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
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| STRT | 2025-02-17 00:00:00 | 49.96 | 272 | 37.96 | 2025-03-24 00:00:00 | 40.25 | TRAILING_STOP | -19.43 | -2640.50 | -0.81 | 5 | 82.80 |
| BHF | 2025-02-03 00:00:00 | 59.32 | 257 | 47.61 | 2025-03-31 00:00:00 | 50.79 | TRAILING_STOP | -14.38 | -2192.87 | -0.73 | 8 | 82.70 |
| DB | 2025-01-27 00:00:00 | 20.04 | 947 | 16.81 | 2025-10-13 00:00:00 | 33.89 | TRAILING_STOP | 69.12 | 13117.31 | 4.29 | 37 | 75.80 |
| FUBO | 2025-01-13 00:00:00 | 58.68 | 75 | 19.29 | 2025-04-07 00:00:00 | 30.45 | TRAILING_STOP | -48.11 | -2117.36 | -0.72 | 12 | 83.70 |
| SRZN | 2025-01-06 00:00:00 | 17.76 | 395 | 10.08 | 2025-01-27 00:00:00 | 11.58 | STAGE_EXIT | -34.80 | -2440.56 | -0.80 | 3 | 80.70 |
| MBBC | 2024-12-23 00:00:00 | 8.95 | 1288 | 6.68 | 2025-07-28 00:00:00 | 10.04 | STAGE_EXIT | 12.22 | 1408.37 | 0.48 | 31 | 87.80 |
| VNCE | 2024-12-23 00:00:00 | 5.01 | 908 | 1.79 | 2025-03-03 00:00:00 | 2.42 | TRAILING_STOP | -51.78 | -2355.66 | -0.81 | 10 | 86.10 |
| ANGO | 2024-12-16 00:00:00 | 9.10 | 1337 | 6.87 | 2025-03-10 00:00:00 | 8.41 | TRAILING_STOP | -7.54 | -917.24 | -0.31 | 12 | 80.60 |
| WKEY | 2024-12-16 00:00:00 | 9.02 | 442 | 2.30 | 2025-02-24 00:00:00 | 4.26 | TRAILING_STOP | -52.72 | -2101.42 | -0.71 | 10 | 85.00 |
| GLBE | 2024-11-25 00:00:00 | 50.10 | 204 | 35.44 | 2025-02-17 00:00:00 | 51.31 | TRAILING_STOP | 2.41 | 246.60 | 0.08 | 12 | 86.60 |
| CD | 2024-11-18 00:00:00 | 3.75 | 1392 | 1.64 | 2025-02-24 00:00:00 | 5.36 | TRAILING_STOP | 43.09 | 2247.77 | 0.77 | 14 | 86.70 |
| IDA | 2024-11-11 00:00:00 | 114.21 | 198 | 99.31 | 2024-12-23 00:00:00 | 109.50 | STAGE_EXIT | -4.12 | -932.07 | -0.32 | 6 | 79.80 |
| MCS | 2024-11-04 00:00:00 | 20.85 | 373 | 13.18 | 2025-02-24 00:00:00 | 19.48 | TRAILING_STOP | -6.56 | -510.55 | -0.18 | 16 | 76.60 |
| LTBR | 2024-10-21 00:00:00 | 9.33 | 456 | 2.92 | 2025-03-31 00:00:00 | 6.79 | TRAILING_STOP | -27.21 | -1157.37 | -0.40 | 23 | 78.50 |
| WHG | 2024-10-14 00:00:00 | 16.45 | 791 | 12.79 | 2024-12-23 00:00:00 | 13.77 | TRAILING_STOP | -16.33 | -2124.69 | -0.73 | 10 | 75.10 |
| FCPT | 2024-09-09 00:00:00 | 29.08 | 696 | 25.00 | 2024-12-16 00:00:00 | 27.24 | TRAILING_STOP | -6.33 | -1280.48 | -0.45 | 14 | 74.40 |
