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 16 17 18 19 20 21 22
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| RELX | 2007-05-14 00:00:00 | 13.30 | 923 | 11.63 | 2007-07-23 00:00:00 | 12.49 | TRAILING_STOP | -6.09 | -747.11 | -0.49 | 10 | 70.70 |
| VHI | 2007-04-09 00:00:00 | 76.19 | 45 | 43.61 | 2007-11-19 00:00:00 | 78.13 | TRAILING_STOP | 2.55 | 87.39 | 0.06 | 32 | 81.20 |
| UL | 2007-03-19 00:00:00 | 33.17 | 453 | 30.03 | 2007-06-18 00:00:00 | 34.96 | STAGE_EXIT | 5.39 | 810.59 | 0.57 | 13 | 73.90 |
| CPSH | 2007-03-12 00:00:00 | 1.75 | 6414 | 1.54 | 2007-07-16 00:00:00 | 2.60 | TRAILING_STOP | 48.01 | 5399.93 | 3.94 | 18 | 79.30 |
| INSG | 2007-03-05 00:00:00 | 132.16 | 47 | 103.84 | 2007-10-22 00:00:00 | 223.37 | TRAILING_STOP | 69.01 | 4286.58 | 3.22 | 33 | 74.20 |
| CHDN | 2007-02-26 00:00:00 | 7.49 | 1958 | 6.78 | 2007-03-05 00:00:00 | 7.11 | STAGE_EXIT | -5.10 | -749.03 | -0.54 | 1 | 79.00 |
| EMBJ | 2007-02-12 00:00:00 | 44.39 | 295 | 39.70 | 2007-05-14 00:00:00 | 47.10 | STAGE_EXIT | 6.10 | 798.57 | 0.58 | 13 | 70.50 |
| DCH | 2007-01-29 00:00:00 | 21.07 | 389 | 17.59 | 2007-07-23 00:00:00 | 27.82 | TRAILING_STOP | 32.04 | 2626.56 | 1.94 | 25 | 75.30 |
| ARKR | 2007-01-22 00:00:00 | 31.56 | 410 | 28.26 | 2007-05-21 00:00:00 | 32.25 | TRAILING_STOP | 2.16 | 280.04 | 0.21 | 17 | 74.20 |
| PSO | 2007-01-22 00:00:00 | 16.38 | 670 | 14.36 | 2007-03-12 00:00:00 | 15.89 | STAGE_EXIT | -3.02 | -331.34 | -0.24 | 7 | 73.30 |
| SF | 2007-01-15 00:00:00 | 9.50 | 519 | 6.90 | 2007-08-06 00:00:00 | 9.95 | TRAILING_STOP | 4.70 | 231.92 | 0.17 | 29 | 73.10 |
| TPL | 2006-12-04 00:00:00 | 4.32 | 1487 | 3.42 | 2007-05-14 00:00:00 | 4.86 | TRAILING_STOP | 12.61 | 809.64 | 0.60 | 23 | 75.40 |
| MKTX | 2006-11-27 00:00:00 | 14.92 | 319 | 10.69 | 2007-08-13 00:00:00 | 16.24 | TRAILING_STOP | 8.82 | 419.68 | 0.31 | 37 | 77.50 |
| BFS | 2006-11-20 00:00:00 | 54.11 | 110 | 41.99 | 2007-04-09 00:00:00 | 52.87 | TRAILING_STOP | -2.28 | -135.72 | -0.10 | 20 | 77.30 |
| HAS | 2006-11-06 00:00:00 | 27.23 | 182 | 20.19 | 2007-07-23 00:00:00 | 30.18 | TRAILING_STOP | 10.81 | 535.66 | 0.42 | 37 | 71.70 |
| NEE | 2006-10-30 00:00:00 | 12.77 | 601 | 10.59 | 2007-06-04 00:00:00 | 14.48 | TRAILING_STOP | 13.33 | 1023.57 | 0.78 | 31 | 76.80 |
