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 18 19 20 21 22 23 24
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BOOM | 2004-11-15 00:00:00 | 4.87 | 351 | 1.74 | 2005-09-19 00:00:00 | 17.42 | TRAILING_STOP | 257.81 | 4406.67 | 4.02 | 44 | 77.30 |
| NRP | 2004-11-08 00:00:00 | 245.49 | 22 | 196.33 | 2005-03-28 00:00:00 | 254.91 | TRAILING_STOP | 3.84 | 207.18 | 0.19 | 20 | 76.20 |
| BMRC | 2004-10-25 00:00:00 | 15.95 | 541 | 13.99 | 2005-02-21 00:00:00 | 16.44 | TRAILING_STOP | 3.06 | 263.67 | 0.25 | 17 | 71.70 |
| CVX | 2004-09-27 00:00:00 | 53.14 | 149 | 46.39 | 2004-12-06 00:00:00 | 51.44 | TRAILING_STOP | -3.20 | -253.02 | -0.25 | 10 | 78.10 |
| CLH | 2004-08-23 00:00:00 | 5.44 | 740 | 4.13 | 2005-04-11 00:00:00 | 8.34 | TRAILING_STOP | 53.22 | 2142.64 | 2.22 | 33 | 72.50 |
| TDY | 2004-08-23 00:00:00 | 24.40 | 209 | 19.77 | 2005-01-10 00:00:00 | 27.42 | TRAILING_STOP | 12.37 | 630.83 | 0.65 | 20 | 73.10 |
| SAM | 2004-08-09 00:00:00 | 22.90 | 275 | 19.45 | 2004-11-08 00:00:00 | 21.69 | TRAILING_STOP | -5.25 | -330.84 | -0.35 | 13 | 74.30 |
| CRS | 2004-08-02 00:00:00 | 21.49 | 170 | 15.77 | 2005-01-10 00:00:00 | 26.07 | TRAILING_STOP | 21.28 | 777.51 | 0.80 | 23 | 76.00 |
| PBT | 2004-07-26 00:00:00 | 10.57 | 532 | 8.75 | 2005-03-28 00:00:00 | 13.38 | TRAILING_STOP | 26.56 | 1493.53 | 1.55 | 35 | 81.90 |
| NEN | 2004-07-19 00:00:00 | 23.98 | 206 | 19.30 | 2005-04-11 00:00:00 | 30.30 | TRAILING_STOP | 26.36 | 1302.36 | 1.35 | 38 | 72.60 |
| AIRT | 2004-07-05 00:00:00 | 9.93 | 162 | 3.83 | 2004-12-20 00:00:00 | 11.91 | STAGE_EXIT | 19.98 | 321.24 | 0.33 | 24 | 78.00 |
| ROCK | 2004-06-14 00:00:00 | 20.14 | 280 | 16.62 | 2004-12-06 00:00:00 | 21.56 | TRAILING_STOP | 7.03 | 396.34 | 0.40 | 25 | 70.50 |
| GPC | 2004-06-07 00:00:00 | 39.58 | 210 | 34.87 | 2004-07-19 00:00:00 | 37.43 | STAGE_EXIT | -5.42 | -450.24 | -0.46 | 6 | 74.30 |
| ACU | 2004-05-31 00:00:00 | 7.10 | 693 | 5.69 | 2005-03-07 00:00:00 | 15.54 | TRAILING_STOP | 118.75 | 5846.44 | 5.96 | 40 | 74.50 |
| AIOT | 2004-05-24 00:00:00 | 12.73 | 187 | 7.60 | 2005-01-24 00:00:00 | 14.77 | TRAILING_STOP | 16.09 | 382.84 | 0.40 | 35 | 72.50 |
| DXR | 2004-05-17 00:00:00 | 19.04 | 237 | 14.99 | 2004-11-15 00:00:00 | 21.12 | TRAILING_STOP | 10.94 | 493.51 | 0.51 | 26 | 72.90 |