| FE | 2024-09-09 00:00:00 | 44.29 | 571 | 39.32 | 2024-10-14 00:00:00 | 43.57 | STAGE_EXIT | -1.62 | -408.68 | -0.14 | 5 | 71.40 |
| T | 2024-09-09 00:00:00 | 21.00 | 961 | 18.05 | 2025-07-21 00:00:00 | 26.13 | TRAILING_STOP | 24.43 | 4929.74 | 1.74 | 45 | 75.10 |
| GORO | 2024-08-26 00:00:00 | 0.20 | 29857 | 0.10 | 2025-09-22 00:00:00 | 2.74 | TRAILING_STOP | 1266.96 | 75806.43 | 25.50 | 56 | 77.50 |
| STRT | 2024-08-19 00:00:00 | 39.46 | 205 | 25.24 | 2025-02-03 00:00:00 | 36.66 | TRAILING_STOP | -7.10 | -574.50 | -0.20 | 24 | 76.30 |
| VIOT | 2024-08-19 00:00:00 | 1.47 | 4526 | 0.83 | 2025-01-13 00:00:00 | 1.33 | TRAILING_STOP | -10.04 | -669.55 | -0.23 | 21 | 75.90 |
| CTOR | 2024-08-12 00:00:00 | 40.58 | 99 | 12.13 | 2024-08-19 00:00:00 | 1.96 | INITIAL_STOP | -95.18 | -3823.87 | -1.36 | 1 | 79.90 |
| LUMN | 2024-08-12 00:00:00 | 5.36 | 747 | 1.56 | 2024-12-16 00:00:00 | 5.91 | TRAILING_STOP | 10.22 | 409.14 | 0.14 | 18 | 80.00 |
| AEP | 2024-08-05 00:00:00 | 104.45 | 150 | 85.74 | 2024-11-11 00:00:00 | 93.91 | TRAILING_STOP | -10.09 | -1580.83 | -0.56 | 14 | 82.70 |
| IDCC | 2024-08-05 00:00:00 | 132.26 | 122 | 109.39 | 2025-03-31 00:00:00 | 198.73 | TRAILING_STOP | 50.25 | 8108.99 | 2.91 | 34 | 77.30 |
| RDWR | 2024-08-05 00:00:00 | 20.97 | 1064 | 18.33 | 2024-09-09 00:00:00 | 20.85 | STAGE_EXIT | -0.59 | -131.55 | -0.05 | 5 | 77.40 |
| STBA | 2024-07-29 00:00:00 | 45.88 | 224 | 32.52 | 2024-10-21 00:00:00 | 38.42 | TRAILING_STOP | -16.26 | -1671.49 | -0.56 | 12 | 82.30 |
| PSNL | 2024-07-22 00:00:00 | 3.42 | 1553 | 1.54 | 2024-11-18 00:00:00 | 3.42 | TRAILING_STOP | 0.09 | 4.57 | 0.00 | 17 | 82.70 |
| TASK | 2024-07-22 00:00:00 | 16.78 | 753 | 12.91 | 2024-08-12 00:00:00 | 13.21 | TRAILING_STOP | -21.28 | -2689.09 | -0.92 | 3 | 82.30 |
| COE | 2024-07-01 00:00:00 | 13.29 | 481 | 7.44 | 2024-11-25 00:00:00 | 12.97 | TRAILING_STOP | -2.35 | -150.48 | -0.05 | 21 | 80.20 |
| MOLN | 2024-06-24 00:00:00 | 8.05 | 780 | 4.41 | 2024-08-26 00:00:00 | 5.66 | TRAILING_STOP | -29.65 | -1861.00 | -0.66 | 9 | 84.20 |
| BRFH | 2024-06-17 00:00:00 | 3.14 | 1685 | 1.46 | 2024-09-09 00:00:00 | 3.22 | TRAILING_STOP | 2.59 | 136.64 | 0.05 | 12 | 72.40 |
| VLN | 2024-06-10 00:00:00 | 3.34 | 2916 | 2.36 | 2024-07-22 00:00:00 | 2.50 | TRAILING_STOP | -24.96 | -2428.88 | -0.86 | 6 | 87.00 |