| SIEB | 2006-10-23 00:00:00 | 3.94 | 1101 | 2.75 | 2007-03-12 00:00:00 | 3.67 | TRAILING_STOP | -6.81 | -295.46 | -0.23 | 20 | 76.70 |
| MDLZ | 2006-10-02 00:00:00 | 35.72 | 315 | 31.63 | 2006-10-30 00:00:00 | 33.89 | STAGE_EXIT | -5.12 | -576.21 | -0.45 | 4 | 76.30 |
| TRT | 2006-10-02 00:00:00 | 6.06 | 470 | 3.32 | 2007-01-22 00:00:00 | 5.04 | TRAILING_STOP | -16.79 | -478.28 | -0.37 | 16 | 75.60 |
| ESLT | 2006-09-25 00:00:00 | 30.45 | 290 | 26.03 | 2008-03-10 00:00:00 | 52.74 | TRAILING_STOP | 73.21 | 6464.76 | 5.04 | 76 | 73.20 |
| AKR | 2006-09-18 00:00:00 | 26.02 | 420 | 22.95 | 2006-10-02 00:00:00 | 25.82 | STAGE_EXIT | -0.78 | -85.54 | -0.07 | 2 | 72.80 |
| HUM | 2006-09-18 00:00:00 | 66.38 | 95 | 52.78 | 2006-11-06 00:00:00 | 55.64 | TRAILING_STOP | -16.18 | -1020.07 | -0.79 | 7 | 70.50 |
| ABCB | 2006-08-07 00:00:00 | 25.68 | 295 | 21.33 | 2007-01-22 00:00:00 | 25.70 | TRAILING_STOP | 0.08 | 6.02 | 0.00 | 24 | 75.10 |
| T | 2006-08-07 00:00:00 | 23.34 | 414 | 20.24 | 2007-07-16 00:00:00 | 29.44 | STAGE_EXIT | 26.15 | 2526.59 | 1.97 | 49 | 73.30 |
| COKE | 2006-07-31 00:00:00 | 5.94 | 1074 | 4.73 | 2007-01-29 00:00:00 | 6.18 | STAGE_EXIT | 4.12 | 262.87 | 0.20 | 26 | 74.80 |
| NG | 2006-07-31 00:00:00 | 14.99 | 400 | 11.76 | 2006-10-23 00:00:00 | 14.23 | STAGE_EXIT | -5.09 | -305.48 | -0.24 | 12 | 72.00 |
| AVBH | 2006-07-24 00:00:00 | 15.68 | 1683 | 14.93 | 2006-08-07 00:00:00 | 14.90 | INITIAL_STOP | -5.01 | -1323.09 | -1.04 | 2 | 77.30 |
| SWX | 2006-07-24 00:00:00 | 32.66 | 292 | 28.30 | 2007-02-26 00:00:00 | 36.80 | TRAILING_STOP | 12.70 | 1210.57 | 0.95 | 31 | 71.20 |
| CRWS | 2006-07-17 00:00:00 | 1.85 | 1063 | 0.66 | 2007-02-12 00:00:00 | 3.97 | TRAILING_STOP | 114.28 | 2251.80 | 1.78 | 30 | 80.00 |
| SBSI | 2006-07-10 00:00:00 | 17.13 | 395 | 13.90 | 2006-11-27 00:00:00 | 17.46 | TRAILING_STOP | 1.92 | 129.83 | 0.10 | 20 | 70.00 |
| COLB | 2006-07-03 00:00:00 | 36.57 | 325 | 32.51 | 2006-07-17 00:00:00 | 32.69 | TRAILING_STOP | -10.61 | -1260.72 | -0.96 | 2 | 72.40 |
| ECL | 2006-07-03 00:00:00 | 40.76 | 357 | 37.07 | 2006-07-17 00:00:00 | 41.14 | STAGE_EXIT | 0.92 | 134.30 | 0.10 | 2 | 72.70 |
| ENS | 2006-07-03 00:00:00 | 20.96 | 195 | 14.20 | 2006-09-18 00:00:00 | 15.94 | TRAILING_STOP | -23.97 | -979.69 | -0.74 | 11 | 77.70 |
