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 15 16 17 18 19 20 21
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| LWLG | 2008-03-31 00:00:00 | 2.20 | 1054 | 0.82 | 2008-06-23 00:00:00 | 1.34 | TRAILING_STOP | -39.08 | -908.04 | -0.62 | 12 | 80.00 |
| BTE | 2008-03-17 00:00:00 | 22.78 | 399 | 19.21 | 2008-08-11 00:00:00 | 27.37 | TRAILING_STOP | 20.16 | 1832.17 | 1.29 | 21 | 78.60 |
| CRT | 2008-03-17 00:00:00 | 52.09 | 144 | 42.24 | 2008-04-28 00:00:00 | 46.10 | TRAILING_STOP | -11.51 | -863.78 | -0.61 | 6 | 74.70 |
| SQM | 2008-03-17 00:00:00 | 20.15 | 451 | 16.99 | 2008-08-04 00:00:00 | 33.94 | TRAILING_STOP | 68.43 | 6218.42 | 4.37 | 20 | 71.60 |
| CHT | 2008-02-25 00:00:00 | 27.60 | 235 | 21.43 | 2008-07-14 00:00:00 | 26.59 | TRAILING_STOP | -3.66 | -237.63 | -0.16 | 20 | 74.10 |
| GENC | 2008-02-18 00:00:00 | 9.26 | 545 | 6.61 | 2008-05-19 00:00:00 | 9.90 | TRAILING_STOP | 6.95 | 350.52 | 0.24 | 13 | 74.60 |
| NEU | 2008-02-18 00:00:00 | 62.80 | 117 | 50.48 | 2008-06-30 00:00:00 | 65.86 | TRAILING_STOP | 4.88 | 358.19 | 0.25 | 19 | 74.60 |
| SCWO | 2008-02-18 00:00:00 | 22.55 | 80 | 4.71 | 2008-10-06 00:00:00 | 26.10 | TRAILING_STOP | 15.75 | 284.10 | 0.20 | 33 | 79.30 |
| TMP | 2008-02-18 00:00:00 | 40.13 | 322 | 35.66 | 2008-05-19 00:00:00 | 39.27 | TRAILING_STOP | -2.14 | -277.08 | -0.19 | 13 | 73.60 |
| OI | 2008-02-04 00:00:00 | 53.19 | 135 | 42.53 | 2008-06-09 00:00:00 | 52.04 | TRAILING_STOP | -2.15 | -154.24 | -0.11 | 18 | 75.10 |
| DRD | 2008-01-28 00:00:00 | 10.50 | 499 | 7.67 | 2008-03-31 00:00:00 | 9.15 | TRAILING_STOP | -12.89 | -675.49 | -0.48 | 9 | 76.10 |
| BGC | 2008-01-07 00:00:00 | 7.69 | 885 | 6.05 | 2008-04-21 00:00:00 | 6.97 | TRAILING_STOP | -9.42 | -641.32 | -0.44 | 15 | 75.20 |
| PBT | 2008-01-07 00:00:00 | 16.44 | 816 | 14.66 | 2008-07-14 00:00:00 | 21.00 | TRAILING_STOP | 27.74 | 3722.58 | 2.56 | 27 | 70.90 |
| OLED | 2007-12-31 00:00:00 | 20.87 | 337 | 16.54 | 2008-01-14 00:00:00 | 16.73 | TRAILING_STOP | -19.85 | -1396.00 | -0.96 | 2 | 73.60 |
| ACFN | 2007-12-24 00:00:00 | 92.99 | 74 | 73.14 | 2008-01-28 00:00:00 | 89.42 | STAGE_EXIT | -3.83 | -263.80 | -0.18 | 5 | 71.10 |
| BRKR | 2007-12-24 00:00:00 | 12.83 | 374 | 8.90 | 2008-05-05 00:00:00 | 11.73 | TRAILING_STOP | -8.58 | -411.58 | -0.28 | 19 | 75.10 |
