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 25 26 27 28 29 30 31
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| COLB | 1996-05-06 00:00:00 | 6.81 | 323 | 5.58 | 1996-09-30 00:00:00 | 7.01 | STAGE_EXIT | 2.92 | 64.27 | 0.16 | 21 | 75.30 |
| SAFE | 1996-04-29 00:00:00 | 20.12 | 87 | 15.56 | 1997-06-30 00:00:00 | 74.74 | TRAILING_STOP | 271.49 | 4751.95 | 11.98 | 61 | 76.60 |
| TV | 1996-04-22 00:00:00 | 8.11 | 171 | 5.81 | 1996-07-08 00:00:00 | 6.86 | TRAILING_STOP | -15.37 | -213.20 | -0.54 | 11 | 77.90 |
| ASRV | 1996-04-15 00:00:00 | 11.86 | 331 | 10.67 | 1996-05-06 00:00:00 | 11.02 | STAGE_EXIT | -7.06 | -277.18 | -0.70 | 3 | 74.40 |
| SM | 1996-04-15 00:00:00 | 4.23 | 578 | 3.54 | 1996-07-22 00:00:00 | 3.91 | TRAILING_STOP | -7.53 | -183.95 | -0.47 | 14 | 77.40 |
| FIZZ | 1996-03-25 00:00:00 | 0.85 | 2159 | 0.67 | 1997-01-20 00:00:00 | 1.72 | TRAILING_STOP | 101.03 | 1864.02 | 4.77 | 43 | 74.20 |
| SIF | 1996-03-25 00:00:00 | 7.01 | 171 | 4.74 | 1997-03-10 00:00:00 | 10.48 | TRAILING_STOP | 49.45 | 593.11 | 1.53 | 50 | 75.90 |
| PAR | 1996-03-11 00:00:00 | 9.27 | 133 | 6.41 | 1996-07-08 00:00:00 | 9.68 | TRAILING_STOP | 4.46 | 54.98 | 0.14 | 17 | 77.10 |
| ACHC | 1996-03-04 00:00:00 | 35.57 | 45 | 27.19 | 1996-06-10 00:00:00 | 35.75 | TRAILING_STOP | 0.50 | 7.98 | 0.02 | 14 | 78.30 |
| ARL | 1996-01-22 00:00:00 | 4.13 | 825 | 3.68 | 1996-04-15 00:00:00 | 4.53 | TRAILING_STOP | 9.61 | 327.82 | 0.87 | 12 | 72.40 |
| UEIC | 1996-01-22 00:00:00 | 4.57 | 518 | 3.85 | 1996-06-24 00:00:00 | 5.34 | TRAILING_STOP | 16.75 | 396.69 | 1.06 | 22 | 74.90 |
| ATO | 1995-12-25 00:00:00 | 22.80 | 129 | 19.90 | 1996-01-22 00:00:00 | 21.96 | STAGE_EXIT | -3.68 | -108.30 | -0.29 | 4 | 71.60 |
| SXT | 1995-12-25 00:00:00 | 20.48 | 99 | 16.73 | 1996-04-15 00:00:00 | 18.36 | TRAILING_STOP | -10.35 | -209.89 | -0.57 | 16 | 76.60 |
| CPB | 1995-12-18 00:00:00 | 30.12 | 77 | 25.31 | 1996-03-25 00:00:00 | 30.29 | TRAILING_STOP | 0.55 | 12.64 | 0.03 | 14 | 77.30 |
| LNC | 1995-12-18 00:00:00 | 26.55 | 86 | 22.21 | 1996-03-11 00:00:00 | 24.58 | TRAILING_STOP | -7.44 | -169.94 | -0.46 | 12 | 77.00 |
| ATRO | 1995-12-11 00:00:00 | 0.84 | 1983 | 0.64 | 1996-06-17 00:00:00 | 1.09 | TRAILING_STOP | 31.07 | 514.51 | 1.36 | 27 | 76.10 |
