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 19 20 21 22 23 24 25
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| KINS | 2003-06-16 00:00:00 | 3.11 | 721 | 1.89 | 2004-01-05 00:00:00 | 4.20 | TRAILING_STOP | 35.07 | 785.36 | 0.90 | 29 | 78.10 |
| ORLY | 2003-06-16 00:00:00 | 1.15 | 4487 | 0.95 | 2003-12-29 00:00:00 | 1.26 | STAGE_EXIT | 9.76 | 503.34 | 0.58 | 28 | 73.20 |
| EXC | 2003-05-26 00:00:00 | 20.97 | 319 | 18.25 | 2003-07-14 00:00:00 | 19.79 | STAGE_EXIT | -5.63 | -376.40 | -0.43 | 7 | 82.50 |
| SILC | 2003-05-12 00:00:00 | 0.79 | 2142 | 0.38 | 2004-05-10 00:00:00 | 2.08 | TRAILING_STOP | 162.98 | 2763.39 | 3.16 | 52 | 85.50 |
| PETS | 2003-04-28 00:00:00 | 3.76 | 521 | 2.09 | 2003-12-29 00:00:00 | 7.13 | TRAILING_STOP | 89.80 | 1758.01 | 2.03 | 35 | 71.60 |
| NTIC | 2003-04-21 00:00:00 | 2.53 | 1066 | 1.74 | 2003-07-14 00:00:00 | 2.56 | TRAILING_STOP | 1.26 | 34.02 | 0.04 | 12 | 75.60 |
| FLL | 2003-04-14 00:00:00 | 0.75 | 3298 | 0.50 | 2003-05-12 00:00:00 | 0.51 | TRAILING_STOP | -31.99 | -792.94 | -0.94 | 4 | 77.60 |
| APT | 2003-04-07 00:00:00 | 1.53 | 1334 | 0.90 | 2003-07-28 00:00:00 | 1.58 | TRAILING_STOP | 2.84 | 58.04 | 0.07 | 16 | 77.10 |
| RDWR | 2003-04-07 00:00:00 | 5.89 | 495 | 4.18 | 2004-02-02 00:00:00 | 11.42 | TRAILING_STOP | 93.94 | 2737.38 | 3.25 | 43 | 79.60 |
| WINA | 2003-03-31 00:00:00 | 12.32 | 382 | 10.12 | 2004-06-28 00:00:00 | 23.48 | TRAILING_STOP | 90.55 | 4263.15 | 5.07 | 65 | 70.80 |
| HOPE | 2003-03-10 00:00:00 | 6.17 | 775 | 5.11 | 2003-09-29 00:00:00 | 8.59 | TRAILING_STOP | 39.22 | 1875.28 | 2.29 | 29 | 70.00 |
| GABC | 2003-02-24 00:00:00 | 12.09 | 498 | 10.43 | 2003-03-24 00:00:00 | 11.04 | STAGE_EXIT | -8.73 | -525.78 | -0.64 | 4 | 72.80 |
| CNOB | 2003-02-17 00:00:00 | 12.95 | 272 | 9.97 | 2003-06-16 00:00:00 | 12.31 | TRAILING_STOP | -4.90 | -172.67 | -0.21 | 17 | 71.40 |
| CFFI | 2003-02-03 00:00:00 | 26.10 | 270 | 23.07 | 2003-06-23 00:00:00 | 37.98 | TRAILING_STOP | 45.52 | 3207.74 | 3.92 | 20 | 75.50 |
| SHBI | 2003-01-20 00:00:00 | 18.60 | 208 | 14.70 | 2003-05-26 00:00:00 | 19.36 | TRAILING_STOP | 4.08 | 157.66 | 0.19 | 18 | 78.70 |
| GRMN | 2003-01-06 00:00:00 | 15.48 | 171 | 10.80 | 2003-07-28 00:00:00 | 19.00 | TRAILING_STOP | 22.73 | 601.81 | 0.75 | 29 | 72.70 |
