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
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EWTX | 2024-01-22 00:00:00 | 13.41 | 478 | 7.34 | 2024-07-29 00:00:00 | 17.05 | TRAILING_STOP | 27.14 | 1739.09 | 0.60 | 27 | 78.80 |
| NGNE | 2024-01-15 00:00:00 | 30.56 | 193 | 15.50 | 2024-06-17 00:00:00 | 30.76 | TRAILING_STOP | 0.64 | 37.99 | 0.01 | 22 | 75.70 |
| KEEL | 2023-12-11 00:00:00 | 2.33 | 2897 | 1.34 | 2024-04-08 00:00:00 | 2.01 | TRAILING_STOP | -13.76 | -930.71 | -0.32 | 17 | 83.20 |
| S | 2023-12-11 00:00:00 | 24.05 | 375 | 16.39 | 2024-03-11 00:00:00 | 22.66 | TRAILING_STOP | -5.77 | -520.32 | -0.18 | 13 | 84.70 |
| PATH | 2023-12-04 00:00:00 | 24.31 | 381 | 16.76 | 2024-04-01 00:00:00 | 22.00 | TRAILING_STOP | -9.52 | -881.39 | -0.31 | 17 | 84.30 |
| AOMR | 2023-11-20 00:00:00 | 10.20 | 1684 | 8.49 | 2024-02-26 00:00:00 | 10.10 | TRAILING_STOP | -0.99 | -170.84 | -0.06 | 14 | 75.50 |
| OPFI | 2023-11-20 00:00:00 | 3.28 | 2862 | 2.27 | 2024-03-04 00:00:00 | 3.16 | TRAILING_STOP | -3.61 | -338.97 | -0.12 | 15 | 79.40 |
| BCHT | 2023-11-13 00:00:00 | 4.21 | 1181 | 1.78 | 2024-01-22 00:00:00 | 3.77 | TRAILING_STOP | -10.34 | -513.69 | -0.18 | 10 | 74.70 |
| FMX | 2023-11-06 00:00:00 | 121.19 | 191 | 106.27 | 2024-02-19 00:00:00 | 124.72 | TRAILING_STOP | 2.91 | 674.26 | 0.24 | 15 | 72.90 |
| MOG-A | 2023-11-06 00:00:00 | 131.62 | 119 | 107.78 | 2024-08-05 00:00:00 | 160.46 | TRAILING_STOP | 21.91 | 3431.73 | 1.21 | 39 | 73.90 |
| SUN | 2023-11-06 00:00:00 | 53.83 | 346 | 45.59 | 2024-04-08 00:00:00 | 55.86 | TRAILING_STOP | 3.78 | 703.65 | 0.25 | 22 | 74.50 |
| TK | 2023-11-06 00:00:00 | 7.52 | 2196 | 6.22 | 2023-12-11 00:00:00 | 6.41 | TRAILING_STOP | -14.75 | -2433.39 | -0.85 | 5 | 72.50 |
| BLTE | 2023-10-30 00:00:00 | 37.35 | 239 | 25.29 | 2024-03-11 00:00:00 | 39.46 | TRAILING_STOP | 5.63 | 502.39 | 0.17 | 19 | 76.80 |
| ENGN | 2023-10-30 00:00:00 | 23.93 | 227 | 11.25 | 2023-11-06 00:00:00 | 11.22 | INITIAL_STOP | -53.09 | -2883.91 | -1.00 | 1 | 76.60 |
| LRN | 2023-10-30 00:00:00 | 54.60 | 216 | 41.23 | 2024-02-19 00:00:00 | 56.69 | TRAILING_STOP | 3.82 | 450.88 | 0.16 | 16 | 75.20 |
| UUU | 2023-10-30 00:00:00 | 3.88 | 2024 | 2.45 | 2023-11-20 00:00:00 | 2.65 | TRAILING_STOP | -31.66 | -2484.92 | -0.86 | 3 | 74.40 |
