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 13 14 15 16 17 18 19
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| UHAL | 2010-08-02 00:00:00 | 6.81 | 810 | 5.35 | 2011-03-14 00:00:00 | 8.93 | TRAILING_STOP | 31.13 | 1718.28 | 1.45 | 32 | 70.70 |
| EC | 2010-07-19 00:00:00 | 32.41 | 212 | 27.07 | 2011-01-31 00:00:00 | 41.31 | STAGE_EXIT | 27.43 | 1885.21 | 1.67 | 28 | 72.20 |
| MITK | 2010-07-19 00:00:00 | 1.15 | 2905 | 0.76 | 2011-03-14 00:00:00 | 4.99 | TRAILING_STOP | 333.47 | 11162.58 | 9.83 | 34 | 73.10 |
| NTIC | 2010-07-19 00:00:00 | 5.62 | 1469 | 4.84 | 2010-08-23 00:00:00 | 5.13 | TRAILING_STOP | -8.63 | -711.73 | -0.63 | 5 | 74.40 |
| COFS | 2010-07-05 00:00:00 | 9.54 | 662 | 7.81 | 2010-08-16 00:00:00 | 9.50 | STAGE_EXIT | -0.40 | -25.22 | -0.02 | 6 | 76.60 |
| HFWA | 2010-06-28 00:00:00 | 15.78 | 903 | 14.48 | 2010-07-12 00:00:00 | 14.56 | TRAILING_STOP | -7.71 | -1098.67 | -0.94 | 2 | 74.30 |
| ABUS | 2010-06-07 00:00:00 | 6.96 | 465 | 4.42 | 2010-09-27 00:00:00 | 6.24 | TRAILING_STOP | -10.45 | -338.43 | -0.29 | 16 | 73.60 |
| OLED | 2010-06-07 00:00:00 | 17.27 | 239 | 12.34 | 2011-05-30 00:00:00 | 39.51 | TRAILING_STOP | 128.71 | 5314.02 | 4.51 | 51 | 75.30 |
| OVLY | 2010-06-07 00:00:00 | 6.26 | 695 | 4.56 | 2010-08-30 00:00:00 | 5.00 | TRAILING_STOP | -20.18 | -878.49 | -0.74 | 12 | 71.60 |
| CTS | 2010-05-17 00:00:00 | 11.52 | 501 | 9.11 | 2010-06-14 00:00:00 | 10.30 | STAGE_EXIT | -10.62 | -613.04 | -0.51 | 4 | 70.90 |
| LTRX | 2010-05-17 00:00:00 | 4.70 | 1033 | 3.53 | 2010-07-05 00:00:00 | 3.78 | TRAILING_STOP | -19.63 | -953.08 | -0.79 | 7 | 74.30 |
| MUX | 2010-05-17 00:00:00 | 39.75 | 91 | 26.53 | 2011-05-09 00:00:00 | 68.77 | TRAILING_STOP | 72.99 | 2640.45 | 2.19 | 51 | 71.80 |
| AAON | 2010-05-03 00:00:00 | 4.78 | 1783 | 4.07 | 2010-08-09 00:00:00 | 4.47 | TRAILING_STOP | -6.57 | -560.03 | -0.44 | 14 | 74.30 |
| CPT | 2010-05-03 00:00:00 | 49.04 | 144 | 40.31 | 2010-06-28 00:00:00 | 42.35 | TRAILING_STOP | -13.64 | -963.26 | -0.77 | 8 | 75.30 |
| CWBC | 2010-05-03 00:00:00 | 7.63 | 633 | 5.63 | 2010-06-21 00:00:00 | 6.14 | STAGE_EXIT | -19.51 | -941.60 | -0.75 | 7 | 78.80 |
| HRI | 2010-05-03 00:00:00 | 41.48 | 136 | 32.23 | 2010-05-17 00:00:00 | 32.45 | TRAILING_STOP | -21.78 | -1228.65 | -0.98 | 2 | 77.50 |
