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 22 23 24 25 26 27 28
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PDEX | 2000-03-13 00:00:00 | 10.33 | 188 | 5.22 | 2000-07-17 00:00:00 | 6.83 | TRAILING_STOP | -33.93 | -659.16 | -0.69 | 18 | 82.40 |
| RICK | 2000-03-13 00:00:00 | 5.64 | 367 | 3.02 | 2000-04-17 00:00:00 | 3.21 | TRAILING_STOP | -43.11 | -891.68 | -0.93 | 5 | 80.70 |
| RMBS | 2000-02-28 00:00:00 | 51.87 | 28 | 21.34 | 2000-04-17 00:00:00 | 33.63 | TRAILING_STOP | -35.17 | -510.76 | -0.60 | 7 | 87.20 |
| ALNT | 2000-02-14 00:00:00 | 4.19 | 298 | 1.37 | 2000-04-10 00:00:00 | 2.75 | TRAILING_STOP | -34.34 | -428.35 | -0.51 | 8 | 88.60 |
| LSTR | 2000-02-07 00:00:00 | 7.09 | 401 | 5.12 | 2000-05-22 00:00:00 | 6.33 | TRAILING_STOP | -10.74 | -305.50 | -0.39 | 15 | 80.50 |
| OPCH | 2000-01-24 00:00:00 | 22.04 | 62 | 9.43 | 2000-03-20 00:00:00 | 18.87 | TRAILING_STOP | -14.41 | -196.96 | -0.25 | 8 | 83.80 |
| WILC | 2000-01-24 00:00:00 | 1.89 | 725 | 0.81 | 2000-04-17 00:00:00 | 1.31 | TRAILING_STOP | -30.87 | -424.03 | -0.54 | 12 | 84.60 |
| SLSN | 1999-11-22 00:00:00 | 3.85 | 389 | 2.08 | 2000-04-17 00:00:00 | 6.66 | TRAILING_STOP | 72.95 | 1092.89 | 1.59 | 21 | 85.00 |
| PNBK | 1999-11-15 00:00:00 | 116.48 | 33 | 95.93 | 2000-02-28 00:00:00 | 113.52 | STAGE_EXIT | -2.54 | -97.68 | -0.14 | 15 | 79.20 |
| LPTH | 1999-09-27 00:00:00 | 49.10 | 23 | 22.31 | 2000-04-10 00:00:00 | 171.89 | TRAILING_STOP | 250.10 | 2824.22 | 4.58 | 28 | 86.70 |
| AWR | 1999-09-13 00:00:00 | 12.17 | 232 | 9.43 | 2000-01-24 00:00:00 | 11.59 | TRAILING_STOP | -4.81 | -135.72 | -0.21 | 19 | 72.30 |
| ROG | 1999-09-13 00:00:00 | 18.69 | 181 | 15.17 | 2000-09-11 00:00:00 | 34.01 | TRAILING_STOP | 81.94 | 2772.38 | 4.35 | 52 | 71.50 |
| TTEC | 1999-09-13 00:00:00 | 13.84 | 119 | 8.52 | 2000-05-15 00:00:00 | 29.44 | TRAILING_STOP | 112.72 | 1856.53 | 2.94 | 35 | 88.80 |
| MSEX | 1999-08-30 00:00:00 | 16.72 | 145 | 12.44 | 2000-01-24 00:00:00 | 15.22 | STAGE_EXIT | -8.98 | -217.70 | -0.35 | 21 | 78.80 |
| SCSC | 1999-08-23 00:00:00 | 6.92 | 392 | 5.34 | 2000-03-13 00:00:00 | 8.97 | TRAILING_STOP | 29.57 | 802.03 | 1.30 | 29 | 79.70 |
| CCEL | 1999-08-16 00:00:00 | 4.01 | 430 | 2.57 | 2000-02-14 00:00:00 | 5.66 | TRAILING_STOP | 41.11 | 708.43 | 1.14 | 26 | 71.80 |
