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 17 18 19 20 21 22 23
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| FOCL | 2006-01-09 00:00:00 | 6.46 | 519 | 3.98 | 2006-05-22 00:00:00 | 8.59 | TRAILING_STOP | 32.88 | 1103.04 | 0.85 | 19 | 75.40 |
| CNO | 2005-12-26 00:00:00 | 23.48 | 551 | 21.18 | 2006-01-16 00:00:00 | 23.55 | STAGE_EXIT | 0.32 | 41.84 | 0.03 | 3 | 75.00 |
| DAIO | 2005-12-19 00:00:00 | 4.76 | 581 | 2.59 | 2006-02-20 00:00:00 | 3.96 | TRAILING_STOP | -16.75 | -463.28 | -0.37 | 9 | 75.50 |
| PSEC | 2005-12-19 00:00:00 | 15.32 | 558 | 13.06 | 2006-05-22 00:00:00 | 15.89 | TRAILING_STOP | 3.70 | 316.71 | 0.25 | 22 | 77.40 |
| AEM | 2005-12-12 00:00:00 | 18.52 | 255 | 13.50 | 2006-06-12 00:00:00 | 26.08 | TRAILING_STOP | 40.86 | 1929.36 | 1.51 | 26 | 74.30 |
| BLKB | 2005-11-07 00:00:00 | 16.23 | 435 | 13.36 | 2006-05-08 00:00:00 | 17.87 | TRAILING_STOP | 10.07 | 710.86 | 0.57 | 26 | 77.30 |
| CHE | 2005-11-07 00:00:00 | 48.09 | 177 | 41.03 | 2006-05-15 00:00:00 | 52.66 | TRAILING_STOP | 9.51 | 809.13 | 0.65 | 27 | 75.30 |
| CB | 2005-10-31 00:00:00 | 51.65 | 180 | 44.77 | 2006-01-23 00:00:00 | 52.38 | TRAILING_STOP | 1.41 | 131.07 | 0.11 | 12 | 70.90 |
| SLB | 2005-10-31 00:00:00 | 44.65 | 204 | 38.58 | 2006-06-05 00:00:00 | 58.44 | TRAILING_STOP | 30.88 | 2813.32 | 2.27 | 31 | 73.60 |
| WRB | 2005-10-31 00:00:00 | 8.55 | 850 | 7.09 | 2006-04-24 00:00:00 | 11.04 | TRAILING_STOP | 29.17 | 2118.95 | 1.71 | 25 | 71.90 |
| HWKN | 2005-10-10 00:00:00 | 7.52 | 1012 | 6.28 | 2005-10-31 00:00:00 | 6.74 | STAGE_EXIT | -10.42 | -792.91 | -0.63 | 3 | 74.20 |
| BN | 2005-10-03 00:00:00 | 4.19 | 1695 | 3.43 | 2006-11-20 00:00:00 | 6.42 | STAGE_EXIT | 53.25 | 3778.71 | 2.93 | 59 | 71.90 |
| NEE | 2005-10-03 00:00:00 | 11.89 | 902 | 10.46 | 2005-10-10 00:00:00 | 11.04 | STAGE_EXIT | -7.12 | -762.96 | -0.59 | 1 | 75.20 |
| GPN | 2005-09-26 00:00:00 | 19.04 | 477 | 16.35 | 2006-04-10 00:00:00 | 23.55 | TRAILING_STOP | 23.70 | 2151.86 | 1.68 | 28 | 72.50 |
| BF-B | 2005-09-19 00:00:00 | 13.23 | 1125 | 12.08 | 2005-10-03 00:00:00 | 12.16 | TRAILING_STOP | -8.09 | -1204.89 | -0.93 | 2 | 72.20 |
| THRM | 2005-09-19 00:00:00 | 5.86 | 751 | 4.13 | 2006-01-09 00:00:00 | 4.97 | TRAILING_STOP | -15.30 | -673.38 | -0.52 | 16 | 72.40 |
