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 23 24 25 26 27 28 29
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ICUI | 1998-11-30 00:00:00 | 13.11 | 182 | 9.75 | 1999-01-11 00:00:00 | 10.23 | TRAILING_STOP | -21.97 | -524.18 | -0.86 | 6 | 70.80 |
| SMTC | 1998-11-30 00:00:00 | 7.70 | 204 | 4.71 | 1999-03-01 00:00:00 | 6.40 | TRAILING_STOP | -16.92 | -265.89 | -0.44 | 13 | 71.80 |
| SCHL | 1998-11-23 00:00:00 | 25.55 | 116 | 20.36 | 1999-02-15 00:00:00 | 24.95 | TRAILING_STOP | -2.35 | -69.79 | -0.12 | 12 | 71.30 |
| SWKS | 1998-11-16 00:00:00 | 6.95 | 285 | 4.85 | 1999-03-01 00:00:00 | 7.45 | TRAILING_STOP | 7.23 | 143.28 | 0.24 | 15 | 70.50 |
| TXN | 1998-11-16 00:00:00 | 17.41 | 192 | 14.29 | 2000-05-22 00:00:00 | 64.53 | TRAILING_STOP | 270.64 | 9046.67 | 15.10 | 79 | 70.30 |
| PLCE | 1998-11-09 00:00:00 | 13.53 | 177 | 10.16 | 1999-03-15 00:00:00 | 24.20 | TRAILING_STOP | 78.94 | 1889.94 | 3.17 | 18 | 70.20 |
| SEIC | 1998-11-09 00:00:00 | 7.02 | 519 | 5.87 | 1999-02-15 00:00:00 | 7.53 | TRAILING_STOP | 7.20 | 262.56 | 0.44 | 14 | 70.40 |
| SSB | 1998-11-09 00:00:00 | 25.20 | 105 | 19.50 | 1999-01-18 00:00:00 | 21.29 | TRAILING_STOP | -15.52 | -410.63 | -0.69 | 10 | 77.30 |
| KEP | 1998-11-02 00:00:00 | 13.15 | 133 | 8.68 | 1999-02-08 00:00:00 | 15.02 | TRAILING_STOP | 14.20 | 248.45 | 0.42 | 14 | 73.30 |
| SKM | 1998-11-02 00:00:00 | 16.14 | 115 | 10.95 | 1999-07-19 00:00:00 | 21.04 | TRAILING_STOP | 30.36 | 563.66 | 0.94 | 37 | 78.00 |
| ARTNA | 1998-10-05 00:00:00 | 10.47 | 331 | 8.59 | 1999-02-15 00:00:00 | 10.29 | TRAILING_STOP | -1.69 | -58.47 | -0.09 | 19 | 77.30 |
| DTE | 1998-10-05 00:00:00 | 39.44 | 123 | 34.44 | 1998-10-26 00:00:00 | 36.31 | STAGE_EXIT | -7.94 | -385.02 | -0.63 | 3 | 72.10 |
| DUK | 1998-10-05 00:00:00 | 58.90 | 86 | 51.68 | 1998-10-12 00:00:00 | 57.47 | STAGE_EXIT | -2.43 | -123.09 | -0.20 | 1 | 76.40 |
| ED | 1998-10-05 00:00:00 | 54.61 | 67 | 45.43 | 1998-10-26 00:00:00 | 50.02 | STAGE_EXIT | -8.39 | -307.14 | -0.50 | 3 | 72.50 |
| NEE | 1998-10-05 00:00:00 | 8.92 | 587 | 7.87 | 1998-10-12 00:00:00 | 8.41 | STAGE_EXIT | -5.82 | -304.67 | -0.49 | 1 | 76.30 |
| NI | 1998-10-05 00:00:00 | 12.82 | 330 | 10.94 | 1998-10-26 00:00:00 | 11.74 | STAGE_EXIT | -8.43 | -356.58 | -0.58 | 3 | 76.40 |
