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 24 25 26 27 28 29 30
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| NI | 1997-12-22 00:00:00 | 9.36 | 666 | 8.36 | 1998-07-27 00:00:00 | 10.46 | TRAILING_STOP | 11.69 | 729.05 | 1.10 | 31 | 72.60 |
| EVI | 1997-12-15 00:00:00 | 1.00 | 5337 | 0.88 | 1998-01-26 00:00:00 | 0.97 | TRAILING_STOP | -3.48 | -185.99 | -0.28 | 6 | 80.00 |
| GTY | 1997-12-15 00:00:00 | 21.54 | 185 | 18.00 | 1998-05-04 00:00:00 | 21.49 | TRAILING_STOP | -0.22 | -8.97 | -0.01 | 20 | 70.40 |
| OSBC | 1997-12-08 00:00:00 | 11.18 | 515 | 9.89 | 1998-06-22 00:00:00 | 11.51 | TRAILING_STOP | 2.95 | 169.99 | 0.26 | 28 | 77.80 |
| UFCS | 1997-12-08 00:00:00 | 22.80 | 210 | 19.64 | 1998-01-12 00:00:00 | 20.71 | STAGE_EXIT | -9.16 | -438.27 | -0.66 | 5 | 74.50 |
| CMS | 1997-12-01 00:00:00 | 39.08 | 201 | 35.81 | 1998-05-11 00:00:00 | 41.89 | TRAILING_STOP | 7.20 | 565.32 | 0.86 | 23 | 71.10 |
| OGE | 1997-11-24 00:00:00 | 12.57 | 525 | 11.31 | 1998-01-26 00:00:00 | 13.05 | STAGE_EXIT | 3.82 | 252.00 | 0.38 | 9 | 76.60 |
| RAVE | 1997-11-03 00:00:00 | 5.89 | 411 | 4.25 | 1998-02-23 00:00:00 | 5.28 | TRAILING_STOP | -10.39 | -251.28 | -0.37 | 16 | 80.80 |
| BDN | 1997-10-27 00:00:00 | 24.80 | 182 | 21.13 | 1998-02-16 00:00:00 | 23.89 | STAGE_EXIT | -3.67 | -165.60 | -0.25 | 16 | 71.80 |
| GGG | 1997-10-27 00:00:00 | 2.46 | 1516 | 2.02 | 1998-01-12 00:00:00 | 2.26 | TRAILING_STOP | -8.24 | -307.53 | -0.46 | 11 | 74.10 |
| POOL | 1997-10-27 00:00:00 | 2.41 | 1733 | 2.02 | 1997-12-29 00:00:00 | 2.46 | STAGE_EXIT | 2.33 | 97.22 | 0.15 | 9 | 71.80 |
| RNST | 1997-10-27 00:00:00 | 13.66 | 448 | 12.16 | 1998-06-29 00:00:00 | 16.68 | TRAILING_STOP | 22.14 | 1354.68 | 2.02 | 35 | 77.40 |
| SYPR | 1997-09-08 00:00:00 | 13.78 | 79 | 5.40 | 1997-12-15 00:00:00 | 11.42 | TRAILING_STOP | -17.11 | -186.27 | -0.28 | 14 | 84.60 |
| HURC | 1997-09-01 00:00:00 | 8.39 | 253 | 5.72 | 1997-10-27 00:00:00 | 6.50 | TRAILING_STOP | -22.57 | -479.12 | -0.71 | 8 | 79.20 |
| NBTB | 1997-06-30 00:00:00 | 16.88 | 154 | 12.81 | 1998-01-05 00:00:00 | 16.41 | TRAILING_STOP | -2.80 | -72.79 | -0.12 | 27 | 78.70 |
| SBR | 1997-06-30 00:00:00 | 14.65 | 343 | 12.82 | 1997-12-01 00:00:00 | 14.99 | TRAILING_STOP | 2.28 | 114.56 | 0.18 | 22 | 76.90 |
