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 14 15 16 17 18 19 20
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KFFB | 2009-05-25 00:00:00 | 12.93 | 430 | 10.15 | 2009-10-19 00:00:00 | 12.08 | TRAILING_STOP | -6.57 | -365.13 | -0.31 | 21 | 79.20 |
| KINS | 2009-05-11 00:00:00 | 1.99 | 860 | 0.61 | 2009-07-20 00:00:00 | 1.79 | TRAILING_STOP | -10.36 | -177.64 | -0.15 | 10 | 78.30 |
| MNKD | 2009-05-11 00:00:00 | 32.72 | 78 | 17.46 | 2009-10-05 00:00:00 | 33.50 | TRAILING_STOP | 2.41 | 61.53 | 0.05 | 21 | 77.40 |
| NKSH | 2009-05-11 00:00:00 | 24.19 | 223 | 18.84 | 2009-11-30 00:00:00 | 25.46 | TRAILING_STOP | 5.25 | 283.40 | 0.24 | 29 | 74.90 |
| PERI | 2009-05-11 00:00:00 | 14.67 | 204 | 8.83 | 2010-01-25 00:00:00 | 24.91 | TRAILING_STOP | 69.83 | 2089.64 | 1.75 | 37 | 77.60 |
| PLUS | 2009-05-11 00:00:00 | 3.61 | 1256 | 2.66 | 2009-10-26 00:00:00 | 3.73 | TRAILING_STOP | 3.30 | 149.55 | 0.13 | 24 | 73.60 |
| VNDA | 2009-05-11 00:00:00 | 8.37 | 162 | 1.02 | 2009-10-19 00:00:00 | 10.46 | STAGE_EXIT | 25.01 | 338.96 | 0.28 | 23 | 79.70 |
| CCEL | 2009-05-04 00:00:00 | 1.25 | 1777 | 0.58 | 2009-11-23 00:00:00 | 1.68 | TRAILING_STOP | 34.36 | 764.68 | 0.64 | 29 | 75.80 |
| TULP | 2009-05-04 00:00:00 | 19.99 | 114 | 9.54 | 2010-01-18 00:00:00 | 27.85 | TRAILING_STOP | 39.34 | 896.39 | 0.75 | 37 | 74.50 |
| BH | 2009-04-27 00:00:00 | 125.08 | 22 | 72.42 | 2009-11-30 00:00:00 | 132.73 | STAGE_EXIT | 6.11 | 168.21 | 0.15 | 31 | 72.80 |
| TSAT | 2009-04-13 00:00:00 | 26.50 | 95 | 14.05 | 2009-07-27 00:00:00 | 21.14 | TRAILING_STOP | -20.22 | -509.02 | -0.43 | 15 | 71.30 |
| RGR | 2009-03-02 00:00:00 | 9.32 | 448 | 6.67 | 2009-09-28 00:00:00 | 12.02 | TRAILING_STOP | 28.94 | 1208.18 | 1.02 | 30 | 74.70 |
| LINC | 2009-02-09 00:00:00 | 16.37 | 452 | 13.70 | 2009-03-02 00:00:00 | 15.50 | STAGE_EXIT | -5.34 | -394.93 | -0.33 | 3 | 79.30 |
| BLFS | 2009-02-02 00:00:00 | 1.40 | 1615 | 0.65 | 2009-03-02 00:00:00 | 0.72 | TRAILING_STOP | -48.80 | -1105.50 | -0.92 | 4 | 77.60 |
| IDCC | 2009-02-02 00:00:00 | 32.13 | 149 | 24.03 | 2009-03-02 00:00:00 | 25.42 | TRAILING_STOP | -20.89 | -1000.45 | -0.83 | 4 | 71.30 |
| VSEC | 2009-01-12 00:00:00 | 22.40 | 213 | 16.70 | 2009-01-19 00:00:00 | 16.67 | INITIAL_STOP | -25.61 | -1222.13 | -1.01 | 1 | 74.00 |