| MMM | 2010-05-03 00:00:00 | 74.72 | 163 | 67.02 | 2010-05-10 00:00:00 | 70.66 | STAGE_EXIT | -5.44 | -662.05 | -0.53 | 1 | 78.10 |
| RGR | 2010-05-03 00:00:00 | 16.90 | 253 | 11.92 | 2010-08-09 00:00:00 | 13.71 | TRAILING_STOP | -18.87 | -807.06 | -0.64 | 14 | 79.10 |
| URI | 2010-05-03 00:00:00 | 14.51 | 246 | 9.38 | 2010-06-28 00:00:00 | 9.95 | TRAILING_STOP | -31.40 | -1120.86 | -0.89 | 8 | 80.10 |
| ESOA | 2010-04-19 00:00:00 | 3.76 | 1777 | 3.03 | 2010-05-17 00:00:00 | 3.10 | TRAILING_STOP | -17.55 | -1171.59 | -0.90 | 4 | 82.30 |
| ARWR | 2010-03-29 00:00:00 | 8.52 | 459 | 5.77 | 2010-08-09 00:00:00 | 10.18 | TRAILING_STOP | 19.53 | 763.32 | 0.60 | 19 | 79.00 |
| KWR | 2010-03-08 00:00:00 | 25.45 | 253 | 20.55 | 2010-05-24 00:00:00 | 23.08 | TRAILING_STOP | -9.33 | -600.60 | -0.48 | 11 | 76.20 |
| FLNA | 2010-02-22 00:00:00 | 43.56 | 170 | 36.37 | 2010-05-03 00:00:00 | 39.14 | TRAILING_STOP | -10.14 | -750.63 | -0.61 | 10 | 78.50 |
| LQDT | 2010-02-22 00:00:00 | 12.84 | 471 | 10.23 | 2010-03-29 00:00:00 | 11.22 | STAGE_EXIT | -12.61 | -762.13 | -0.62 | 5 | 81.50 |
| KELYA | 2010-02-08 00:00:00 | 15.94 | 318 | 12.15 | 2010-05-03 00:00:00 | 13.88 | TRAILING_STOP | -12.94 | -656.09 | -0.54 | 12 | 85.00 |
| DLX | 2010-02-01 00:00:00 | 18.75 | 392 | 15.65 | 2010-02-22 00:00:00 | 17.91 | STAGE_EXIT | -4.44 | -326.66 | -0.27 | 3 | 83.90 |
| HDSN | 2010-01-25 00:00:00 | 2.27 | 1225 | 1.28 | 2010-05-17 00:00:00 | 1.91 | TRAILING_STOP | -16.09 | -448.32 | -0.37 | 16 | 86.40 |
| MPAA | 2010-01-18 00:00:00 | 5.54 | 2015 | 4.93 | 2010-02-22 00:00:00 | 5.18 | TRAILING_STOP | -6.46 | -721.13 | -0.59 | 5 | 76.30 |
| BH | 2009-12-21 00:00:00 | 166.18 | 29 | 125.35 | 2010-05-03 00:00:00 | 178.07 | TRAILING_STOP | 7.16 | 344.93 | 0.29 | 19 | 83.80 |
| BJRI | 2009-12-21 00:00:00 | 19.09 | 454 | 16.41 | 2010-07-05 00:00:00 | 22.36 | TRAILING_STOP | 17.15 | 1485.87 | 1.22 | 28 | 70.50 |
| FLG | 2009-12-21 00:00:00 | 43.35 | 123 | 33.47 | 2010-06-28 00:00:00 | 46.22 | TRAILING_STOP | 6.63 | 353.40 | 0.29 | 27 | 78.20 |
| HAS | 2009-12-21 00:00:00 | 32.05 | 252 | 27.24 | 2011-01-10 00:00:00 | 44.47 | TRAILING_STOP | 38.72 | 3127.74 | 2.58 | 55 | 70.20 |
| COO | 2009-12-14 00:00:00 | 9.15 | 607 | 7.17 | 2010-05-03 00:00:00 | 9.25 | TRAILING_STOP | 1.06 | 58.65 | 0.05 | 20 | 80.40 |
