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 26 27 28 29 30 31 32
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HUBB | 1994-11-07 00:00:00 | 27.32 | 12 | 3.59 | 1995-06-19 00:00:00 | 28.07 | STAGE_EXIT | 2.74 | 8.97 | 0.03 | 32 | 75.00 |
| LLY | 1994-11-07 00:00:00 | 15.72 | 149 | 13.73 | 1994-12-12 00:00:00 | 15.50 | STAGE_EXIT | -1.39 | -32.58 | -0.11 | 5 | 72.10 |
| VHI | 1994-11-07 00:00:00 | 12.76 | 85 | 9.29 | 1995-05-15 00:00:00 | 12.85 | TRAILING_STOP | 0.70 | 7.61 | 0.03 | 27 | 74.60 |
| ADM | 1994-10-31 00:00:00 | 13.59 | 131 | 11.31 | 1995-02-20 00:00:00 | 13.58 | TRAILING_STOP | -0.03 | -0.56 | -0.00 | 16 | 73.30 |
| STAA | 1994-10-31 00:00:00 | 8.39 | 95 | 5.24 | 1995-05-22 00:00:00 | 9.51 | TRAILING_STOP | 13.35 | 106.44 | 0.36 | 29 | 79.10 |
| VOD | 1994-10-31 00:00:00 | 8.14 | 201 | 6.65 | 1995-01-16 00:00:00 | 7.15 | TRAILING_STOP | -12.18 | -199.35 | -0.67 | 11 | 70.20 |
| AEG | 1994-10-17 00:00:00 | 5.94 | 461 | 5.29 | 1996-06-10 00:00:00 | 11.34 | TRAILING_STOP | 90.97 | 2489.92 | 8.29 | 86 | 71.70 |
| FIZZ | 1994-10-17 00:00:00 | 0.76 | 1123 | 0.49 | 1994-12-12 00:00:00 | 0.59 | TRAILING_STOP | -22.34 | -189.85 | -0.63 | 8 | 77.50 |
| ATR | 1994-10-03 00:00:00 | 6.76 | 321 | 5.85 | 1994-12-12 00:00:00 | 6.22 | TRAILING_STOP | -8.02 | -174.21 | -0.59 | 10 | 76.00 |
| USLM | 1994-09-26 00:00:00 | 1.20 | 1479 | 1.00 | 1994-10-03 00:00:00 | 1.10 | STAGE_EXIT | -8.70 | -154.70 | -0.52 | 1 | 74.00 |
| OLN | 1994-09-19 00:00:00 | 18.65 | 231 | 17.37 | 1994-10-31 00:00:00 | 17.34 | STAGE_EXIT | -7.03 | -302.62 | -1.03 | 6 | 72.00 |
| NTIC | 1994-09-12 00:00:00 | 2.25 | 358 | 1.43 | 1995-01-09 00:00:00 | 2.06 | TRAILING_STOP | -8.70 | -70.21 | -0.24 | 17 | 76.50 |
| CRH | 1994-08-01 00:00:00 | 6.06 | 353 | 5.22 | 1994-09-19 00:00:00 | 5.59 | STAGE_EXIT | -7.81 | -167.08 | -0.56 | 7 | 72.90 |
| FNB | 1994-07-18 00:00:00 | 11.46 | 144 | 9.37 | 1994-09-19 00:00:00 | 10.72 | TRAILING_STOP | -6.48 | -106.99 | -0.35 | 9 | 76.60 |
| OLN | 1994-07-11 00:00:00 | 17.65 | 158 | 15.76 | 1994-08-01 00:00:00 | 18.06 | STAGE_EXIT | 2.29 | 63.95 | 0.21 | 3 | 71.10 |
| ALNT | 1994-07-04 00:00:00 | 2.76 | 421 | 2.04 | 1994-09-05 00:00:00 | 2.17 | TRAILING_STOP | -21.32 | -247.31 | -0.82 | 9 | 73.30 |