| SO | 1998-10-05 00:00:00 | 18.90 | 259 | 16.51 | 1998-10-12 00:00:00 | 17.76 | STAGE_EXIT | -6.04 | -295.88 | -0.48 | 1 | 75.50 |
| PEG | 1998-09-28 00:00:00 | 19.63 | 263 | 17.28 | 1998-10-19 00:00:00 | 18.56 | STAGE_EXIT | -5.48 | -283.09 | -0.46 | 3 | 70.70 |
| WLY | 1998-08-17 00:00:00 | 16.44 | 249 | 13.85 | 1998-08-31 00:00:00 | 14.03 | STAGE_EXIT | -14.63 | -598.83 | -0.93 | 2 | 70.60 |
| MDU | 1998-08-10 00:00:00 | 4.36 | 1164 | 3.80 | 1998-10-19 00:00:00 | 4.40 | STAGE_EXIT | 0.81 | 41.09 | 0.06 | 10 | 82.00 |
| VMC | 1998-08-10 00:00:00 | 40.60 | 147 | 36.21 | 1998-08-31 00:00:00 | 36.66 | TRAILING_STOP | -9.70 | -579.05 | -0.90 | 3 | 76.60 |
| IBM | 1998-08-03 00:00:00 | 64.18 | 56 | 52.59 | 1998-08-31 00:00:00 | 54.09 | TRAILING_STOP | -15.72 | -564.87 | -0.87 | 4 | 78.70 |
| BALL | 1998-07-20 00:00:00 | 2.80 | 1344 | 2.29 | 1998-08-31 00:00:00 | 2.36 | TRAILING_STOP | -15.66 | -589.71 | -0.86 | 6 | 74.80 |
| BTI | 1998-07-20 00:00:00 | 11.84 | 334 | 9.79 | 1998-08-10 00:00:00 | 9.96 | TRAILING_STOP | -15.84 | -626.25 | -0.92 | 3 | 74.80 |
| VHI | 1998-07-20 00:00:00 | 20.48 | 160 | 16.21 | 1998-10-19 00:00:00 | 19.18 | TRAILING_STOP | -6.38 | -208.94 | -0.31 | 13 | 75.10 |
| SPB | 1998-07-13 00:00:00 | 144.00 | 10 | 81.72 | 1998-08-24 00:00:00 | 100.52 | TRAILING_STOP | -30.20 | -434.81 | -0.70 | 6 | 83.30 |
| UBSI | 1998-07-06 00:00:00 | 30.06 | 139 | 25.20 | 1998-08-10 00:00:00 | 26.07 | TRAILING_STOP | -13.26 | -554.09 | -0.82 | 5 | 74.50 |
| FITB | 1998-06-29 00:00:00 | 40.54 | 128 | 35.34 | 1998-08-10 00:00:00 | 37.36 | STAGE_EXIT | -7.84 | -406.61 | -0.61 | 6 | 73.30 |
| SAFE | 1998-06-29 00:00:00 | 204.85 | 11 | 145.68 | 1998-08-31 00:00:00 | 171.75 | TRAILING_STOP | -16.16 | -364.05 | -0.56 | 9 | 79.10 |
| BF-B | 1998-06-15 00:00:00 | 6.50 | 1042 | 5.87 | 1998-08-03 00:00:00 | 6.65 | STAGE_EXIT | 2.36 | 160.15 | 0.24 | 7 | 72.30 |
| FCFS | 1998-05-25 00:00:00 | 3.97 | 592 | 2.84 | 1998-09-28 00:00:00 | 3.64 | TRAILING_STOP | -8.15 | -191.30 | -0.29 | 18 | 75.70 |
| ATO | 1998-05-18 00:00:00 | 30.87 | 227 | 27.90 | 1998-06-29 00:00:00 | 30.13 | STAGE_EXIT | -2.42 | -169.57 | -0.25 | 6 | 72.90 |
| EVI | 1998-05-18 00:00:00 | 1.75 | 903 | 1.00 | 1998-05-25 00:00:00 | 1.00 | STAGE_EXIT | -42.96 | -680.18 | -1.00 | 1 | 81.20 |