| ASTS | 2024-06-03 00:00:00 | 8.06 | 685 | 3.84 | 2024-11-04 00:00:00 | 21.53 | TRAILING_STOP | 167.23 | 9228.58 | 3.20 | 22 | 88.80 |
| OXBR | 2024-05-27 00:00:00 | 2.32 | 2432 | 1.14 | 2024-08-19 00:00:00 | 2.12 | TRAILING_STOP | -9.01 | -509.57 | -0.18 | 12 | 84.50 |
| CRS | 2024-04-08 00:00:00 | 79.02 | 227 | 66.74 | 2025-03-03 00:00:00 | 170.71 | TRAILING_STOP | 116.03 | 20813.17 | 7.47 | 47 | 81.10 |
| FLS | 2024-04-08 00:00:00 | 48.26 | 354 | 40.35 | 2024-08-05 00:00:00 | 45.17 | TRAILING_STOP | -6.40 | -1092.74 | -0.39 | 17 | 80.40 |
| IGC | 2024-04-08 00:00:00 | 0.64 | 8914 | 0.33 | 2024-08-05 00:00:00 | 0.40 | TRAILING_STOP | -37.75 | -2157.90 | -0.77 | 17 | 81.40 |
| NWG | 2024-04-08 00:00:00 | 7.17 | 1902 | 5.70 | 2025-01-06 00:00:00 | 9.80 | TRAILING_STOP | 36.61 | 4995.96 | 1.79 | 39 | 81.00 |
| OUST | 2024-04-08 00:00:00 | 9.71 | 689 | 5.65 | 2024-08-12 00:00:00 | 9.25 | TRAILING_STOP | -4.74 | -317.27 | -0.11 | 18 | 88.20 |
| CMCM | 2024-04-01 00:00:00 | 2.93 | 3492 | 2.12 | 2024-07-22 00:00:00 | 3.45 | TRAILING_STOP | 17.93 | 1832.38 | 0.65 | 16 | 87.00 |
| GCTS | 2024-04-01 00:00:00 | 29.06 | 159 | 11.29 | 2024-04-08 00:00:00 | 7.86 | INITIAL_STOP | -72.94 | -3369.81 | -1.19 | 1 | 90.00 |
| NXL | 2024-04-01 00:00:00 | 1.44 | 2759 | 0.42 | 2024-05-27 00:00:00 | 0.73 | TRAILING_STOP | -49.35 | -1964.57 | -0.69 | 8 | 84.70 |
| WIMI | 2024-03-18 00:00:00 | 17.94 | 287 | 8.04 | 2024-04-01 00:00:00 | 8.07 | TRAILING_STOP | -55.02 | -2832.19 | -1.00 | 2 | 89.40 |
| SCNX | 2024-03-11 00:00:00 | 28.56 | 133 | 7.03 | 2024-04-08 00:00:00 | 8.29 | TRAILING_STOP | -70.95 | -2694.86 | -0.94 | 4 | 77.90 |
| SMWB | 2024-03-11 00:00:00 | 9.47 | 839 | 6.05 | 2024-07-01 00:00:00 | 7.23 | TRAILING_STOP | -23.64 | -1878.35 | -0.66 | 16 | 83.80 |
| SOUN | 2024-03-04 00:00:00 | 6.45 | 695 | 2.27 | 2024-06-24 00:00:00 | 3.91 | TRAILING_STOP | -39.38 | -1766.17 | -0.61 | 16 | 83.00 |
| LONA | 2024-02-26 00:00:00 | 39.58 | 178 | 23.34 | 2024-03-18 00:00:00 | 23.87 | TRAILING_STOP | -39.69 | -2796.44 | -0.97 | 3 | 76.50 |
| KOPN | 2024-02-19 00:00:00 | 2.69 | 2822 | 1.64 | 2024-04-01 00:00:00 | 1.76 | TRAILING_STOP | -34.63 | -2624.60 | -0.89 | 6 | 77.50 |
| VNT | 2024-02-19 00:00:00 | 40.67 | 385 | 33.04 | 2024-06-10 00:00:00 | 38.37 | TRAILING_STOP | -5.65 | -884.21 | -0.30 | 16 | 79.10 |