| UFCS | 2004-05-10 00:00:00 | 24.16 | 285 | 20.83 | 2004-09-27 00:00:00 | 28.13 | TRAILING_STOP | 16.40 | 1129.68 | 1.19 | 20 | 75.10 |
| ANIX | 2004-05-03 00:00:00 | 27.56 | 66 | 13.10 | 2004-07-12 00:00:00 | 16.05 | TRAILING_STOP | -41.77 | -759.63 | -0.80 | 10 | 75.40 |
| ACNT | 2004-04-26 00:00:00 | 9.49 | 351 | 6.67 | 2004-10-25 00:00:00 | 9.44 | TRAILING_STOP | -0.49 | -16.41 | -0.02 | 26 | 77.10 |
| KTCC | 2004-04-19 00:00:00 | 3.50 | 1002 | 2.49 | 2004-07-19 00:00:00 | 3.10 | TRAILING_STOP | -11.49 | -402.57 | -0.40 | 13 | 74.90 |
| UFPT | 2004-04-05 00:00:00 | 2.81 | 1097 | 1.89 | 2004-07-19 00:00:00 | 2.58 | TRAILING_STOP | -8.20 | -252.38 | -0.25 | 15 | 77.90 |
| SNT | 2004-03-22 00:00:00 | 13.35 | 184 | 8.14 | 2004-07-19 00:00:00 | 15.23 | TRAILING_STOP | 14.05 | 345.13 | 0.36 | 17 | 74.10 |
| VGZ | 2004-03-22 00:00:00 | 6.00 | 596 | 4.39 | 2004-04-19 00:00:00 | 4.54 | TRAILING_STOP | -24.31 | -869.54 | -0.91 | 4 | 80.00 |
| LSTR | 2004-03-15 00:00:00 | 20.54 | 317 | 17.48 | 2005-01-24 00:00:00 | 30.56 | TRAILING_STOP | 48.78 | 3176.41 | 3.27 | 45 | 73.80 |
| AAPL | 2004-03-08 00:00:00 | 0.48 | 12240 | 0.39 | 2005-04-11 00:00:00 | 1.38 | TRAILING_STOP | 189.12 | 11025.60 | 10.84 | 57 | 80.90 |
| CLWT | 2004-03-08 00:00:00 | 17.82 | 94 | 7.09 | 2004-06-14 00:00:00 | 11.23 | TRAILING_STOP | -36.96 | -619.00 | -0.61 | 14 | 86.50 |
| LECO | 2004-03-08 00:00:00 | 13.68 | 708 | 12.24 | 2004-08-23 00:00:00 | 14.96 | TRAILING_STOP | 9.36 | 906.76 | 0.89 | 24 | 80.30 |
| WSBC | 2004-03-01 00:00:00 | 30.13 | 253 | 26.28 | 2004-04-19 00:00:00 | 27.95 | TRAILING_STOP | -7.23 | -550.76 | -0.57 | 7 | 80.50 |
| HTO | 2004-02-23 00:00:00 | 18.59 | 252 | 14.73 | 2004-05-03 00:00:00 | 17.09 | TRAILING_STOP | -8.08 | -378.61 | -0.39 | 10 | 80.10 |
| ITIC | 2004-02-09 00:00:00 | 35.07 | 215 | 30.52 | 2004-03-15 00:00:00 | 32.93 | STAGE_EXIT | -6.09 | -459.24 | -0.47 | 5 | 74.80 |
| MPB | 2004-02-02 00:00:00 | 28.03 | 151 | 21.46 | 2004-05-10 00:00:00 | 24.77 | TRAILING_STOP | -11.63 | -492.23 | -0.50 | 14 | 82.00 |
| LPTH | 2004-01-26 00:00:00 | 4.44 | 674 | 2.91 | 2004-05-03 00:00:00 | 4.20 | TRAILING_STOP | -5.45 | -163.15 | -0.16 | 14 | 84.00 |
| SBGI | 2004-01-05 00:00:00 | 15.08 | 280 | 11.46 | 2004-03-08 00:00:00 | 12.08 | TRAILING_STOP | -19.92 | -841.24 | -0.83 | 9 | 75.20 |