| TRP | 2005-09-19 00:00:00 | 30.26 | 285 | 25.71 | 2006-01-30 00:00:00 | 30.64 | STAGE_EXIT | 1.25 | 107.79 | 0.08 | 19 | 80.50 |
| YHGJ | 2005-09-19 00:00:00 | 52.40 | 38 | 18.82 | 2005-12-19 00:00:00 | 28.24 | TRAILING_STOP | -46.11 | -918.21 | -0.72 | 13 | 80.00 |
| PESI | 2005-09-12 00:00:00 | 13.53 | 310 | 9.27 | 2005-10-03 00:00:00 | 9.49 | TRAILING_STOP | -29.81 | -1249.97 | -0.95 | 3 | 76.70 |
| MDU | 2005-09-05 00:00:00 | 8.30 | 1147 | 7.17 | 2006-03-06 00:00:00 | 8.43 | TRAILING_STOP | 1.50 | 143.06 | 0.11 | 26 | 74.90 |
| BP | 2005-08-15 00:00:00 | 70.04 | 178 | 62.73 | 2005-09-05 00:00:00 | 70.60 | STAGE_EXIT | 0.80 | 99.45 | 0.08 | 3 | 75.20 |
| WHR | 2005-08-15 00:00:00 | 84.58 | 77 | 67.84 | 2005-10-03 00:00:00 | 73.55 | STAGE_EXIT | -13.04 | -849.02 | -0.66 | 7 | 74.80 |
| SBR | 2005-07-11 00:00:00 | 47.60 | 150 | 38.93 | 2005-10-17 00:00:00 | 43.22 | TRAILING_STOP | -9.18 | -655.69 | -0.50 | 14 | 80.80 |
| APA | 2005-06-20 00:00:00 | 67.13 | 122 | 56.48 | 2005-10-03 00:00:00 | 66.01 | TRAILING_STOP | -1.68 | -137.69 | -0.11 | 15 | 73.00 |
| EQT | 2005-06-20 00:00:00 | 18.37 | 585 | 16.13 | 2005-12-26 00:00:00 | 19.72 | TRAILING_STOP | 7.33 | 788.08 | 0.60 | 27 | 71.80 |
| CPK | 2005-06-13 00:00:00 | 20.42 | 515 | 17.97 | 2005-08-15 00:00:00 | 20.47 | STAGE_EXIT | 0.25 | 26.55 | 0.02 | 9 | 72.70 |
| BCPC | 2005-05-09 00:00:00 | 7.88 | 912 | 6.58 | 2005-09-19 00:00:00 | 8.69 | TRAILING_STOP | 10.30 | 740.50 | 0.62 | 19 | 70.50 |
| FRT | 2005-05-09 00:00:00 | 54.56 | 249 | 49.81 | 2005-09-19 00:00:00 | 58.59 | TRAILING_STOP | 7.38 | 1003.14 | 0.85 | 19 | 73.50 |
| GLW | 2005-05-09 00:00:00 | 14.75 | 387 | 11.69 | 2006-05-08 00:00:00 | 25.45 | TRAILING_STOP | 72.55 | 4141.44 | 3.50 | 52 | 71.30 |
| INTG | 2005-05-09 00:00:00 | 16.93 | 471 | 14.42 | 2005-07-04 00:00:00 | 15.71 | TRAILING_STOP | -7.21 | -574.81 | -0.48 | 8 | 72.00 |
| LYTS | 2005-05-09 00:00:00 | 13.28 | 523 | 11.01 | 2005-12-19 00:00:00 | 16.07 | TRAILING_STOP | 21.02 | 1459.38 | 1.23 | 32 | 73.10 |
| PLBC | 2005-05-09 00:00:00 | 18.04 | 335 | 14.49 | 2005-12-12 00:00:00 | 20.60 | TRAILING_STOP | 14.23 | 859.82 | 0.72 | 31 | 74.80 |
| SPG | 2005-05-09 00:00:00 | 61.57 | 269 | 57.17 | 2005-09-19 00:00:00 | 66.50 | TRAILING_STOP | 8.01 | 1326.57 | 1.12 | 19 | 71.20 |