| AROW | 1994-06-13 00:00:00 | 5.12 | 242 | 3.87 | 1994-09-26 00:00:00 | 4.92 | TRAILING_STOP | -3.86 | -47.75 | -0.16 | 15 | 73.10 |
| BOH | 1994-06-13 00:00:00 | 17.28 | 126 | 14.90 | 1994-08-22 00:00:00 | 16.34 | STAGE_EXIT | -5.45 | -118.72 | -0.39 | 10 | 71.80 |
| INDB | 1994-06-13 00:00:00 | 6.01 | 330 | 5.10 | 1994-09-26 00:00:00 | 5.88 | TRAILING_STOP | -2.14 | -42.38 | -0.14 | 15 | 71.60 |
| HMC | 1994-06-06 00:00:00 | 9.02 | 331 | 8.12 | 1994-07-25 00:00:00 | 8.66 | TRAILING_STOP | -3.99 | -119.22 | -0.40 | 7 | 71.10 |
| TM | 1994-06-06 00:00:00 | 40.33 | 112 | 37.69 | 1994-09-12 00:00:00 | 41.95 | TRAILING_STOP | 4.03 | 181.91 | 0.61 | 14 | 70.20 |
| WASH | 1994-05-23 00:00:00 | 6.53 | 221 | 5.19 | 1994-11-28 00:00:00 | 6.51 | TRAILING_STOP | -0.40 | -5.76 | -0.02 | 27 | 76.10 |
| JOB | 1994-05-16 00:00:00 | 13.45 | 63 | 8.72 | 1995-03-06 00:00:00 | 26.02 | TRAILING_STOP | 93.39 | 791.59 | 2.65 | 42 | 76.90 |
| ROG | 1994-05-02 00:00:00 | 8.27 | 201 | 6.75 | 1994-08-01 00:00:00 | 8.07 | TRAILING_STOP | -2.40 | -39.86 | -0.13 | 13 | 72.60 |
| TRT | 1994-04-11 00:00:00 | 1.09 | 744 | 0.68 | 1994-08-22 00:00:00 | 0.83 | STAGE_EXIT | -23.38 | -188.85 | -0.62 | 19 | 75.00 |
| INDB | 1994-03-28 00:00:00 | 5.76 | 310 | 4.76 | 1994-04-04 00:00:00 | 4.75 | INITIAL_STOP | -17.52 | -312.96 | -1.01 | 1 | 72.20 |
| SMTC | 1994-03-28 00:00:00 | 0.39 | 2341 | 0.26 | 1994-08-01 00:00:00 | 0.31 | TRAILING_STOP | -20.72 | -189.83 | -0.61 | 18 | 76.50 |
| WASH | 1994-02-14 00:00:00 | 5.49 | 515 | 4.86 | 1994-05-09 00:00:00 | 5.37 | STAGE_EXIT | -2.19 | -62.05 | -0.19 | 12 | 70.60 |
| LIN | 1994-01-31 00:00:00 | 9.58 | 204 | 8.05 | 1994-03-28 00:00:00 | 8.44 | TRAILING_STOP | -11.95 | -233.62 | -0.75 | 8 | 79.90 |
| NL | 1994-01-24 00:00:00 | 6.89 | 175 | 5.11 | 1994-04-18 00:00:00 | 6.21 | TRAILING_STOP | -9.79 | -117.98 | -0.38 | 12 | 76.70 |
| PEBK | 1994-01-17 00:00:00 | 6.15 | 250 | 4.91 | 1994-08-01 00:00:00 | 6.62 | TRAILING_STOP | 7.55 | 116.08 | 0.37 | 28 | 78.40 |
| ELA | 1994-01-10 00:00:00 | 3.01 | 288 | 1.93 | 1994-04-04 00:00:00 | 2.37 | TRAILING_STOP | -21.15 | -183.10 | -0.59 | 12 | 74.90 |
| RGLD | 1994-01-03 00:00:00 | 8.52 | 73 | 4.33 | 1994-04-18 00:00:00 | 7.82 | TRAILING_STOP | -8.18 | -50.88 | -0.17 | 15 | 75.10 |
