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 21 22 23 24 25 26 27
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HR | 2001-03-26 00:00:00 | 23.25 | 340 | 21.07 | 2001-09-03 00:00:00 | 25.65 | TRAILING_STOP | 10.33 | 816.75 | 1.11 | 23 | 76.80 |
| ICUI | 2001-03-19 00:00:00 | 23.96 | 117 | 17.68 | 2001-08-27 00:00:00 | 24.16 | TRAILING_STOP | 0.83 | 23.25 | 0.03 | 23 | 73.20 |
| CWBC | 2001-03-12 00:00:00 | 4.23 | 1055 | 3.50 | 2001-05-14 00:00:00 | 4.03 | TRAILING_STOP | -4.57 | -203.70 | -0.27 | 9 | 79.20 |
| JACK | 2001-03-12 00:00:00 | 15.77 | 261 | 12.83 | 2001-04-02 00:00:00 | 13.11 | TRAILING_STOP | -16.83 | -692.66 | -0.90 | 3 | 73.00 |
| MUX | 2001-03-12 00:00:00 | 3.93 | 327 | 1.58 | 2001-10-29 00:00:00 | 3.91 | TRAILING_STOP | -0.33 | -4.28 | -0.01 | 33 | 77.50 |
| PAA | 2001-03-12 00:00:00 | 11.82 | 383 | 9.82 | 2001-09-17 00:00:00 | 12.44 | TRAILING_STOP | 5.22 | 236.25 | 0.31 | 27 | 74.10 |
| SSL | 2001-03-12 00:00:00 | 8.27 | 807 | 7.32 | 2001-03-26 00:00:00 | 8.36 | STAGE_EXIT | 1.11 | 74.04 | 0.10 | 2 | 72.80 |
| BFS | 2001-02-26 00:00:00 | 19.04 | 504 | 17.51 | 2001-03-19 00:00:00 | 17.76 | STAGE_EXIT | -6.69 | -641.89 | -0.83 | 3 | 72.50 |
| CAC | 2001-02-19 00:00:00 | 11.06 | 442 | 9.26 | 2001-03-26 00:00:00 | 9.56 | TRAILING_STOP | -13.52 | -660.44 | -0.83 | 5 | 79.40 |
| GBCI | 2001-02-19 00:00:00 | 6.12 | 607 | 4.82 | 2001-03-26 00:00:00 | 5.66 | STAGE_EXIT | -7.51 | -279.18 | -0.35 | 5 | 77.10 |
| CAL | 2001-01-22 00:00:00 | 7.57 | 323 | 5.21 | 2001-06-25 00:00:00 | 7.47 | TRAILING_STOP | -1.26 | -30.91 | -0.04 | 22 | 76.60 |
| JBHT | 2001-01-22 00:00:00 | 4.98 | 560 | 3.62 | 2001-02-26 00:00:00 | 3.75 | TRAILING_STOP | -24.77 | -690.72 | -0.91 | 5 | 73.30 |
| KNX | 2001-01-08 00:00:00 | 4.55 | 626 | 3.30 | 2001-03-12 00:00:00 | 3.66 | TRAILING_STOP | -19.69 | -561.05 | -0.72 | 9 | 76.50 |
| UNP | 2001-01-08 00:00:00 | 13.28 | 381 | 11.22 | 2001-06-11 00:00:00 | 13.36 | STAGE_EXIT | 0.60 | 30.28 | 0.04 | 22 | 73.90 |
| OGE | 2001-01-01 00:00:00 | 12.31 | 437 | 10.42 | 2001-03-12 00:00:00 | 11.33 | STAGE_EXIT | -7.95 | -427.61 | -0.52 | 10 | 74.90 |
| KMPR | 2000-12-25 00:00:00 | 41.08 | 84 | 31.61 | 2001-03-19 00:00:00 | 34.62 | TRAILING_STOP | -15.73 | -542.82 | -0.68 | 12 | 81.00 |