| HNI | 2005-04-25 00:00:00 | 49.94 | 155 | 42.45 | 2005-10-10 00:00:00 | 55.78 | TRAILING_STOP | 11.69 | 904.84 | 0.78 | 24 | 73.10 |
| AIFF | 2005-04-11 00:00:00 | 16.53 | 195 | 10.42 | 2005-06-20 00:00:00 | 11.98 | TRAILING_STOP | -27.56 | -888.62 | -0.75 | 10 | 70.80 |
| ARTW | 2005-04-11 00:00:00 | 4.65 | 721 | 3.00 | 2005-04-25 00:00:00 | 3.06 | TRAILING_STOP | -34.21 | -1147.84 | -0.96 | 2 | 77.20 |
| ROL | 2005-04-11 00:00:00 | 2.57 | 3780 | 2.25 | 2005-04-18 00:00:00 | 2.38 | STAGE_EXIT | -7.21 | -699.47 | -0.58 | 1 | 71.00 |
| CVV | 2005-04-04 00:00:00 | 4.21 | 397 | 1.20 | 2005-06-20 00:00:00 | 2.01 | TRAILING_STOP | -52.19 | -871.90 | -0.73 | 11 | 78.80 |
| CMT | 2005-03-28 00:00:00 | 4.80 | 648 | 2.95 | 2005-08-15 00:00:00 | 6.63 | TRAILING_STOP | 38.13 | 1185.90 | 0.99 | 20 | 80.10 |
| PUK | 2005-03-14 00:00:00 | 18.71 | 493 | 16.30 | 2005-04-18 00:00:00 | 17.90 | STAGE_EXIT | -4.33 | -399.51 | -0.34 | 5 | 73.90 |
| SLB | 2005-03-07 00:00:00 | 38.58 | 221 | 33.12 | 2005-03-28 00:00:00 | 35.74 | STAGE_EXIT | -7.36 | -627.33 | -0.52 | 3 | 79.00 |
| PFBC | 2005-02-21 00:00:00 | 134.44 | 20 | 74.99 | 2005-04-11 00:00:00 | 125.78 | TRAILING_STOP | -6.44 | -173.07 | -0.15 | 7 | 79.40 |
| PAR | 2005-01-31 00:00:00 | 8.82 | 819 | 7.42 | 2005-09-12 00:00:00 | 15.81 | TRAILING_STOP | 79.36 | 5730.85 | 4.99 | 32 | 72.80 |
| YPF | 2005-01-24 00:00:00 | 48.71 | 151 | 41.18 | 2005-09-19 00:00:00 | 67.86 | STAGE_EXIT | 39.33 | 2892.67 | 2.55 | 34 | 77.70 |
| DJCO | 2005-01-17 00:00:00 | 45.09 | 113 | 34.85 | 2005-04-04 00:00:00 | 43.44 | TRAILING_STOP | -3.65 | -185.98 | -0.16 | 11 | 73.20 |
| TCX | 2005-01-17 00:00:00 | 5.29 | 410 | 2.46 | 2005-04-18 00:00:00 | 3.38 | TRAILING_STOP | -36.18 | -784.87 | -0.68 | 13 | 77.00 |
| UNF | 2005-01-17 00:00:00 | 36.93 | 138 | 28.56 | 2005-04-25 00:00:00 | 37.24 | TRAILING_STOP | 0.82 | 41.97 | 0.04 | 14 | 73.90 |
| NEE | 2004-12-20 00:00:00 | 9.36 | 1233 | 8.44 | 2005-06-06 00:00:00 | 10.23 | STAGE_EXIT | 9.25 | 1067.56 | 0.94 | 24 | 77.50 |
| NNN | 2004-12-06 00:00:00 | 20.88 | 372 | 17.86 | 2005-01-10 00:00:00 | 18.44 | TRAILING_STOP | -11.70 | -908.60 | -0.81 | 5 | 76.00 |
| SABA | 2004-12-06 00:00:00 | 20.04 | 390 | 17.16 | 2005-03-14 00:00:00 | 18.81 | TRAILING_STOP | -6.15 | -480.63 | -0.43 | 14 | 76.10 |