| DLTR | 2008-12-01 00:00:00 | 14.03 | 665 | 12.18 | 2009-02-02 00:00:00 | 13.07 | TRAILING_STOP | -6.80 | -633.99 | -0.52 | 9 | 71.10 |
| WKC | 2008-12-01 00:00:00 | 17.61 | 233 | 12.34 | 2009-02-16 00:00:00 | 14.84 | TRAILING_STOP | -15.73 | -645.38 | -0.53 | 11 | 70.80 |
| AVAV | 2008-11-03 00:00:00 | 36.07 | 168 | 28.63 | 2008-11-17 00:00:00 | 29.24 | TRAILING_STOP | -18.95 | -1148.36 | -0.92 | 2 | 78.10 |
| BHRB | 2008-10-27 00:00:00 | 45.09 | 104 | 32.92 | 2008-12-22 00:00:00 | 34.68 | STAGE_EXIT | -23.09 | -1082.59 | -0.86 | 8 | 74.10 |
| DOC | 2008-09-22 00:00:00 | 35.86 | 285 | 31.00 | 2008-10-06 00:00:00 | 29.79 | TRAILING_STOP | -16.92 | -1729.77 | -1.25 | 2 | 77.20 |
| HE | 2008-09-22 00:00:00 | 28.36 | 406 | 24.94 | 2008-10-06 00:00:00 | 25.26 | TRAILING_STOP | -10.92 | -1257.68 | -0.91 | 2 | 77.80 |
| HR | 2008-09-22 00:00:00 | 30.46 | 397 | 26.96 | 2008-09-29 00:00:00 | 26.91 | TRAILING_STOP | -11.66 | -1409.44 | -1.02 | 1 | 77.20 |
| PGC | 2008-09-22 00:00:00 | 32.45 | 202 | 25.59 | 2008-10-06 00:00:00 | 26.05 | TRAILING_STOP | -19.73 | -1292.90 | -0.93 | 2 | 77.20 |
| TOWN | 2008-09-22 00:00:00 | 22.28 | 245 | 16.62 | 2008-10-06 00:00:00 | 16.98 | TRAILING_STOP | -23.78 | -1298.16 | -0.94 | 2 | 76.00 |
| AROW | 2008-09-15 00:00:00 | 20.13 | 417 | 16.86 | 2008-09-29 00:00:00 | 17.15 | TRAILING_STOP | -14.80 | -1241.73 | -0.91 | 2 | 71.30 |
| AAP | 2008-08-11 00:00:00 | 44.63 | 167 | 36.42 | 2008-09-15 00:00:00 | 37.80 | TRAILING_STOP | -15.30 | -1140.08 | -0.83 | 5 | 73.70 |
| COHR | 2008-08-11 00:00:00 | 24.18 | 218 | 17.86 | 2008-09-29 00:00:00 | 19.22 | TRAILING_STOP | -20.52 | -1081.61 | -0.79 | 7 | 73.00 |
| AMGN | 2008-08-04 00:00:00 | 63.30 | 79 | 45.77 | 2008-10-06 00:00:00 | 50.27 | TRAILING_STOP | -20.58 | -1029.12 | -0.74 | 9 | 71.90 |
| CHCO | 2008-08-04 00:00:00 | 44.90 | 267 | 39.69 | 2008-08-25 00:00:00 | 40.66 | TRAILING_STOP | -9.45 | -1132.57 | -0.81 | 3 | 71.90 |
| SR | 2008-08-04 00:00:00 | 42.38 | 261 | 37.06 | 2008-10-06 00:00:00 | 42.01 | TRAILING_STOP | -0.87 | -96.66 | -0.07 | 9 | 73.00 |
| TTEK | 2008-08-04 00:00:00 | 5.78 | 933 | 4.29 | 2008-09-29 00:00:00 | 4.78 | TRAILING_STOP | -17.37 | -936.56 | -0.67 | 8 | 72.50 |
| UFI | 2008-08-04 00:00:00 | 9.77 | 854 | 8.14 | 2008-11-17 00:00:00 | 10.82 | TRAILING_STOP | 10.72 | 894.44 | 0.64 | 15 | 74.40 |
