010-08-09 00:00:00 | 9.67 | 552 | 7.53 | 2010-08-23 00:00:00 | 7.67 | TRAILING_STOP | -20.67 | -1103.06 | -0.94 | 2 | 71.40 |