| RRC | 2007-12-24 00:00:00 | 50.99 | 136 | 40.18 | 2008-06-09 00:00:00 | 62.82 | TRAILING_STOP | 23.19 | 1608.34 | 1.09 | 24 | 73.60 |
| INCY | 2007-12-17 00:00:00 | 10.90 | 368 | 6.98 | 2008-03-10 00:00:00 | 9.23 | TRAILING_STOP | -15.29 | -613.37 | -0.43 | 12 | 72.00 |
| DCI | 2007-12-03 00:00:00 | 23.16 | 361 | 19.15 | 2008-01-14 00:00:00 | 19.98 | TRAILING_STOP | -13.74 | -1149.19 | -0.79 | 6 | 73.90 |
| ENS | 2007-11-26 00:00:00 | 22.28 | 378 | 18.45 | 2008-04-21 00:00:00 | 22.43 | TRAILING_STOP | 0.65 | 55.17 | 0.04 | 21 | 75.00 |
| HL | 2007-11-26 00:00:00 | 12.16 | 412 | 8.65 | 2007-12-17 00:00:00 | 8.85 | TRAILING_STOP | -27.21 | -1363.83 | -0.94 | 3 | 71.90 |
| INOD | 2007-11-19 00:00:00 | 5.31 | 1044 | 3.92 | 2008-01-21 00:00:00 | 4.39 | TRAILING_STOP | -17.28 | -957.89 | -0.66 | 9 | 73.70 |
| UL | 2007-11-19 00:00:00 | 41.55 | 265 | 36.09 | 2007-11-26 00:00:00 | 41.01 | STAGE_EXIT | -1.29 | -142.23 | -0.10 | 1 | 73.00 |
| DAIO | 2007-10-29 00:00:00 | 6.01 | 614 | 3.59 | 2008-02-18 00:00:00 | 4.72 | TRAILING_STOP | -21.57 | -796.27 | -0.53 | 16 | 81.00 |
| SCSC | 2007-10-29 00:00:00 | 37.38 | 183 | 29.26 | 2007-12-31 00:00:00 | 30.83 | TRAILING_STOP | -17.53 | -1199.56 | -0.81 | 9 | 76.10 |
| LOGI | 2007-10-22 00:00:00 | 33.78 | 226 | 27.39 | 2008-01-07 00:00:00 | 31.81 | TRAILING_STOP | -5.84 | -445.52 | -0.31 | 11 | 75.10 |
| ENB | 2007-10-15 00:00:00 | 19.51 | 640 | 17.17 | 2007-11-26 00:00:00 | 18.60 | STAGE_EXIT | -4.70 | -586.38 | -0.39 | 6 | 72.80 |
| TAP | 2007-10-15 00:00:00 | 54.82 | 174 | 46.20 | 2007-11-12 00:00:00 | 52.27 | STAGE_EXIT | -4.66 | -444.42 | -0.30 | 4 | 74.70 |
| LYTS | 2007-10-08 00:00:00 | 22.80 | 273 | 17.30 | 2007-10-22 00:00:00 | 17.57 | TRAILING_STOP | -22.94 | -1427.38 | -0.95 | 2 | 71.30 |
| SMTI | 2007-10-08 00:00:00 | 55.11 | 41 | 18.51 | 2008-03-10 00:00:00 | 101.82 | TRAILING_STOP | 84.75 | 1914.97 | 1.28 | 22 | 73.00 |
| BEP | 2007-10-01 00:00:00 | 10.95 | 1267 | 9.80 | 2007-11-19 00:00:00 | 10.21 | STAGE_EXIT | -6.76 | -938.13 | -0.64 | 7 | 70.50 |
| NTWK | 2007-10-01 00:00:00 | 30.96 | 108 | 17.43 | 2007-12-17 00:00:00 | 23.17 | TRAILING_STOP | -25.17 | -841.49 | -0.58 | 11 | 73.50 |
| EQNR | 2007-09-24 00:00:00 | 34.64 | 243 | 28.57 | 2007-11-12 00:00:00 | 30.63 | TRAILING_STOP | -11.56 | -973.16 | -0.66 | 7 | 70.30 |
