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 20 21 22 23 24 25 26
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TLF | 2002-03-18 00:00:00 | 3.50 | 652 | 2.25 | 2002-06-24 00:00:00 | 2.85 | TRAILING_STOP | -18.50 | -421.87 | -0.52 | 14 | 74.60 |
| NSYS | 2002-03-11 00:00:00 | 10.04 | 220 | 6.37 | 2002-06-03 00:00:00 | 10.23 | TRAILING_STOP | 1.87 | 41.35 | 0.05 | 12 | 75.80 |
| CHCO | 2002-03-04 00:00:00 | 16.03 | 181 | 11.60 | 2002-10-07 00:00:00 | 23.91 | TRAILING_STOP | 49.15 | 1426.22 | 1.78 | 31 | 74.80 |
| AVY | 2002-02-18 00:00:00 | 62.33 | 82 | 52.93 | 2002-07-01 00:00:00 | 60.96 | TRAILING_STOP | -2.20 | -112.30 | -0.15 | 19 | 73.90 |
| GROW | 2002-02-18 00:00:00 | 0.75 | 3218 | 0.51 | 2002-07-15 00:00:00 | 0.99 | TRAILING_STOP | 32.14 | 777.18 | 1.00 | 21 | 73.60 |
| RCKY | 2002-02-18 00:00:00 | 6.96 | 643 | 5.76 | 2002-03-18 00:00:00 | 6.81 | STAGE_EXIT | -2.26 | -101.30 | -0.13 | 4 | 75.30 |
| CULP | 2002-02-04 00:00:00 | 6.01 | 332 | 3.69 | 2002-07-22 00:00:00 | 9.24 | TRAILING_STOP | 53.72 | 1072.23 | 1.39 | 24 | 74.30 |
| R | 2002-01-28 00:00:00 | 24.53 | 189 | 20.53 | 2002-06-10 00:00:00 | 27.59 | STAGE_EXIT | 12.46 | 577.75 | 0.76 | 19 | 73.20 |
| GFI | 2002-01-21 00:00:00 | 5.05 | 665 | 3.93 | 2002-07-22 00:00:00 | 9.19 | TRAILING_STOP | 82.11 | 2756.89 | 3.70 | 26 | 75.60 |
| FRPH | 2002-01-07 00:00:00 | 3.92 | 808 | 2.99 | 2002-06-10 00:00:00 | 4.63 | TRAILING_STOP | 18.08 | 573.31 | 0.76 | 22 | 75.20 |
| JBHT | 2002-01-07 00:00:00 | 6.74 | 395 | 4.83 | 2002-02-18 00:00:00 | 6.04 | STAGE_EXIT | -10.29 | -273.76 | -0.36 | 6 | 74.30 |
| SNDA | 2001-12-31 00:00:00 | 45.09 | 48 | 29.61 | 2002-03-25 00:00:00 | 49.45 | TRAILING_STOP | 9.67 | 209.37 | 0.28 | 12 | 77.80 |
| MAYS | 2001-12-17 00:00:00 | 12.78 | 266 | 9.97 | 2002-03-18 00:00:00 | 11.98 | STAGE_EXIT | -6.26 | -212.67 | -0.29 | 13 | 71.60 |
| UNB | 2001-12-17 00:00:00 | 15.03 | 342 | 12.84 | 2002-02-18 00:00:00 | 14.50 | STAGE_EXIT | -3.50 | -179.80 | -0.24 | 9 | 77.20 |
| LZB | 2001-12-10 00:00:00 | 22.44 | 201 | 18.70 | 2001-12-17 00:00:00 | 21.57 | STAGE_EXIT | -3.91 | -176.48 | -0.23 | 1 | 71.80 |
| MSM | 2001-12-10 00:00:00 | 19.37 | 334 | 17.12 | 2002-04-29 00:00:00 | 19.70 | TRAILING_STOP | 1.69 | 109.45 | 0.15 | 20 | 72.30 |