| SRCE | 2006-07-03 00:00:00 | 30.88 | 229 | 25.12 | 2007-01-15 00:00:00 | 30.00 | TRAILING_STOP | -2.83 | -200.47 | -0.15 | 28 | 73.40 |
| CPB | 2006-06-05 00:00:00 | 36.05 | 275 | 31.19 | 2006-09-18 00:00:00 | 35.55 | TRAILING_STOP | -1.39 | -138.11 | -0.10 | 15 | 72.40 |
| TATT | 2006-06-05 00:00:00 | 8.96 | 591 | 6.70 | 2006-07-10 00:00:00 | 7.17 | TRAILING_STOP | -19.94 | -1055.54 | -0.79 | 5 | 72.40 |
| ESLT | 2006-05-15 00:00:00 | 26.95 | 491 | 24.18 | 2006-06-12 00:00:00 | 26.28 | STAGE_EXIT | -2.51 | -332.14 | -0.24 | 4 | 77.00 |
| VHI | 2006-05-15 00:00:00 | 41.01 | 126 | 30.26 | 2006-09-18 00:00:00 | 38.76 | TRAILING_STOP | -5.47 | -282.85 | -0.21 | 18 | 80.30 |
| CASS | 2006-05-08 00:00:00 | 19.74 | 256 | 14.27 | 2006-12-04 00:00:00 | 20.81 | TRAILING_STOP | 5.43 | 274.17 | 0.20 | 30 | 81.00 |
| FORR | 2006-05-08 00:00:00 | 25.86 | 264 | 20.56 | 2006-07-10 00:00:00 | 23.89 | TRAILING_STOP | -7.62 | -520.03 | -0.37 | 9 | 77.70 |
| LXU | 2006-04-24 00:00:00 | 6.47 | 865 | 4.83 | 2007-07-30 00:00:00 | 13.21 | STAGE_EXIT | 104.10 | 5830.28 | 4.10 | 66 | 76.70 |
| MTRN | 2006-04-10 00:00:00 | 26.48 | 150 | 17.17 | 2006-06-05 00:00:00 | 18.99 | TRAILING_STOP | -28.28 | -1123.43 | -0.80 | 8 | 82.50 |
| SIGA | 2006-04-03 00:00:00 | 1.53 | 2741 | 1.01 | 2006-07-10 00:00:00 | 1.17 | TRAILING_STOP | -23.59 | -991.25 | -0.70 | 14 | 75.70 |
| PUK | 2006-03-20 00:00:00 | 25.66 | 197 | 18.57 | 2006-05-15 00:00:00 | 22.00 | TRAILING_STOP | -14.26 | -720.83 | -0.52 | 8 | 77.60 |
| TBBK | 2006-03-06 00:00:00 | 21.54 | 350 | 17.64 | 2006-09-04 00:00:00 | 23.11 | TRAILING_STOP | 7.28 | 549.14 | 0.40 | 26 | 74.70 |
| HEI-A | 2006-02-20 00:00:00 | 5.14 | 1114 | 3.94 | 2006-05-22 00:00:00 | 5.50 | TRAILING_STOP | 7.09 | 405.67 | 0.31 | 13 | 74.30 |
| HXL | 2006-02-06 00:00:00 | 22.95 | 258 | 17.81 | 2006-03-20 00:00:00 | 21.45 | STAGE_EXIT | -6.53 | -386.69 | -0.29 | 6 | 72.70 |
| GLNG | 2006-01-30 00:00:00 | 15.02 | 541 | 12.56 | 2006-02-06 00:00:00 | 13.61 | STAGE_EXIT | -9.36 | -760.48 | -0.57 | 1 | 81.90 |
| MNKD | 2006-01-23 00:00:00 | 92.03 | 40 | 59.54 | 2006-06-12 00:00:00 | 83.35 | TRAILING_STOP | -9.44 | -347.48 | -0.27 | 20 | 80.00 |
| STXS | 2006-01-16 00:00:00 | 108.52 | 37 | 73.74 | 2006-04-03 00:00:00 | 104.37 | TRAILING_STOP | -3.82 | -153.36 | -0.12 | 11 | 79.40 |