| MSM | 2023-10-16 00:00:00 | 104.94 | 288 | 94.59 | 2023-10-23 00:00:00 | 94.40 | STAGE_EXIT | -10.04 | -3034.17 | -1.02 | 1 | 70.40 |
| GLBS | 2023-10-09 00:00:00 | 2.19 | 2609 | 1.04 | 2024-04-08 00:00:00 | 2.11 | TRAILING_STOP | -4.04 | -231.16 | -0.08 | 26 | 77.00 |
| VIRC | 2023-10-02 00:00:00 | 8.07 | 821 | 4.33 | 2024-09-09 00:00:00 | 13.46 | TRAILING_STOP | 66.81 | 4424.52 | 1.44 | 49 | 78.20 |
| EU | 2023-09-25 00:00:00 | 3.24 | 3277 | 2.33 | 2024-06-03 00:00:00 | 4.23 | TRAILING_STOP | 30.55 | 3240.29 | 1.09 | 36 | 74.30 |
| MTRX | 2023-09-25 00:00:00 | 10.43 | 711 | 6.24 | 2024-01-15 00:00:00 | 9.08 | TRAILING_STOP | -12.99 | -963.20 | -0.32 | 16 | 79.40 |
| XBP | 2023-09-25 00:00:00 | 151.30 | 71 | 109.83 | 2023-10-23 00:00:00 | 118.54 | TRAILING_STOP | -21.65 | -2326.27 | -0.79 | 4 | 89.90 |
| GTEC | 2023-09-11 00:00:00 | 4.55 | 1116 | 1.83 | 2023-11-20 00:00:00 | 2.53 | TRAILING_STOP | -44.34 | -2250.87 | -0.74 | 10 | 81.50 |
| UBS | 2023-09-04 00:00:00 | 26.74 | 526 | 20.98 | 2023-11-06 00:00:00 | 24.49 | STAGE_EXIT | -8.42 | -1184.79 | -0.39 | 9 | 75.90 |
| GRPN | 2023-08-28 00:00:00 | 13.08 | 430 | 6.06 | 2023-11-06 00:00:00 | 8.36 | TRAILING_STOP | -36.06 | -2027.57 | -0.67 | 10 | 83.60 |
| MTSI | 2023-08-28 00:00:00 | 81.84 | 182 | 65.30 | 2023-10-16 00:00:00 | 75.42 | TRAILING_STOP | -7.85 | -1169.21 | -0.39 | 7 | 79.30 |
| ESOA | 2023-08-21 00:00:00 | 3.99 | 2021 | 2.50 | 2023-12-11 00:00:00 | 3.50 | TRAILING_STOP | -12.17 | -980.76 | -0.33 | 16 | 80.90 |
| ECHO | 2023-08-07 00:00:00 | 21.28 | 915 | 17.94 | 2023-08-21 00:00:00 | 18.10 | STAGE_EXIT | -14.95 | -2910.52 | -0.95 | 2 | 85.70 |
| ETD | 2023-08-07 00:00:00 | 35.43 | 423 | 28.21 | 2023-08-28 00:00:00 | 31.59 | STAGE_EXIT | -10.85 | -1626.02 | -0.53 | 3 | 84.00 |
| TRT | 2023-08-07 00:00:00 | 3.17 | 3813 | 2.37 | 2023-11-06 00:00:00 | 2.80 | TRAILING_STOP | -11.84 | -1431.82 | -0.47 | 13 | 81.00 |
| VICR | 2023-07-31 00:00:00 | 95.09 | 74 | 53.87 | 2023-08-28 00:00:00 | 68.86 | STAGE_EXIT | -27.58 | -1940.86 | -0.64 | 4 | 83.80 |
| TARS | 2023-07-24 00:00:00 | 24.48 | 385 | 16.39 | 2023-08-07 00:00:00 | 16.35 | INITIAL_STOP | -33.19 | -3127.73 | -1.00 | 2 | 83.80 |
| DBX | 2023-07-10 00:00:00 | 26.97 | 695 | 22.53 | 2023-10-23 00:00:00 | 26.12 | TRAILING_STOP | -3.18 | -596.09 | -0.19 | 15 | 76.90 |