| PBT | 2003-01-06 00:00:00 | 6.70 | 580 | 5.32 | 2003-03-10 00:00:00 | 5.82 | TRAILING_STOP | -13.16 | -511.57 | -0.64 | 9 | 73.80 |
| CRT | 2002-12-30 00:00:00 | 20.24 | 257 | 17.16 | 2003-03-17 00:00:00 | 18.65 | TRAILING_STOP | -7.86 | -408.63 | -0.52 | 11 | 71.20 |
| FWDI | 2002-12-23 00:00:00 | 12.02 | 213 | 8.28 | 2003-06-16 00:00:00 | 16.74 | TRAILING_STOP | 39.18 | 1003.56 | 1.26 | 25 | 72.30 |
| SLP | 2002-12-16 00:00:00 | 0.58 | 3438 | 0.35 | 2003-04-28 00:00:00 | 0.57 | TRAILING_STOP | -1.33 | -26.38 | -0.03 | 19 | 77.30 |
| ECPG | 2002-12-09 00:00:00 | 1.30 | 1501 | 0.77 | 2003-02-10 00:00:00 | 1.09 | TRAILING_STOP | -16.14 | -315.64 | -0.40 | 9 | 71.80 |
| PNBK | 2002-12-09 00:00:00 | 103.31 | 43 | 85.07 | 2003-03-31 00:00:00 | 94.34 | TRAILING_STOP | -8.68 | -385.72 | -0.49 | 16 | 75.90 |
| CCNE | 2002-11-25 00:00:00 | 12.75 | 317 | 10.24 | 2003-09-29 00:00:00 | 17.34 | TRAILING_STOP | 36.03 | 1455.79 | 1.83 | 44 | 72.20 |
| DAKT | 2002-11-25 00:00:00 | 5.76 | 775 | 4.73 | 2003-04-14 00:00:00 | 7.05 | TRAILING_STOP | 22.28 | 995.03 | 1.25 | 20 | 70.60 |
| DIOD | 2002-11-25 00:00:00 | 3.18 | 1219 | 2.52 | 2002-12-23 00:00:00 | 2.83 | STAGE_EXIT | -10.92 | -422.78 | -0.53 | 4 | 71.00 |
| INFY | 2002-11-25 00:00:00 | 2.65 | 1020 | 1.86 | 2002-12-23 00:00:00 | 2.23 | STAGE_EXIT | -15.90 | -429.09 | -0.54 | 4 | 72.40 |
| QCRH | 2002-11-25 00:00:00 | 10.85 | 634 | 9.60 | 2002-12-30 00:00:00 | 11.33 | STAGE_EXIT | 4.38 | 301.55 | 0.38 | 5 | 71.40 |
| WDC | 2002-11-25 00:00:00 | 6.16 | 332 | 3.76 | 2003-07-28 00:00:00 | 7.07 | TRAILING_STOP | 14.86 | 303.86 | 0.38 | 35 | 71.80 |
| IDCC | 2002-11-11 00:00:00 | 14.78 | 167 | 10.05 | 2003-02-03 00:00:00 | 11.74 | TRAILING_STOP | -20.58 | -507.87 | -0.64 | 12 | 75.20 |
| RYAAY | 2002-11-11 00:00:00 | 8.84 | 365 | 6.67 | 2003-01-20 00:00:00 | 7.43 | TRAILING_STOP | -16.01 | -516.53 | -0.65 | 10 | 73.00 |
| WT | 2002-11-11 00:00:00 | 0.14 | 8376 | 0.05 | 2003-04-21 00:00:00 | 0.11 | TRAILING_STOP | -20.48 | -240.66 | -0.30 | 23 | 77.10 |
| BGC | 2002-11-04 00:00:00 | 9.38 | 309 | 6.82 | 2003-02-10 00:00:00 | 8.28 | TRAILING_STOP | -11.66 | -337.83 | -0.43 | 14 | 77.10 |
| MZTI | 2002-09-09 00:00:00 | 44.21 | 114 | 37.25 | 2002-10-28 00:00:00 | 39.25 | TRAILING_STOP | -11.22 | -565.42 | -0.71 | 7 | 73.10 |