| IBM | 1998-05-18 00:00:00 | 59.75 | 68 | 49.90 | 1998-06-15 00:00:00 | 51.02 | TRAILING_STOP | -14.62 | -593.98 | -0.89 | 4 | 78.00 |
| ORLY | 1998-05-18 00:00:00 | 0.53 | 7591 | 0.44 | 1998-08-24 00:00:00 | 0.56 | TRAILING_STOP | 5.14 | 207.23 | 0.31 | 14 | 72.50 |
| SWX | 1998-04-27 00:00:00 | 23.55 | 165 | 19.34 | 1998-05-18 00:00:00 | 21.96 | STAGE_EXIT | -6.76 | -262.52 | -0.38 | 3 | 80.10 |
| CSV | 1998-04-20 00:00:00 | 25.55 | 108 | 19.07 | 1998-08-03 00:00:00 | 21.89 | TRAILING_STOP | -14.31 | -395.00 | -0.56 | 15 | 81.50 |
| TU | 1998-04-06 00:00:00 | 7.23 | 405 | 5.50 | 1998-07-06 00:00:00 | 6.30 | TRAILING_STOP | -12.91 | -378.18 | -0.54 | 13 | 77.10 |
| MTX | 1998-03-09 00:00:00 | 25.49 | 177 | 21.68 | 1998-07-20 00:00:00 | 25.36 | STAGE_EXIT | -0.52 | -23.53 | -0.03 | 19 | 76.00 |
| CBT | 1998-03-02 00:00:00 | 35.20 | 84 | 27.25 | 1998-06-15 00:00:00 | 31.99 | TRAILING_STOP | -9.11 | -269.29 | -0.40 | 15 | 73.20 |
| AVY | 1998-02-23 00:00:00 | 53.61 | 58 | 42.26 | 1998-08-31 00:00:00 | 53.16 | TRAILING_STOP | -0.84 | -26.10 | -0.04 | 27 | 73.70 |
| AIRT | 1998-02-16 00:00:00 | 7.01 | 173 | 3.21 | 1998-07-06 00:00:00 | 6.12 | TRAILING_STOP | -12.73 | -154.52 | -0.24 | 20 | 77.20 |
| SIEB | 1998-02-16 00:00:00 | 5.10 | 225 | 2.18 | 1998-08-03 00:00:00 | 8.43 | TRAILING_STOP | 65.20 | 748.77 | 1.14 | 24 | 78.90 |
| HMN | 1998-01-26 00:00:00 | 32.88 | 128 | 27.77 | 1998-04-27 00:00:00 | 34.76 | TRAILING_STOP | 5.71 | 240.28 | 0.37 | 13 | 71.60 |
| OHI | 1998-01-26 00:00:00 | 39.83 | 141 | 35.20 | 1998-04-06 00:00:00 | 38.17 | TRAILING_STOP | -4.17 | -234.16 | -0.36 | 10 | 75.00 |
| FLO | 1998-01-19 00:00:00 | 1.96 | 2350 | 1.68 | 1998-04-20 00:00:00 | 1.99 | TRAILING_STOP | 1.60 | 73.85 | 0.11 | 13 | 71.80 |
| RTO | 1998-01-19 00:00:00 | 24.67 | 144 | 20.01 | 1998-07-27 00:00:00 | 32.15 | TRAILING_STOP | 30.29 | 1076.32 | 1.60 | 27 | 74.50 |
| MCO | 1998-01-05 00:00:00 | 11.65 | 564 | 10.45 | 1998-05-18 00:00:00 | 12.23 | TRAILING_STOP | 4.96 | 326.10 | 0.48 | 19 | 74.90 |
| SR | 1998-01-05 00:00:00 | 26.87 | 259 | 24.25 | 1998-02-02 00:00:00 | 24.89 | STAGE_EXIT | -7.36 | -512.43 | -0.76 | 4 | 72.10 |
| MSEX | 1997-12-29 00:00:00 | 10.46 | 456 | 8.99 | 1998-03-09 00:00:00 | 10.20 | STAGE_EXIT | -2.49 | -118.59 | -0.18 | 10 | 70.80 |