| WFC | 2000-12-25 00:00:00 | 27.02 | 167 | 22.23 | 2001-02-19 00:00:00 | 23.68 | TRAILING_STOP | -12.38 | -558.72 | -0.70 | 8 | 79.90 |
| YORW | 2000-12-04 00:00:00 | 6.26 | 725 | 5.18 | 2000-12-25 00:00:00 | 5.24 | TRAILING_STOP | -16.31 | -740.67 | -0.94 | 3 | 82.20 |
| GATX | 2000-11-20 00:00:00 | 46.41 | 104 | 38.85 | 2001-01-22 00:00:00 | 42.58 | TRAILING_STOP | -8.23 | -397.39 | -0.51 | 9 | 72.70 |
| MCY | 2000-11-20 00:00:00 | 37.58 | 76 | 27.28 | 2001-03-12 00:00:00 | 33.50 | TRAILING_STOP | -10.84 | -309.61 | -0.40 | 16 | 75.80 |
| HSY | 2000-11-13 00:00:00 | 30.12 | 134 | 24.32 | 2001-01-22 00:00:00 | 29.19 | STAGE_EXIT | -3.09 | -124.77 | -0.16 | 10 | 78.20 |
| ESCA | 2000-10-23 00:00:00 | 3.67 | 1436 | 3.13 | 2000-11-13 00:00:00 | 3.13 | TRAILING_STOP | -14.91 | -786.56 | -1.01 | 3 | 71.80 |
| MYGN | 2000-10-23 00:00:00 | 57.36 | 28 | 30.42 | 2000-11-20 00:00:00 | 35.77 | TRAILING_STOP | -37.64 | -604.64 | -0.80 | 4 | 71.40 |
| MGEE | 2000-10-02 00:00:00 | 15.36 | 330 | 12.94 | 2000-12-25 00:00:00 | 15.05 | STAGE_EXIT | -2.02 | -102.57 | -0.13 | 12 | 80.60 |
| SCHL | 2000-09-25 00:00:00 | 35.59 | 144 | 30.22 | 2001-03-19 00:00:00 | 39.37 | TRAILING_STOP | 10.63 | 544.80 | 0.71 | 25 | 73.40 |
| ATLC | 2000-09-11 00:00:00 | 47.09 | 56 | 33.73 | 2000-10-23 00:00:00 | 36.74 | TRAILING_STOP | -21.99 | -580.04 | -0.77 | 6 | 72.60 |
| RNR | 2000-08-14 00:00:00 | 16.80 | 228 | 13.52 | 2001-03-12 00:00:00 | 22.55 | STAGE_EXIT | 34.22 | 1311.10 | 1.75 | 30 | 77.10 |
| TXNM | 2000-08-14 00:00:00 | 14.40 | 213 | 10.90 | 2001-02-19 00:00:00 | 16.06 | TRAILING_STOP | 11.53 | 353.77 | 0.47 | 27 | 77.70 |
| XEL | 2000-08-14 00:00:00 | 25.93 | 139 | 20.55 | 2001-01-08 00:00:00 | 25.10 | TRAILING_STOP | -3.20 | -115.37 | -0.15 | 21 | 77.80 |
| TRV | 2000-07-31 00:00:00 | 44.84 | 64 | 33.58 | 2001-01-08 00:00:00 | 46.30 | TRAILING_STOP | 3.26 | 93.68 | 0.13 | 23 | 77.40 |
| EWBC | 2000-07-17 00:00:00 | 7.95 | 405 | 6.14 | 2001-03-12 00:00:00 | 10.55 | TRAILING_STOP | 32.66 | 1051.93 | 1.43 | 34 | 75.60 |
| CNOB | 2000-07-03 00:00:00 | 8.45 | 332 | 6.26 | 2000-07-24 00:00:00 | 6.36 | TRAILING_STOP | -24.75 | -694.34 | -0.95 | 3 | 77.10 |
| CNX | 2000-06-19 00:00:00 | 6.65 | 395 | 4.79 | 2001-06-04 00:00:00 | 12.10 | TRAILING_STOP | 81.91 | 2152.80 | 2.93 | 50 | 79.30 |