| BYFC | 2002-08-26 00:00:00 | 64.53 | 81 | 54.71 | 2003-08-18 00:00:00 | 95.81 | STAGE_EXIT | 48.47 | 2533.62 | 3.18 | 51 | 71.40 |
| GHC | 2002-08-19 00:00:00 | 400.50 | 18 | 357.51 | 2002-09-09 00:00:00 | 380.51 | STAGE_EXIT | -4.99 | -359.73 | -0.46 | 3 | 70.90 |
| MRTN | 2002-07-22 00:00:00 | 1.69 | 2712 | 1.39 | 2002-07-29 00:00:00 | 1.51 | STAGE_EXIT | -10.64 | -486.59 | -0.60 | 1 | 74.00 |
| LOAN | 2002-07-15 00:00:00 | 1.82 | 2284 | 1.44 | 2002-08-12 00:00:00 | 1.61 | STAGE_EXIT | -11.89 | -495.31 | -0.57 | 4 | 76.30 |
| TCI | 2002-07-08 00:00:00 | 21.49 | 186 | 16.75 | 2002-08-26 00:00:00 | 17.49 | TRAILING_STOP | -18.64 | -745.36 | -0.85 | 7 | 75.70 |
| TTE | 2002-07-08 00:00:00 | 41.43 | 188 | 36.73 | 2002-07-15 00:00:00 | 36.66 | INITIAL_STOP | -11.52 | -897.15 | -1.02 | 1 | 72.50 |
| AKR | 2002-07-01 00:00:00 | 8.17 | 664 | 6.77 | 2002-07-22 00:00:00 | 6.87 | TRAILING_STOP | -15.90 | -862.08 | -0.93 | 3 | 79.60 |
| SFNC | 2002-07-01 00:00:00 | 10.52 | 420 | 8.31 | 2002-08-05 00:00:00 | 9.36 | STAGE_EXIT | -11.07 | -489.20 | -0.53 | 5 | 73.00 |
| WST | 2002-07-01 00:00:00 | 8.01 | 938 | 7.02 | 2002-07-08 00:00:00 | 7.10 | TRAILING_STOP | -11.42 | -858.48 | -0.92 | 1 | 74.20 |
| CVLG | 2002-06-17 00:00:00 | 8.57 | 1189 | 7.82 | 2002-07-22 00:00:00 | 8.27 | TRAILING_STOP | -3.57 | -363.40 | -0.41 | 5 | 74.00 |
| ALX | 2002-06-10 00:00:00 | 74.15 | 66 | 60.84 | 2002-08-26 00:00:00 | 65.90 | TRAILING_STOP | -11.13 | -544.47 | -0.62 | 11 | 73.40 |
| VIRC | 2002-06-03 00:00:00 | 13.63 | 196 | 8.95 | 2002-07-15 00:00:00 | 9.80 | TRAILING_STOP | -28.10 | -750.64 | -0.82 | 6 | 80.60 |
| TDY | 2002-05-20 00:00:00 | 20.16 | 230 | 16.26 | 2002-07-08 00:00:00 | 17.29 | TRAILING_STOP | -14.24 | -660.24 | -0.74 | 7 | 72.80 |
| ANDE | 2002-04-29 00:00:00 | 3.45 | 5432 | 3.29 | 2002-09-30 00:00:00 | 4.20 | TRAILING_STOP | 21.77 | 4075.32 | 4.81 | 22 | 77.40 |
| MATV | 2002-04-29 00:00:00 | 13.79 | 390 | 11.62 | 2002-06-24 00:00:00 | 12.29 | TRAILING_STOP | -10.90 | -586.44 | -0.69 | 8 | 77.10 |
| CNTY | 2002-03-25 00:00:00 | 3.08 | 959 | 2.22 | 2002-06-17 00:00:00 | 2.65 | TRAILING_STOP | -13.95 | -411.51 | -0.50 | 12 | 76.90 |
| PGC | 2002-03-18 00:00:00 | 19.82 | 164 | 14.86 | 2002-10-21 00:00:00 | 23.35 | TRAILING_STOP | 17.82 | 579.00 | 0.71 | 31 | 77.10 |