| GYRO | 1997-05-26 00:00:00 | 150.55 | 25 | 128.14 | 1997-12-08 00:00:00 | 203.12 | TRAILING_STOP | 34.91 | 1314.07 | 2.35 | 28 | 79.80 |
| TAP | 1997-05-19 00:00:00 | 13.34 | 177 | 10.09 | 1997-12-15 00:00:00 | 16.34 | STAGE_EXIT | 22.51 | 531.55 | 0.92 | 30 | 74.90 |
| CAT | 1997-05-12 00:00:00 | 24.20 | 124 | 19.64 | 1997-10-27 00:00:00 | 26.31 | TRAILING_STOP | 8.72 | 261.67 | 0.46 | 24 | 73.60 |
| EG | 1997-05-12 00:00:00 | 33.07 | 114 | 28.08 | 1997-10-27 00:00:00 | 35.38 | TRAILING_STOP | 6.99 | 263.57 | 0.46 | 24 | 71.00 |
| GE | 1997-05-12 00:00:00 | 93.44 | 48 | 81.57 | 1997-10-27 00:00:00 | 101.47 | TRAILING_STOP | 8.60 | 385.68 | 0.68 | 24 | 72.60 |
| PH | 1997-05-05 00:00:00 | 22.71 | 138 | 18.64 | 1997-12-15 00:00:00 | 28.34 | TRAILING_STOP | 24.78 | 776.58 | 1.38 | 32 | 70.30 |
| CVR | 1997-04-28 00:00:00 | 19.91 | 167 | 16.67 | 1997-12-01 00:00:00 | 29.07 | TRAILING_STOP | 45.96 | 1528.38 | 2.82 | 31 | 73.70 |
| RDI | 1997-04-07 00:00:00 | 3.26 | 1046 | 2.71 | 1997-06-30 00:00:00 | 3.10 | TRAILING_STOP | -4.71 | -160.40 | -0.28 | 12 | 73.30 |
| IOR | 1997-03-31 00:00:00 | 4.88 | 460 | 3.65 | 1997-05-12 00:00:00 | 3.83 | STAGE_EXIT | -21.68 | -487.18 | -0.86 | 6 | 76.20 |
| TRNS | 1997-03-10 00:00:00 | 6.89 | 244 | 4.59 | 1997-08-25 00:00:00 | 7.09 | TRAILING_STOP | 2.92 | 49.03 | 0.09 | 24 | 80.20 |
| EG | 1997-02-24 00:00:00 | 30.31 | 140 | 26.34 | 1997-03-31 00:00:00 | 27.45 | STAGE_EXIT | -9.45 | -401.17 | -0.72 | 5 | 77.30 |
| FIZZ | 1997-02-24 00:00:00 | 2.37 | 938 | 1.78 | 1997-04-21 00:00:00 | 2.08 | STAGE_EXIT | -12.44 | -277.05 | -0.50 | 8 | 76.70 |
| WINA | 1997-02-17 00:00:00 | 10.90 | 247 | 8.71 | 1997-04-28 00:00:00 | 10.48 | STAGE_EXIT | -3.83 | -103.18 | -0.19 | 10 | 84.10 |
| YPF | 1997-01-20 00:00:00 | 28.31 | 94 | 23.04 | 1997-04-14 00:00:00 | 25.94 | TRAILING_STOP | -8.35 | -222.23 | -0.45 | 12 | 78.30 |
| ADC | 1997-01-06 00:00:00 | 22.04 | 163 | 19.10 | 1997-02-24 00:00:00 | 20.71 | STAGE_EXIT | -6.06 | -217.69 | -0.45 | 7 | 75.40 |
| NTAP | 1996-12-23 00:00:00 | 2.96 | 477 | 1.97 | 1997-02-24 00:00:00 | 2.33 | TRAILING_STOP | -21.29 | -300.56 | -0.64 | 9 | 76.80 |
| BNY | 1996-10-28 00:00:00 | 16.66 | 186 | 14.30 | 1997-04-07 00:00:00 | 18.27 | TRAILING_STOP | 9.63 | 298.50 | 0.68 | 23 | 72.60 |