| TTEK | 1994-01-03 00:00:00 | 0.82 | 1596 | 0.63 | 1994-04-18 00:00:00 | 0.74 | TRAILING_STOP | -10.02 | -131.05 | -0.42 | 15 | 72.60 |
| CTBI | 1993-12-27 00:00:00 | 14.74 | 114 | 12.05 | 1994-05-09 00:00:00 | 14.60 | STAGE_EXIT | -0.98 | -16.44 | -0.05 | 19 | 71.00 |
| HON | 1993-12-27 00:00:00 | 18.80 | 149 | 16.74 | 1994-02-14 00:00:00 | 18.60 | STAGE_EXIT | -1.02 | -28.70 | -0.09 | 7 | 70.80 |
| TFX | 1993-12-20 00:00:00 | 19.04 | 93 | 15.72 | 1994-03-28 00:00:00 | 18.03 | STAGE_EXIT | -5.31 | -94.08 | -0.31 | 14 | 71.70 |
| PKE | 1993-12-13 00:00:00 | 6.60 | 280 | 5.47 | 1994-05-30 00:00:00 | 8.56 | TRAILING_STOP | 29.84 | 551.10 | 1.75 | 24 | 73.30 |
| SXI | 1993-12-13 00:00:00 | 26.55 | 59 | 21.27 | 1994-05-23 00:00:00 | 26.81 | TRAILING_STOP | 0.97 | 15.24 | 0.05 | 23 | 73.00 |
| SU | 1993-12-06 00:00:00 | 1.45 | 232 | 0.08 | 1994-06-13 00:00:00 | 1.31 | STAGE_EXIT | -9.55 | -32.09 | -0.10 | 27 | 75.00 |
| FUN | 1993-11-22 00:00:00 | 17.66 | 139 | 15.41 | 1993-12-13 00:00:00 | 16.72 | STAGE_EXIT | -5.34 | -131.18 | -0.42 | 3 | 70.20 |
| MZTI | 1993-11-01 00:00:00 | 23.05 | 73 | 18.69 | 1994-01-31 00:00:00 | 20.98 | TRAILING_STOP | -8.98 | -151.01 | -0.47 | 13 | 71.20 |
| SFNC | 1993-10-25 00:00:00 | 4.55 | 469 | 3.88 | 1993-11-22 00:00:00 | 4.45 | STAGE_EXIT | -2.23 | -47.53 | -0.15 | 4 | 72.00 |
| MEOH | 1993-10-18 00:00:00 | 8.52 | 200 | 6.95 | 1993-12-27 00:00:00 | 7.59 | TRAILING_STOP | -10.90 | -185.75 | -0.59 | 10 | 79.20 |
| BKTI | 1993-10-11 00:00:00 | 33.19 | 32 | 23.79 | 1993-12-13 00:00:00 | 26.50 | TRAILING_STOP | -20.16 | -214.09 | -0.71 | 9 | 75.70 |
| OLP | 1993-10-11 00:00:00 | 9.82 | 386 | 9.03 | 1993-10-25 00:00:00 | 9.56 | STAGE_EXIT | -2.64 | -99.98 | -0.33 | 2 | 75.90 |
| COP | 1993-10-04 00:00:00 | 13.37 | 159 | 11.46 | 1993-11-01 00:00:00 | 12.36 | STAGE_EXIT | -7.51 | -159.69 | -0.53 | 4 | 75.00 |
| GFF | 1993-09-27 00:00:00 | 7.52 | 256 | 6.34 | 1994-03-28 00:00:00 | 7.85 | TRAILING_STOP | 4.51 | 86.73 | 0.29 | 26 | 72.80 |
| RMCF | 1993-09-27 00:00:00 | 3.10 | 207 | 1.65 | 1994-04-04 00:00:00 | 3.70 | STAGE_EXIT | 19.52 | 125.20 | 0.42 | 27 | 77.00 |
| VALU | 1993-09-27 00:00:00 | 42.08 | 28 | 31.45 | 1993-11-22 00:00:00 | 33.56 | TRAILING_STOP | -20.27 | -238.80 | -0.80 | 8 | 73.60 |