| FRAF | 1995-12-11 00:00:00 | 15.14 | 166 | 12.87 | 1996-06-24 00:00:00 | 15.97 | STAGE_EXIT | 5.46 | 137.23 | 0.36 | 28 | 81.00 |
| LFVN | 1995-11-13 00:00:00 | 66.77 | 9 | 29.68 | 1996-06-10 00:00:00 | 71.26 | STAGE_EXIT | 6.72 | 40.36 | 0.12 | 30 | 81.70 |
| NJR | 1995-11-13 00:00:00 | 5.98 | 595 | 5.36 | 1996-04-22 00:00:00 | 6.27 | STAGE_EXIT | 4.70 | 167.23 | 0.45 | 23 | 73.70 |
| INTG | 1995-11-06 00:00:00 | 17.37 | 112 | 14.07 | 1995-12-18 00:00:00 | 14.81 | TRAILING_STOP | -14.72 | -286.36 | -0.78 | 6 | 76.60 |
| FCF | 1995-10-23 00:00:00 | 8.77 | 344 | 7.69 | 1995-11-13 00:00:00 | 8.36 | STAGE_EXIT | -4.67 | -140.78 | -0.38 | 3 | 74.00 |
| RELL | 1995-10-23 00:00:00 | 9.02 | 257 | 7.57 | 1996-04-29 00:00:00 | 10.43 | TRAILING_STOP | 15.62 | 362.01 | 0.97 | 27 | 76.70 |
| VZ | 1995-10-23 00:00:00 | 28.61 | 125 | 25.66 | 1996-03-04 00:00:00 | 28.72 | TRAILING_STOP | 0.38 | 13.73 | 0.04 | 19 | 73.80 |
| BZH | 1995-09-18 00:00:00 | 28.81 | 104 | 25.29 | 1996-01-22 00:00:00 | 30.36 | STAGE_EXIT | 5.37 | 161.03 | 0.44 | 18 | 79.90 |
| QCRH | 1995-09-18 00:00:00 | 5.07 | 487 | 4.31 | 1995-12-25 00:00:00 | 4.77 | STAGE_EXIT | -5.87 | -144.86 | -0.39 | 14 | 84.20 |
| HURC | 1995-09-11 00:00:00 | 6.14 | 164 | 3.83 | 1995-12-11 00:00:00 | 5.34 | TRAILING_STOP | -13.03 | -131.17 | -0.35 | 13 | 79.60 |
| GPK | 1995-08-07 00:00:00 | 15.73 | 81 | 11.44 | 1995-09-18 00:00:00 | 12.43 | TRAILING_STOP | -20.94 | -266.69 | -0.77 | 6 | 81.00 |
| BLX | 1995-07-24 00:00:00 | 39.45 | 41 | 31.22 | 1996-07-01 00:00:00 | 55.48 | TRAILING_STOP | 40.63 | 657.26 | 1.95 | 49 | 75.90 |
| PCYO | 1995-07-17 00:00:00 | 1.56 | 495 | 0.86 | 1995-11-06 00:00:00 | 1.55 | TRAILING_STOP | -0.90 | -6.94 | -0.02 | 16 | 85.00 |
| PTEN | 1995-06-19 00:00:00 | 1.16 | 1288 | 0.90 | 1995-11-13 00:00:00 | 1.32 | TRAILING_STOP | 13.77 | 205.44 | 0.61 | 21 | 76.70 |
| MMSI | 1995-05-22 00:00:00 | 2.56 | 301 | 1.51 | 1995-09-18 00:00:00 | 2.04 | TRAILING_STOP | -20.49 | -157.92 | -0.50 | 17 | 75.10 |
| AMS | 1995-05-15 00:00:00 | 1.50 | 302 | 0.46 | 1995-10-16 00:00:00 | 1.37 | TRAILING_STOP | -8.70 | -39.49 | -0.13 | 22 | 78.80 |
| CAKE | 1995-05-15 00:00:00 | 4.55 | 286 | 3.45 | 1995-10-16 00:00:00 | 4.95 | TRAILING_STOP | 8.80 | 114.54 | 0.36 | 22 | 77.70 |