| HUBB | 1996-10-28 00:00:00 | 39.21 | 116 | 35.45 | 1997-04-21 00:00:00 | 41.52 | TRAILING_STOP | 5.89 | 267.71 | 0.61 | 25 | 74.30 |
| AIFF | 1996-10-21 00:00:00 | 37.58 | 19 | 14.98 | 1997-09-08 00:00:00 | 711.24 | TRAILING_STOP | 1792.86 | 12799.70 | 29.82 | 46 | 80.00 |
| SM | 1996-10-14 00:00:00 | 4.73 | 696 | 4.08 | 1997-12-15 00:00:00 | 9.23 | TRAILING_STOP | 95.21 | 3133.14 | 7.00 | 61 | 74.30 |
| BMO | 1996-10-07 00:00:00 | 14.15 | 219 | 12.13 | 1997-04-07 00:00:00 | 17.25 | TRAILING_STOP | 21.91 | 678.97 | 1.53 | 26 | 76.90 |
| VIRC | 1996-09-09 00:00:00 | 5.37 | 234 | 3.60 | 1996-12-30 00:00:00 | 5.70 | TRAILING_STOP | 6.14 | 77.25 | 0.19 | 16 | 72.80 |
| MGRC | 1996-08-12 00:00:00 | 6.20 | 334 | 5.01 | 1997-11-24 00:00:00 | 10.59 | TRAILING_STOP | 70.88 | 1467.70 | 3.70 | 67 | 72.80 |
| ESS | 1996-07-29 00:00:00 | 23.17 | 154 | 20.61 | 1997-03-31 00:00:00 | 28.55 | TRAILING_STOP | 23.21 | 828.18 | 2.10 | 35 | 76.20 |
| SNT | 1996-07-29 00:00:00 | 13.27 | 39 | 3.18 | 1996-10-28 00:00:00 | 4.86 | TRAILING_STOP | -63.35 | -327.80 | -0.83 | 13 | 80.00 |
| MTR | 1996-07-22 00:00:00 | 48.60 | 52 | 41.06 | 1996-10-14 00:00:00 | 45.91 | STAGE_EXIT | -5.53 | -139.83 | -0.36 | 12 | 77.20 |
| UFPI | 1996-07-22 00:00:00 | 3.92 | 508 | 3.14 | 1996-10-21 00:00:00 | 4.05 | TRAILING_STOP | 3.32 | 66.19 | 0.17 | 13 | 74.50 |
| LECO | 1996-07-01 00:00:00 | 8.64 | 195 | 6.57 | 1996-09-02 00:00:00 | 7.57 | TRAILING_STOP | -12.39 | -208.76 | -0.52 | 9 | 72.70 |
| UHAL | 1996-07-01 00:00:00 | 2.64 | 737 | 2.09 | 1996-12-16 00:00:00 | 3.38 | TRAILING_STOP | 27.75 | 540.56 | 1.34 | 24 | 76.10 |
| BMRA | 1996-06-17 00:00:00 | 46.09 | 14 | 18.72 | 1996-10-28 00:00:00 | 31.18 | TRAILING_STOP | -32.34 | -208.70 | -0.54 | 19 | 82.10 |
| QCRH | 1996-06-17 00:00:00 | 5.90 | 732 | 5.35 | 1996-08-12 00:00:00 | 5.77 | STAGE_EXIT | -2.28 | -98.41 | -0.24 | 8 | 79.80 |
| CCEP | 1996-06-10 00:00:00 | 11.40 | 206 | 9.42 | 1998-03-02 00:00:00 | 33.06 | STAGE_EXIT | 190.05 | 4462.17 | 10.95 | 90 | 79.70 |
| FRD | 1996-06-10 00:00:00 | 3.66 | 705 | 3.08 | 1997-02-17 00:00:00 | 4.49 | TRAILING_STOP | 22.83 | 588.81 | 1.44 | 36 | 78.10 |
| PNRG | 1996-06-10 00:00:00 | 4.01 | 268 | 2.49 | 1997-11-03 00:00:00 | 8.69 | TRAILING_STOP | 116.79 | 1254.46 | 3.07 | 73 | 80.40 |