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 27 28 29 30 31 32 33
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CAH | 1993-09-06 00:00:00 | 8.67 | 158 | 6.77 | 1994-01-24 00:00:00 | 9.94 | TRAILING_STOP | 14.71 | 201.55 | 0.67 | 20 | 73.30 |
| AIG | 1993-08-09 00:00:00 | 303.22 | 7 | 266.30 | 1993-10-18 00:00:00 | 282.70 | TRAILING_STOP | -6.77 | -143.66 | -0.56 | 10 | 71.90 |
| HON | 1993-08-09 00:00:00 | 17.26 | 157 | 15.41 | 1993-09-20 00:00:00 | 16.81 | STAGE_EXIT | -2.61 | -70.80 | -0.24 | 6 | 73.00 |
| AIN | 1993-07-26 00:00:00 | 17.76 | 113 | 15.18 | 1993-10-11 00:00:00 | 16.98 | STAGE_EXIT | -4.41 | -88.50 | -0.30 | 11 | 71.30 |
| DIOD | 1993-07-19 00:00:00 | 0.49 | 2031 | 0.35 | 1993-12-20 00:00:00 | 0.96 | TRAILING_STOP | 93.25 | 937.14 | 3.16 | 22 | 73.60 |
| TAYD | 1993-07-19 00:00:00 | 1.50 | 583 | 1.00 | 1994-03-28 00:00:00 | 2.89 | TRAILING_STOP | 92.56 | 811.08 | 2.74 | 36 | 78.50 |
| IDA | 1993-07-12 00:00:00 | 32.06 | 100 | 29.10 | 1993-08-09 00:00:00 | 31.69 | STAGE_EXIT | -1.18 | -37.75 | -0.13 | 4 | 70.20 |
| RNST | 1993-07-12 00:00:00 | 7.52 | 219 | 6.16 | 1993-11-29 00:00:00 | 7.45 | TRAILING_STOP | -0.90 | -14.78 | -0.05 | 20 | 75.20 |
| FRD | 1993-06-28 00:00:00 | 2.76 | 412 | 2.06 | 1993-10-04 00:00:00 | 2.82 | TRAILING_STOP | 2.30 | 26.14 | 0.09 | 14 | 76.80 |
| CRH | 1993-06-07 00:00:00 | 4.41 | 545 | 3.88 | 1993-11-22 00:00:00 | 4.54 | TRAILING_STOP | 3.00 | 71.99 | 0.25 | 24 | 76.00 |
| FSTR | 1993-06-07 00:00:00 | 4.76 | 163 | 2.99 | 1993-09-20 00:00:00 | 3.68 | TRAILING_STOP | -22.72 | -176.24 | -0.61 | 15 | 78.00 |
| COKE | 1993-05-24 00:00:00 | 2.20 | 759 | 1.83 | 1994-01-03 00:00:00 | 3.30 | TRAILING_STOP | 49.78 | 832.89 | 2.90 | 32 | 73.00 |
| CDE | 1993-05-10 00:00:00 | 190.38 | 5 | 135.36 | 1993-09-06 00:00:00 | 181.06 | TRAILING_STOP | -4.90 | -46.61 | -0.17 | 17 | 71.00 |
| AEM | 1993-04-26 00:00:00 | 6.39 | 149 | 4.50 | 1994-01-17 00:00:00 | 12.71 | TRAILING_STOP | 99.05 | 942.71 | 3.36 | 38 | 73.00 |
| NI | 1993-04-19 00:00:00 | 6.30 | 298 | 5.33 | 1993-10-11 00:00:00 | 6.64 | STAGE_EXIT | 5.44 | 102.06 | 0.35 | 25 | 76.20 |
| SONY | 1993-04-12 00:00:00 | 4.22 | 334 | 3.36 | 1993-06-14 00:00:00 | 4.11 | TRAILING_STOP | -2.66 | -37.52 | -0.13 | 9 | 74.20 |
| OTTR | 1993-04-05 00:00:00 | 19.91 | 100 | 17.04 | 1993-05-10 00:00:00 | 18.46 | STAGE_EXIT | -7.29 | -145.18 | -0.50 | 5 | 76.40 |
| SWX | 1993-03-22 00:00:00 | 17.79 | 79 | 14.17 | 1993-06-07 00:00:00 | 17.01 | TRAILING_STOP | -4.39 | -61.64 | -0.22 | 11 | 77.70 |
| NNN | 1993-03-15 00:00:00 | 13.40 | 198 | 11.92 | 1993-05-31 00:00:00 | 13.47 | STAGE_EXIT | 0.53 | 14.11 | 0.05 | 11 | 74.90 |
| WSBC | 1993-03-15 00:00:00 | 17.20 | 137 | 15.05 | 1993-09-13 00:00:00 | 20.36 | TRAILING_STOP | 18.35 | 432.33 | 1.47 | 26 | 74.90 |