| KOSS | 1999-08-16 00:00:00 | 3.58 | 1015 | 2.97 | 1999-09-27 00:00:00 | 3.09 | TRAILING_STOP | -13.71 | -497.95 | -0.80 | 6 | 75.20 |
| CLAR | 1999-07-26 00:00:00 | 13.00 | 80 | 5.36 | 2000-04-03 00:00:00 | 55.74 | TRAILING_STOP | 328.79 | 3419.46 | 5.59 | 36 | 82.80 |
| PAR | 1999-07-26 00:00:00 | 5.93 | 395 | 4.36 | 1999-09-13 00:00:00 | 4.80 | TRAILING_STOP | -19.04 | -445.94 | -0.72 | 7 | 80.30 |
| BMY | 1999-07-19 00:00:00 | 71.47 | 66 | 61.92 | 1999-07-26 00:00:00 | 63.17 | STAGE_EXIT | -11.61 | -547.79 | -0.87 | 1 | 72.50 |
| HRB | 1999-07-19 00:00:00 | 14.37 | 247 | 11.81 | 1999-08-30 00:00:00 | 12.35 | TRAILING_STOP | -14.10 | -500.43 | -0.79 | 6 | 77.20 |
| ZBRA | 1999-07-19 00:00:00 | 18.43 | 132 | 13.65 | 2000-03-13 00:00:00 | 24.64 | TRAILING_STOP | 33.74 | 820.71 | 1.30 | 34 | 75.40 |
| KRMD | 1999-07-12 00:00:00 | 0.13 | 8052 | 0.04 | 1999-11-15 00:00:00 | 0.07 | TRAILING_STOP | -40.54 | -408.83 | -0.63 | 18 | 84.20 |
| CMTL | 1999-07-05 00:00:00 | 4.38 | 332 | 2.45 | 2000-03-20 00:00:00 | 7.04 | TRAILING_STOP | 60.69 | 882.28 | 1.38 | 37 | 80.80 |
| RVTY | 1999-07-05 00:00:00 | 17.88 | 183 | 14.39 | 2000-04-24 00:00:00 | 25.00 | TRAILING_STOP | 39.83 | 1303.07 | 2.04 | 42 | 73.50 |
| WERN | 1999-07-05 00:00:00 | 12.59 | 361 | 10.81 | 1999-07-26 00:00:00 | 11.83 | STAGE_EXIT | -6.05 | -274.84 | -0.43 | 3 | 71.60 |
| LWAY | 1999-06-21 00:00:00 | 1.89 | 838 | 1.13 | 1999-11-22 00:00:00 | 1.75 | TRAILING_STOP | -7.61 | -120.86 | -0.19 | 22 | 79.10 |
| EQT | 1999-06-14 00:00:00 | 4.82 | 584 | 3.76 | 1999-08-30 00:00:00 | 4.96 | TRAILING_STOP | 2.78 | 78.31 | 0.13 | 11 | 78.60 |
| WST | 1999-06-14 00:00:00 | 9.39 | 614 | 8.38 | 1999-08-02 00:00:00 | 9.75 | STAGE_EXIT | 3.75 | 216.34 | 0.35 | 7 | 71.80 |
| THO | 1999-05-03 00:00:00 | 7.52 | 441 | 6.07 | 1999-05-31 00:00:00 | 6.26 | TRAILING_STOP | -16.68 | -552.95 | -0.87 | 4 | 74.20 |
| CAT | 1999-04-19 00:00:00 | 31.97 | 75 | 23.45 | 1999-09-06 00:00:00 | 28.32 | STAGE_EXIT | -11.42 | -273.89 | -0.43 | 20 | 80.30 |
| DD | 1999-04-19 00:00:00 | 69.63 | 46 | 55.82 | 1999-08-02 00:00:00 | 70.81 | TRAILING_STOP | 1.70 | 54.57 | 0.09 | 15 | 81.50 |
| CLFD | 1999-03-22 00:00:00 | 9.52 | 139 | 5.12 | 1999-04-12 00:00:00 | 5.38 | TRAILING_STOP | -43.51 | -575.70 | -0.94 | 3 | 81.50 |