| FCFS | 2009-12-14 00:00:00 | 21.57 | 313 | 17.73 | 2010-03-08 00:00:00 | 21.84 | STAGE_EXIT | 1.22 | 82.37 | 0.07 | 12 | 73.30 |
| GFF | 2009-12-14 00:00:00 | 12.10 | 513 | 9.75 | 2010-05-03 00:00:00 | 12.37 | TRAILING_STOP | 2.22 | 137.87 | 0.11 | 20 | 80.60 |
| WLY | 2009-12-14 00:00:00 | 42.17 | 145 | 33.89 | 2010-05-03 00:00:00 | 41.66 | TRAILING_STOP | -1.23 | -75.02 | -0.06 | 20 | 72.70 |
| ELS | 2009-12-07 00:00:00 | 12.75 | 535 | 10.49 | 2010-05-17 00:00:00 | 12.52 | TRAILING_STOP | -1.78 | -121.13 | -0.10 | 23 | 72.50 |
| FFBC | 2009-12-07 00:00:00 | 14.19 | 538 | 11.94 | 2010-05-03 00:00:00 | 17.49 | TRAILING_STOP | 23.25 | 1774.64 | 1.47 | 21 | 80.00 |
| GSIT | 2009-12-07 00:00:00 | 4.67 | 1312 | 3.75 | 2010-02-08 00:00:00 | 4.35 | STAGE_EXIT | -6.81 | -417.27 | -0.35 | 9 | 78.50 |
| NHI | 2009-12-07 00:00:00 | 35.54 | 222 | 30.10 | 2010-02-01 00:00:00 | 32.44 | TRAILING_STOP | -8.73 | -689.00 | -0.57 | 8 | 74.60 |
| SIGA | 2009-11-30 00:00:00 | 9.33 | 638 | 7.41 | 2009-12-07 00:00:00 | 7.40 | STAGE_EXIT | -20.68 | -1230.94 | -1.01 | 1 | 80.60 |
| NEM | 2009-11-23 00:00:00 | 53.93 | 120 | 43.66 | 2009-12-21 00:00:00 | 47.88 | STAGE_EXIT | -11.21 | -725.23 | -0.59 | 4 | 74.80 |
| EP | 2009-11-16 00:00:00 | 3.85 | 1144 | 2.77 | 2009-12-07 00:00:00 | 3.35 | STAGE_EXIT | -12.85 | -565.59 | -0.46 | 3 | 79.60 |
| CBFV | 2009-10-05 00:00:00 | 17.03 | 425 | 14.12 | 2009-10-19 00:00:00 | 14.77 | STAGE_EXIT | -13.29 | -962.03 | -0.78 | 2 | 80.40 |
| MMS | 2009-09-28 00:00:00 | 11.83 | 733 | 10.13 | 2009-11-30 00:00:00 | 11.73 | STAGE_EXIT | -0.84 | -73.02 | -0.06 | 9 | 79.70 |
| MLSS | 2009-08-31 00:00:00 | 1.11 | 2193 | 0.54 | 2010-04-19 00:00:00 | 1.45 | TRAILING_STOP | 30.26 | 738.12 | 0.59 | 33 | 80.70 |
| JKHY | 2009-08-24 00:00:00 | 23.80 | 238 | 18.56 | 2009-11-30 00:00:00 | 22.18 | TRAILING_STOP | -6.82 | -386.02 | -0.31 | 14 | 76.80 |
| ORRF | 2009-06-15 00:00:00 | 38.14 | 107 | 27.07 | 2009-10-26 00:00:00 | 34.90 | TRAILING_STOP | -8.47 | -345.80 | -0.29 | 19 | 77.00 |
| BRID | 2009-06-08 00:00:00 | 6.90 | 445 | 4.23 | 2009-11-02 00:00:00 | 7.59 | TRAILING_STOP | 9.93 | 305.18 | 0.26 | 21 | 75.30 |
| HWKN | 2009-06-01 00:00:00 | 10.72 | 409 | 7.79 | 2009-12-07 00:00:00 | 10.60 | TRAILING_STOP | -1.14 | -50.17 | -0.04 | 27 | 76.00 |