| WTM | 2000-06-19 00:00:00 | 161.57 | 20 | 125.85 | 2001-08-06 00:00:00 | 337.32 | STAGE_EXIT | 108.78 | 3515.03 | 4.92 | 59 | 76.90 |
| IEP | 2000-06-12 00:00:00 | 9.20 | 487 | 7.70 | 2000-08-14 00:00:00 | 8.75 | TRAILING_STOP | -4.84 | -216.54 | -0.30 | 9 | 78.60 |
| BYFC | 2000-06-05 00:00:00 | 33.07 | 82 | 24.22 | 2000-11-20 00:00:00 | 32.71 | TRAILING_STOP | -1.09 | -29.59 | -0.04 | 24 | 75.70 |
| MSB | 2000-05-29 00:00:00 | 3.44 | 1047 | 2.75 | 2000-08-14 00:00:00 | 3.56 | STAGE_EXIT | 3.22 | 116.22 | 0.16 | 11 | 75.90 |
| IMO | 2000-05-15 00:00:00 | 8.77 | 497 | 7.27 | 2000-05-22 00:00:00 | 7.73 | STAGE_EXIT | -11.78 | -513.40 | -0.69 | 1 | 72.40 |
| APA | 2000-05-08 00:00:00 | 24.13 | 110 | 17.29 | 2000-07-03 00:00:00 | 23.11 | TRAILING_STOP | -4.24 | -112.47 | -0.15 | 8 | 75.40 |
| CRK | 2000-05-08 00:00:00 | 31.94 | 64 | 20.21 | 2000-11-27 00:00:00 | 46.63 | TRAILING_STOP | 46.00 | 940.25 | 1.25 | 29 | 70.60 |
| EOG | 2000-05-08 00:00:00 | 7.05 | 325 | 4.72 | 2001-03-19 00:00:00 | 10.88 | TRAILING_STOP | 54.47 | 1247.30 | 1.65 | 45 | 76.40 |
| FAST | 2000-05-08 00:00:00 | 2.06 | 1123 | 1.38 | 2000-06-12 00:00:00 | 1.52 | TRAILING_STOP | -26.14 | -604.38 | -0.80 | 5 | 72.50 |
| HP | 2000-05-08 00:00:00 | 17.03 | 172 | 12.64 | 2000-09-25 00:00:00 | 16.56 | TRAILING_STOP | -2.79 | -81.75 | -0.11 | 20 | 73.50 |
| FISV | 2000-05-01 00:00:00 | 7.72 | 375 | 5.69 | 2000-10-23 00:00:00 | 8.22 | TRAILING_STOP | 6.47 | 187.36 | 0.25 | 25 | 78.90 |
| CIX | 2000-04-17 00:00:00 | 23.48 | 157 | 18.77 | 2000-05-01 00:00:00 | 18.92 | TRAILING_STOP | -19.45 | -717.10 | -0.97 | 2 | 76.40 |
| SLG | 2000-04-17 00:00:00 | 26.46 | 194 | 22.67 | 2000-10-02 00:00:00 | 28.14 | TRAILING_STOP | 6.32 | 324.66 | 0.44 | 24 | 73.30 |
| DOV | 2000-04-10 00:00:00 | 33.63 | 167 | 28.73 | 2000-06-05 00:00:00 | 33.28 | STAGE_EXIT | -1.02 | -57.33 | -0.07 | 8 | 70.20 |
| CAKE | 2000-04-03 00:00:00 | 12.28 | 261 | 8.99 | 2001-01-01 00:00:00 | 16.39 | TRAILING_STOP | 33.40 | 1070.81 | 1.24 | 39 | 78.80 |
| CNTY | 2000-03-20 00:00:00 | 2.32 | 728 | 1.04 | 2000-08-14 00:00:00 | 1.57 | TRAILING_STOP | -32.37 | -546.02 | -0.59 | 21 | 84.80 |
| HLX | 2000-03-20 00:00:00 | 12.46 | 240 | 8.59 | 2000-04-17 00:00:00 | 8.98 | TRAILING_STOP | -27.97 | -836.48 | -0.90 | 4 | 73.20 |