| BDTX | 2023-07-03 00:00:00 | 4.89 | 1114 | 2.08 | 2023-09-25 00:00:00 | 2.99 | TRAILING_STOP | -38.87 | -2117.49 | -0.68 | 12 | 84.70 |
| CRCT | 2023-06-19 00:00:00 | 15.48 | 561 | 9.78 | 2023-07-31 00:00:00 | 10.96 | TRAILING_STOP | -29.18 | -2534.64 | -0.79 | 6 | 88.70 |
| DHC | 2023-06-12 00:00:00 | 2.75 | 1906 | 1.06 | 2023-09-25 00:00:00 | 1.98 | TRAILING_STOP | -28.02 | -1466.46 | -0.46 | 15 | 84.70 |
| CCC | 2023-06-05 00:00:00 | 11.07 | 1554 | 9.03 | 2023-10-30 00:00:00 | 10.61 | TRAILING_STOP | -4.15 | -714.53 | -0.23 | 21 | 87.30 |
| GSIT | 2023-05-22 00:00:00 | 5.71 | 867 | 2.07 | 2023-08-07 00:00:00 | 3.53 | TRAILING_STOP | -38.19 | -1891.14 | -0.60 | 11 | 89.80 |
| ITRI | 2023-05-08 00:00:00 | 69.03 | 200 | 53.22 | 2023-09-04 00:00:00 | 63.19 | TRAILING_STOP | -8.46 | -1167.98 | -0.37 | 17 | 79.60 |
| FISV | 2023-05-01 00:00:00 | 121.90 | 196 | 105.95 | 2023-09-04 00:00:00 | 121.36 | STAGE_EXIT | -0.45 | -107.12 | -0.03 | 18 | 74.80 |
| MANH | 2023-05-01 00:00:00 | 166.40 | 95 | 133.59 | 2023-10-23 00:00:00 | 184.00 | TRAILING_STOP | 10.58 | 1672.15 | 0.54 | 25 | 76.00 |
| ALDX | 2023-04-03 00:00:00 | 9.90 | 913 | 6.41 | 2023-06-19 00:00:00 | 8.90 | TRAILING_STOP | -10.13 | -915.18 | -0.29 | 11 | 73.60 |
| CRD-A | 2023-04-03 00:00:00 | 8.53 | 1391 | 6.23 | 2023-09-25 00:00:00 | 9.35 | TRAILING_STOP | 9.70 | 1150.08 | 0.36 | 25 | 74.20 |
| DAKT | 2023-03-27 00:00:00 | 5.35 | 1590 | 3.42 | 2023-12-04 00:00:00 | 8.07 | TRAILING_STOP | 50.78 | 4320.34 | 1.41 | 36 | 73.50 |
| BMEA | 2023-03-20 00:00:00 | 15.43 | 538 | 9.84 | 2023-07-24 00:00:00 | 21.28 | TRAILING_STOP | 37.90 | 3146.00 | 1.05 | 18 | 72.80 |
| CATX | 2023-03-20 00:00:00 | 6.01 | 1173 | 3.45 | 2023-08-07 00:00:00 | 5.37 | TRAILING_STOP | -10.64 | -750.50 | -0.25 | 20 | 76.20 |
| OBIO | 2023-03-13 00:00:00 | 14.77 | 650 | 10.07 | 2023-06-05 00:00:00 | 13.42 | TRAILING_STOP | -9.17 | -880.04 | -0.29 | 12 | 76.90 |
| LMNR | 2023-03-06 00:00:00 | 15.99 | 1106 | 13.13 | 2023-06-12 00:00:00 | 14.83 | TRAILING_STOP | -7.25 | -1282.22 | -0.41 | 14 | 72.00 |
| MYRG | 2023-03-06 00:00:00 | 123.45 | 109 | 94.51 | 2023-10-02 00:00:00 | 133.18 | TRAILING_STOP | 7.89 | 1061.16 | 0.34 | 30 | 73.80 |
| UVE | 2023-03-06 00:00:00 | 19.49 | 393 | 11.44 | 2023-05-22 00:00:00 | 14.92 | TRAILING_STOP | -23.47 | -1797.54 | -0.57 | 11 | 73.40 |