| PKX | 2001-12-10 00:00:00 | 22.80 | 175 | 18.50 | 2001-12-17 00:00:00 | 22.02 | STAGE_EXIT | -3.42 | -136.43 | -0.18 | 1 | 73.50 |
| SKY | 2001-12-03 00:00:00 | 30.36 | 173 | 26.04 | 2002-02-04 00:00:00 | 27.78 | TRAILING_STOP | -8.50 | -446.71 | -0.60 | 9 | 72.40 |
| HDSN | 2001-11-12 00:00:00 | 3.92 | 527 | 2.50 | 2001-11-26 00:00:00 | 2.52 | TRAILING_STOP | -35.56 | -734.25 | -0.98 | 2 | 76.40 |
| MTEX | 2001-10-29 00:00:00 | 25.95 | 50 | 11.27 | 2002-01-21 00:00:00 | 23.93 | TRAILING_STOP | -7.78 | -101.01 | -0.14 | 12 | 78.20 |
| CBRL | 2001-10-22 00:00:00 | 24.32 | 142 | 19.19 | 2002-03-11 00:00:00 | 27.80 | TRAILING_STOP | 14.33 | 494.98 | 0.68 | 20 | 71.20 |
| CECO | 2001-10-22 00:00:00 | 3.06 | 713 | 2.03 | 2002-04-29 00:00:00 | 3.37 | TRAILING_STOP | 10.14 | 220.94 | 0.30 | 27 | 75.20 |
| ICCC | 2001-10-22 00:00:00 | 5.10 | 299 | 2.65 | 2002-03-04 00:00:00 | 3.15 | TRAILING_STOP | -38.16 | -581.97 | -0.79 | 19 | 75.90 |
| MCRI | 2001-10-22 00:00:00 | 3.13 | 2122 | 2.78 | 2002-07-08 00:00:00 | 5.50 | TRAILING_STOP | 75.81 | 5029.29 | 6.85 | 37 | 74.00 |
| YUM | 2001-10-22 00:00:00 | 8.93 | 586 | 7.68 | 2001-12-10 00:00:00 | 9.29 | STAGE_EXIT | 4.02 | 210.36 | 0.29 | 7 | 71.10 |
| AJG | 2001-10-15 00:00:00 | 36.47 | 81 | 27.56 | 2001-12-31 00:00:00 | 32.67 | TRAILING_STOP | -10.43 | -308.02 | -0.43 | 11 | 73.80 |
| ESLT | 2001-10-08 00:00:00 | 19.48 | 182 | 15.47 | 2002-01-28 00:00:00 | 17.32 | TRAILING_STOP | -11.08 | -392.78 | -0.54 | 16 | 76.10 |
| BRO | 2001-10-01 00:00:00 | 6.64 | 523 | 5.25 | 2001-12-10 00:00:00 | 6.05 | TRAILING_STOP | -8.95 | -311.02 | -0.43 | 10 | 73.20 |
| GD | 2001-10-01 00:00:00 | 44.25 | 119 | 38.17 | 2001-11-12 00:00:00 | 40.01 | TRAILING_STOP | -9.58 | -504.22 | -0.70 | 6 | 72.20 |
| BALL | 2001-09-03 00:00:00 | 3.33 | 1934 | 2.94 | 2002-05-20 00:00:00 | 5.51 | TRAILING_STOP | 65.30 | 4211.61 | 5.47 | 37 | 73.00 |
| INGR | 2001-08-27 00:00:00 | 16.48 | 297 | 13.85 | 2001-09-24 00:00:00 | 14.11 | TRAILING_STOP | -14.39 | -704.50 | -0.90 | 4 | 76.10 |
| RICK | 2001-08-20 00:00:00 | 3.41 | 762 | 2.38 | 2001-09-17 00:00:00 | 2.43 | TRAILING_STOP | -28.64 | -743.57 | -0.95 | 4 | 76.60 |
| TISI | 2001-08-13 00:00:00 | 24.30 | 94 | 16.08 | 2002-02-18 00:00:00 | 29.54 | TRAILING_STOP | 21.57 | 492.74 | 0.64 | 27 | 73.10 |