| PRDO | 1999-03-22 00:00:00 | 4.20 | 792 | 3.42 | 1999-06-14 00:00:00 | 3.95 | STAGE_EXIT | -5.97 | -198.52 | -0.32 | 12 | 82.90 |
| EXPD | 1999-03-15 00:00:00 | 6.36 | 379 | 4.73 | 2000-02-07 00:00:00 | 9.50 | TRAILING_STOP | 49.39 | 1189.76 | 1.93 | 47 | 71.60 |
| SBUX | 1999-03-15 00:00:00 | 3.78 | 686 | 2.88 | 1999-06-28 00:00:00 | 3.73 | TRAILING_STOP | -1.23 | -31.92 | -0.05 | 15 | 72.40 |
| MRSH | 1999-03-08 00:00:00 | 38.83 | 61 | 28.75 | 1999-08-02 00:00:00 | 35.99 | TRAILING_STOP | -7.32 | -173.38 | -0.28 | 21 | 74.80 |
| DRI | 1999-03-01 00:00:00 | 13.14 | 215 | 10.25 | 1999-07-19 00:00:00 | 12.37 | TRAILING_STOP | -5.86 | -165.56 | -0.27 | 20 | 71.80 |
| SWX | 1999-03-01 00:00:00 | 28.74 | 115 | 23.36 | 1999-07-12 00:00:00 | 28.82 | STAGE_EXIT | 0.25 | 8.32 | 0.01 | 19 | 76.70 |
| ZION | 1999-03-01 00:00:00 | 64.07 | 51 | 51.96 | 1999-05-03 00:00:00 | 62.93 | TRAILING_STOP | -1.77 | -57.80 | -0.09 | 9 | 72.70 |
| UFPI | 1999-02-22 00:00:00 | 7.43 | 406 | 5.87 | 1999-03-15 00:00:00 | 6.29 | TRAILING_STOP | -15.37 | -463.83 | -0.73 | 3 | 73.90 |
| SIEB | 1999-02-08 00:00:00 | 31.44 | 29 | 8.75 | 1999-06-14 00:00:00 | 20.36 | TRAILING_STOP | -35.24 | -321.29 | -0.49 | 18 | 84.50 |
| BCRX | 1999-02-01 00:00:00 | 9.77 | 234 | 6.91 | 1999-03-22 00:00:00 | 7.40 | TRAILING_STOP | -24.23 | -553.98 | -0.83 | 7 | 76.30 |
| TTWO | 1999-01-18 00:00:00 | 7.68 | 194 | 4.29 | 1999-03-22 00:00:00 | 5.24 | STAGE_EXIT | -31.80 | -473.85 | -0.72 | 9 | 84.70 |
| OSUR | 1999-01-11 00:00:00 | 7.64 | 258 | 5.08 | 1999-02-01 00:00:00 | 5.49 | STAGE_EXIT | -28.16 | -555.02 | -0.84 | 3 | 79.60 |
| FDX | 1998-12-28 00:00:00 | 35.83 | 52 | 23.75 | 1999-07-05 00:00:00 | 39.11 | TRAILING_STOP | 9.15 | 170.52 | 0.27 | 27 | 73.10 |
| FDS | 1998-12-14 00:00:00 | 10.47 | 222 | 7.64 | 1999-07-19 00:00:00 | 15.20 | TRAILING_STOP | 45.25 | 1051.24 | 1.68 | 31 | 72.50 |
| CAC | 1998-12-07 00:00:00 | 19.37 | 93 | 12.70 | 1998-12-28 00:00:00 | 13.64 | STAGE_EXIT | -29.59 | -533.14 | -0.86 | 3 | 79.60 |
| AWRE | 1998-11-30 00:00:00 | 21.54 | 54 | 10.30 | 1999-06-14 00:00:00 | 39.48 | TRAILING_STOP | 83.28 | 968.79 | 1.60 | 28 | 75.60 |
| EVI | 1998-11-30 00:00:00 | 2.38 | 487 | 1.12 | 1999-04-19 00:00:00 | 2.36 | TRAILING_STOP | -0.90 | -10.40 | -0.02 | 20 | 79.00 |