| SIM | 2004-01-05 00:00:00 | 2.71 | 726 | 1.31 | 2004-05-17 00:00:00 | 2.25 | TRAILING_STOP | -16.66 | -327.14 | -0.32 | 19 | 83.20 |
| SNFCA | 2004-01-05 00:00:00 | 2.97 | 1718 | 2.38 | 2004-03-22 00:00:00 | 2.71 | TRAILING_STOP | -9.01 | -460.47 | -0.45 | 11 | 74.00 |
| SNY | 2004-01-05 00:00:00 | 38.54 | 138 | 31.21 | 2004-03-01 00:00:00 | 33.51 | TRAILING_STOP | -13.03 | -693.15 | -0.69 | 8 | 76.40 |
| PZZA | 2003-12-15 00:00:00 | 8.15 | 594 | 6.47 | 2004-04-05 00:00:00 | 7.88 | TRAILING_STOP | -3.33 | -161.42 | -0.16 | 16 | 83.10 |
| CSL | 2003-10-27 00:00:00 | 26.98 | 195 | 22.32 | 2004-03-15 00:00:00 | 27.25 | TRAILING_STOP | 1.02 | 53.59 | 0.06 | 20 | 78.70 |
| DRS | 2003-10-27 00:00:00 | 6.07 | 424 | 3.92 | 2004-03-08 00:00:00 | 8.40 | TRAILING_STOP | 38.35 | 987.39 | 1.08 | 19 | 85.30 |
| HIW | 2003-10-13 00:00:00 | 25.90 | 243 | 22.18 | 2004-02-23 00:00:00 | 25.72 | STAGE_EXIT | -0.71 | -44.53 | -0.05 | 19 | 80.10 |
| KEP | 2003-09-29 00:00:00 | 10.58 | 552 | 8.96 | 2003-12-15 00:00:00 | 10.42 | STAGE_EXIT | -1.53 | -89.42 | -0.10 | 11 | 82.70 |
| SOTK | 2003-09-29 00:00:00 | 0.51 | 2986 | 0.21 | 2003-10-27 00:00:00 | 0.24 | TRAILING_STOP | -52.13 | -795.50 | -0.89 | 4 | 86.30 |
| SCCO | 2003-09-22 00:00:00 | 3.22 | 1325 | 2.53 | 2004-03-08 00:00:00 | 5.68 | TRAILING_STOP | 76.34 | 3259.28 | 3.58 | 24 | 84.10 |
| SNEX | 2003-08-18 00:00:00 | 0.67 | 3914 | 0.45 | 2004-05-17 00:00:00 | 1.21 | TRAILING_STOP | 79.64 | 2097.61 | 2.37 | 39 | 74.80 |
| AEIS | 2003-07-28 00:00:00 | 19.55 | 116 | 11.96 | 2004-01-26 00:00:00 | 22.95 | TRAILING_STOP | 17.39 | 394.34 | 0.45 | 26 | 75.70 |
| GTIM | 2003-07-28 00:00:00 | 11.87 | 210 | 7.69 | 2004-01-05 00:00:00 | 10.65 | TRAILING_STOP | -10.31 | -256.97 | -0.29 | 23 | 87.10 |
| MAR | 2003-07-28 00:00:00 | 19.05 | 556 | 17.47 | 2004-02-09 00:00:00 | 20.71 | STAGE_EXIT | 8.73 | 925.02 | 1.05 | 28 | 78.10 |
| AIT | 2003-07-14 00:00:00 | 10.06 | 432 | 8.03 | 2003-09-22 00:00:00 | 9.21 | TRAILING_STOP | -8.48 | -368.85 | -0.42 | 10 | 72.10 |
| CLWT | 2003-07-14 00:00:00 | 7.09 | 246 | 3.51 | 2003-10-27 00:00:00 | 5.33 | TRAILING_STOP | -24.76 | -431.50 | -0.49 | 15 | 82.30 |
| FLL | 2003-06-23 00:00:00 | 1.10 | 1537 | 0.54 | 2003-10-13 00:00:00 | 0.85 | TRAILING_STOP | -23.18 | -392.69 | -0.45 | 16 | 83.10 |