| HHS | 1995-05-08 00:00:00 | 52.33 | 35 | 43.37 | 1996-03-25 00:00:00 | 70.69 | STAGE_EXIT | 35.10 | 642.78 | 2.05 | 46 | 76.00 |
| AXGN | 1995-04-10 00:00:00 | 11.52 | 99 | 8.46 | 1995-07-24 00:00:00 | 10.43 | TRAILING_STOP | -9.51 | -108.54 | -0.36 | 15 | 75.10 |
| RIG | 1995-04-03 00:00:00 | 16.83 | 125 | 14.40 | 1996-06-17 00:00:00 | 33.43 | TRAILING_STOP | 98.64 | 2075.11 | 6.84 | 63 | 78.10 |
| IFF | 1995-03-20 00:00:00 | 52.23 | 42 | 45.02 | 1995-05-15 00:00:00 | 47.36 | TRAILING_STOP | -9.32 | -204.41 | -0.67 | 8 | 72.40 |
| ITRI | 1995-02-20 00:00:00 | 25.30 | 59 | 20.28 | 1995-07-17 00:00:00 | 25.81 | TRAILING_STOP | 2.01 | 30.06 | 0.10 | 21 | 74.30 |
| DCO | 1995-02-06 00:00:00 | 4.09 | 302 | 3.11 | 1995-10-16 00:00:00 | 6.04 | TRAILING_STOP | 47.64 | 588.69 | 1.98 | 36 | 75.10 |
| TRNS | 1995-01-30 00:00:00 | 3.01 | 312 | 2.05 | 1995-09-11 00:00:00 | 3.15 | STAGE_EXIT | 4.79 | 44.91 | 0.15 | 32 | 74.20 |
| SMTC | 1995-01-16 00:00:00 | 0.51 | 1714 | 0.33 | 1995-12-11 00:00:00 | 2.78 | TRAILING_STOP | 447.15 | 3899.73 | 12.98 | 47 | 75.80 |
| MTZ | 1995-01-09 00:00:00 | 4.73 | 261 | 3.59 | 1995-04-03 00:00:00 | 4.37 | TRAILING_STOP | -7.54 | -93.15 | -0.31 | 12 | 70.20 |
| NKE | 1994-12-26 00:00:00 | 2.35 | 739 | 1.95 | 1995-04-10 00:00:00 | 2.34 | STAGE_EXIT | -0.57 | -9.81 | -0.03 | 15 | 71.00 |
| ASYS | 1994-12-19 00:00:00 | 4.76 | 218 | 3.41 | 1995-12-25 00:00:00 | 8.04 | TRAILING_STOP | 69.00 | 715.89 | 2.43 | 53 | 74.80 |
| IHT | 1994-12-12 00:00:00 | 8.89 | 447 | 8.24 | 1994-12-19 00:00:00 | 8.61 | STAGE_EXIT | -3.20 | -127.40 | -0.44 | 1 | 75.60 |
| LFUS | 1994-12-12 00:00:00 | 13.90 | 124 | 11.57 | 1995-02-06 00:00:00 | 13.78 | TRAILING_STOP | -0.90 | -15.47 | -0.05 | 8 | 72.10 |
| INCY | 1994-12-05 00:00:00 | 3.38 | 275 | 2.31 | 1995-08-07 00:00:00 | 4.37 | STAGE_EXIT | 29.11 | 270.74 | 0.92 | 35 | 79.10 |
| ADSK | 1994-11-21 00:00:00 | 9.71 | 118 | 7.15 | 1995-01-30 00:00:00 | 8.05 | TRAILING_STOP | -17.10 | -195.83 | -0.65 | 10 | 72.80 |
| EFOR | 1994-11-21 00:00:00 | 3.95 | 356 | 3.10 | 1995-05-08 00:00:00 | 4.05 | TRAILING_STOP | 2.59 | 36.37 | 0.12 | 24 | 74.10 |
| STE | 1994-11-21 00:00:00 | 7.58 | 169 | 5.79 | 1995-12-18 00:00:00 | 16.38 | TRAILING_STOP | 116.22 | 1488.39 | 4.94 | 56 | 73.80 |