| PEGA | 2007-08-20 00:00:00 | 3.06 | 2449 | 2.47 | 2007-10-29 00:00:00 | 2.75 | TRAILING_STOP | -9.91 | -742.00 | -0.52 | 10 | 72.00 |
| TDY | 2007-08-13 00:00:00 | 50.76 | 211 | 43.90 | 2008-01-07 00:00:00 | 53.53 | STAGE_EXIT | 5.46 | 584.77 | 0.40 | 21 | 71.30 |
| MSA | 2007-08-06 00:00:00 | 46.46 | 308 | 41.85 | 2007-10-15 00:00:00 | 45.38 | TRAILING_STOP | -2.33 | -333.31 | -0.23 | 10 | 71.50 |
| ACH | 2007-07-30 00:00:00 | 25.74 | 541 | 23.06 | 2007-10-15 00:00:00 | 24.96 | STAGE_EXIT | -3.04 | -422.73 | -0.29 | 11 | 70.70 |
| MUR | 2007-07-23 00:00:00 | 55.85 | 201 | 48.23 | 2008-01-21 00:00:00 | 58.09 | TRAILING_STOP | 4.01 | 450.62 | 0.29 | 26 | 75.30 |
| RPM | 2007-07-23 00:00:00 | 25.07 | 613 | 22.57 | 2007-07-30 00:00:00 | 23.13 | STAGE_EXIT | -7.72 | -1187.01 | -0.77 | 1 | 74.90 |
| XOM | 2007-07-23 00:00:00 | 92.11 | 131 | 80.45 | 2007-08-06 00:00:00 | 80.28 | STAGE_EXIT | -12.84 | -1549.60 | -1.01 | 2 | 79.00 |
| JVA | 2007-07-16 00:00:00 | 5.90 | 895 | 4.14 | 2007-08-20 00:00:00 | 4.49 | STAGE_EXIT | -23.90 | -1262.65 | -0.80 | 5 | 78.70 |
| TTE | 2007-07-16 00:00:00 | 85.62 | 118 | 72.30 | 2007-07-30 00:00:00 | 73.71 | STAGE_EXIT | -13.91 | -1405.22 | -0.89 | 2 | 77.60 |
| HUN | 2007-07-02 00:00:00 | 24.39 | 355 | 19.86 | 2007-11-19 00:00:00 | 23.89 | TRAILING_STOP | -2.05 | -177.33 | -0.11 | 20 | 83.80 |
| MWA | 2007-06-25 00:00:00 | 17.59 | 650 | 15.14 | 2007-07-02 00:00:00 | 16.09 | STAGE_EXIT | -8.51 | -973.27 | -0.61 | 1 | 78.90 |
| TX | 2007-06-25 00:00:00 | 31.81 | 333 | 27.04 | 2007-07-30 00:00:00 | 31.08 | STAGE_EXIT | -2.31 | -245.01 | -0.15 | 5 | 80.20 |
| BEP | 2007-06-11 00:00:00 | 10.09 | 1480 | 9.02 | 2007-08-13 00:00:00 | 9.58 | STAGE_EXIT | -5.04 | -752.30 | -0.47 | 9 | 73.90 |
| PSMT | 2007-06-11 00:00:00 | 22.80 | 278 | 17.11 | 2008-02-04 00:00:00 | 26.90 | TRAILING_STOP | 18.00 | 1140.86 | 0.72 | 34 | 73.50 |
| WTW | 2007-06-04 00:00:00 | 122.36 | 109 | 107.81 | 2007-06-18 00:00:00 | 120.10 | STAGE_EXIT | -1.85 | -246.31 | -0.16 | 2 | 74.20 |
| ARL | 2007-05-21 00:00:00 | 9.83 | 998 | 8.27 | 2007-06-04 00:00:00 | 9.02 | STAGE_EXIT | -8.22 | -806.09 | -0.52 | 2 | 72.30 |
| TRP | 2007-05-21 00:00:00 | 36.11 | 625 | 33.63 | 2007-05-28 00:00:00 | 37.02 | STAGE_EXIT | 2.50 | 564.84 | 0.36 | 1 | 73.80 |