| WTRG | 2001-08-13 00:00:00 | 10.33 | 565 | 8.96 | 2001-09-17 00:00:00 | 9.30 | TRAILING_STOP | -9.94 | -579.99 | -0.75 | 5 | 71.70 |
| CPF | 2001-08-06 00:00:00 | 338.18 | 12 | 277.16 | 2001-09-24 00:00:00 | 292.80 | TRAILING_STOP | -13.42 | -544.53 | -0.74 | 7 | 71.90 |
| NVAX | 2001-08-06 00:00:00 | 241.48 | 13 | 185.11 | 2001-09-17 00:00:00 | 196.81 | TRAILING_STOP | -18.50 | -580.76 | -0.79 | 6 | 70.40 |
| VTRS | 2001-07-30 00:00:00 | 14.92 | 218 | 11.39 | 2001-09-17 00:00:00 | 12.50 | TRAILING_STOP | -16.21 | -527.44 | -0.68 | 7 | 70.50 |
| PCAR | 2001-07-16 00:00:00 | 7.73 | 607 | 6.46 | 2001-08-13 00:00:00 | 7.29 | STAGE_EXIT | -5.66 | -265.22 | -0.34 | 4 | 75.90 |
| RGLD | 2001-07-09 00:00:00 | 4.41 | 510 | 2.90 | 2002-01-07 00:00:00 | 5.02 | TRAILING_STOP | 13.86 | 311.68 | 0.40 | 26 | 73.90 |
| TOWN | 2001-07-09 00:00:00 | 7.08 | 708 | 5.99 | 2001-08-06 00:00:00 | 6.47 | STAGE_EXIT | -8.68 | -435.17 | -0.56 | 4 | 70.50 |
| UBCP | 2001-06-25 00:00:00 | 9.15 | 482 | 7.55 | 2001-07-30 00:00:00 | 8.16 | STAGE_EXIT | -10.81 | -476.54 | -0.62 | 5 | 70.50 |
| ACFN | 2001-06-11 00:00:00 | 126.17 | 16 | 79.93 | 2001-08-20 00:00:00 | 87.96 | TRAILING_STOP | -30.29 | -611.47 | -0.83 | 10 | 75.60 |
| TLF | 2001-06-04 00:00:00 | 1.50 | 2038 | 1.12 | 2001-12-03 00:00:00 | 2.01 | TRAILING_STOP | 33.41 | 1023.52 | 1.32 | 26 | 79.50 |
| VMC | 2001-05-14 00:00:00 | 50.60 | 120 | 44.22 | 2001-07-09 00:00:00 | 51.12 | TRAILING_STOP | 1.03 | 62.30 | 0.08 | 8 | 80.60 |
| AUB | 2001-04-02 00:00:00 | 11.27 | 197 | 7.46 | 2001-09-17 00:00:00 | 10.18 | TRAILING_STOP | -9.74 | -216.20 | -0.29 | 24 | 78.90 |
| FISI | 2001-04-02 00:00:00 | 19.29 | 153 | 14.37 | 2001-09-17 00:00:00 | 21.01 | TRAILING_STOP | 8.94 | 263.82 | 0.35 | 24 | 77.30 |
| GSBC | 2001-04-02 00:00:00 | 11.47 | 235 | 8.28 | 2002-01-07 00:00:00 | 14.35 | TRAILING_STOP | 25.12 | 676.99 | 0.90 | 40 | 73.70 |
| TXNM | 2001-04-02 00:00:00 | 19.45 | 287 | 16.83 | 2001-07-16 00:00:00 | 19.63 | TRAILING_STOP | 0.95 | 53.11 | 0.07 | 15 | 77.00 |
| UMH | 2001-04-02 00:00:00 | 12.37 | 261 | 9.49 | 2001-07-09 00:00:00 | 10.58 | TRAILING_STOP | -14.54 | -469.58 | -0.62 | 14 | 75.20 |
| DOC | 2001-03-26 00:00:00 | 15.56 | 402 | 13.72 | 2001-08-06 00:00:00 | 15.90 | STAGE_EXIT | 2.17 | 135.80 | 0.18 | 19 | 77.40 |