| THFF | 2008-07-28 00:00:00 | 38.24 | 180 | 30.26 | 2008-10-06 00:00:00 | 35.52 | TRAILING_STOP | -7.12 | -489.84 | -0.34 | 10 | 74.10 |
| EZPW | 2008-07-21 00:00:00 | 17.63 | 287 | 12.57 | 2008-10-06 00:00:00 | 14.29 | TRAILING_STOP | -18.91 | -956.79 | -0.66 | 11 | 72.90 |
| WHG | 2008-07-21 00:00:00 | 49.56 | 121 | 37.54 | 2008-09-15 00:00:00 | 40.73 | TRAILING_STOP | -17.82 | -1068.30 | -0.73 | 8 | 73.40 |
| OTTR | 2008-07-14 00:00:00 | 42.68 | 202 | 35.49 | 2008-08-04 00:00:00 | 37.81 | TRAILING_STOP | -11.39 | -981.99 | -0.68 | 3 | 75.70 |
| STRA | 2008-06-30 00:00:00 | 224.85 | 31 | 176.92 | 2008-09-29 00:00:00 | 196.72 | TRAILING_STOP | -12.51 | -872.01 | -0.59 | 13 | 71.70 |
| OFLX | 2008-06-23 00:00:00 | 21.92 | 257 | 15.99 | 2008-06-30 00:00:00 | 15.96 | INITIAL_STOP | -27.20 | -1532.52 | -1.01 | 1 | 78.80 |
| OLN | 2008-06-23 00:00:00 | 26.56 | 243 | 20.29 | 2008-09-01 00:00:00 | 22.95 | TRAILING_STOP | -13.60 | -877.69 | -0.58 | 10 | 75.40 |
| EW | 2008-06-09 00:00:00 | 4.98 | 1589 | 4.03 | 2008-08-04 00:00:00 | 4.53 | TRAILING_STOP | -9.00 | -712.71 | -0.47 | 8 | 75.00 |
| MDU | 2008-06-09 00:00:00 | 12.93 | 600 | 10.42 | 2008-08-04 00:00:00 | 12.08 | STAGE_EXIT | -6.56 | -509.12 | -0.34 | 8 | 72.80 |
| TS | 2008-06-09 00:00:00 | 65.72 | 82 | 47.51 | 2008-08-11 00:00:00 | 52.92 | TRAILING_STOP | -19.47 | -1049.52 | -0.70 | 9 | 73.10 |
| OCC | 2008-06-02 00:00:00 | 6.36 | 781 | 4.48 | 2008-09-08 00:00:00 | 5.61 | TRAILING_STOP | -11.81 | -586.95 | -0.40 | 14 | 75.20 |
| ACFN | 2008-05-19 00:00:00 | 101.00 | 70 | 79.90 | 2008-06-23 00:00:00 | 83.51 | TRAILING_STOP | -17.31 | -1224.17 | -0.83 | 5 | 70.40 |
| NNVC | 2008-05-12 00:00:00 | 94.69 | 25 | 37.15 | 2008-09-08 00:00:00 | 70.21 | TRAILING_STOP | -25.86 | -612.08 | -0.43 | 17 | 78.50 |
| TACT | 2008-05-12 00:00:00 | 8.42 | 474 | 5.30 | 2008-06-30 00:00:00 | 7.46 | TRAILING_STOP | -11.40 | -454.71 | -0.31 | 7 | 73.00 |
| IOR | 2008-04-28 00:00:00 | 8.77 | 462 | 5.50 | 2008-06-02 00:00:00 | 6.00 | STAGE_EXIT | -31.59 | -1279.52 | -0.85 | 5 | 77.50 |
| WABC | 2008-04-28 00:00:00 | 59.82 | 129 | 48.15 | 2008-05-05 00:00:00 | 54.94 | STAGE_EXIT | -8.16 | -629.46 | -0.42 | 1 | 71.10 |
| HAL | 2008-04-21 00:00:00 | 47.28 | 166 | 37.79 | 2008-08-04 00:00:00 | 42.57 | TRAILING_STOP | -9.97 | -782.20 | -0.50 | 15 | 71.50 |