| OKE | 1993-03-01 00:00:00 | 4.50 | 477 | 3.87 | 1993-07-19 00:00:00 | 4.78 | STAGE_EXIT | 6.28 | 134.71 | 0.45 | 20 | 73.50 |
| LZB | 1993-02-15 00:00:00 | 9.69 | 171 | 7.92 | 1993-05-10 00:00:00 | 8.65 | STAGE_EXIT | -10.70 | -177.27 | -0.59 | 12 | 71.80 |
| PSA | 1993-02-15 00:00:00 | 10.65 | 248 | 9.42 | 1993-12-27 00:00:00 | 13.65 | TRAILING_STOP | 28.25 | 745.89 | 2.46 | 45 | 75.70 |
| SEB | 1993-02-15 00:00:00 | 232.46 | 5 | 175.73 | 1993-05-31 00:00:00 | 229.39 | TRAILING_STOP | -1.32 | -15.39 | -0.05 | 15 | 73.80 |
| LEG | 1992-11-09 00:00:00 | 7.36 | 194 | 6.03 | 1993-08-09 00:00:00 | 9.82 | STAGE_EXIT | 33.51 | 478.33 | 1.85 | 39 | 70.60 |
| AVT | 1992-10-26 00:00:00 | 15.53 | 135 | 13.67 | 1993-02-15 00:00:00 | 15.57 | TRAILING_STOP | 0.25 | 5.21 | 0.02 | 16 | 71.10 |
| WDC | 1992-10-12 00:00:00 | 2.22 | 474 | 1.71 | 1993-03-15 00:00:00 | 2.67 | TRAILING_STOP | 20.05 | 211.41 | 0.87 | 22 | 74.00 |
| ORI | 1992-10-05 00:00:00 | 5.88 | 257 | 4.93 | 1993-03-01 00:00:00 | 5.71 | TRAILING_STOP | -2.90 | -43.80 | -0.18 | 21 | 74.60 |
| PBT | 1992-10-05 00:00:00 | 5.01 | 269 | 4.10 | 1992-11-09 00:00:00 | 4.37 | STAGE_EXIT | -12.85 | -173.17 | -0.71 | 5 | 78.80 |
| WRB | 1992-10-05 00:00:00 | 1.71 | 654 | 1.34 | 1993-04-12 00:00:00 | 1.73 | TRAILING_STOP | 1.31 | 14.63 | 0.06 | 27 | 72.30 |
| RAMP | 1992-09-21 00:00:00 | 3.23 | 210 | 2.08 | 1993-02-15 00:00:00 | 3.43 | TRAILING_STOP | 6.50 | 43.99 | 0.18 | 21 | 75.90 |
| ARKR | 1992-09-14 00:00:00 | 5.76 | 208 | 4.61 | 1993-03-15 00:00:00 | 6.95 | TRAILING_STOP | 20.65 | 247.43 | 1.03 | 26 | 75.20 |
| GCO | 1992-09-14 00:00:00 | 6.80 | 157 | 5.28 | 1993-04-26 00:00:00 | 8.33 | TRAILING_STOP | 22.56 | 240.85 | 1.01 | 32 | 72.00 |
| HAE | 1992-09-14 00:00:00 | 9.83 | 144 | 8.18 | 1993-02-15 00:00:00 | 10.49 | TRAILING_STOP | 6.70 | 94.84 | 0.40 | 22 | 72.70 |
| CWT | 1992-08-17 00:00:00 | 8.52 | 223 | 7.45 | 1992-09-07 00:00:00 | 7.80 | STAGE_EXIT | -8.46 | -160.59 | -0.68 | 3 | 75.50 |
| MCS | 1992-07-27 00:00:00 | 6.05 | 274 | 5.20 | 1993-06-21 00:00:00 | 9.92 | TRAILING_STOP | 64.01 | 1060.87 | 4.54 | 47 | 73.50 |
| AEM | 1992-07-20 00:00:00 | 5.51 | 186 | 4.25 | 1992-08-10 00:00:00 | 4.37 | TRAILING_STOP | -20.72 | -212.37 | -0.91 | 3 | 72.50 |
| AGYS | 1992-07-20 00:00:00 | 4.53 | 273 | 3.67 | 1993-03-22 00:00:00 | 6.99 | TRAILING_STOP | 54.34 | 671.66 | 2.87 | 35 | 71.50 |
| AON | 1992-07-06 00:00:00 | 13.88 | 165 | 12.46 | 1992-08-10 00:00:00 | 13.53 | STAGE_EXIT | -2.53 | -57.93 | -0.25 | 5 | 74.40 |
| FULT | 1992-07-06 00:00:00 | 5.65 | 372 | 5.01 | 1992-10-26 00:00:00 | 5.99 | TRAILING_STOP | 6.10 | 128.12 | 0.54 | 16 | 77.40 |
| TMP | 1992-07-06 00:00:00 | 10.54 | 348 | 9.86 | 1992-07-20 00:00:00 | 11.00 | STAGE_EXIT | 4.34 | 159.32 | 0.68 | 2 | 73.50 |
| VMC | 1992-07-06 00:00:00 | 15.20 | 114 | 13.14 | 1992-08-10 00:00:00 | 14.51 | STAGE_EXIT | -4.50 | -78.02 | -0.33 | 5 | 71.10 |
| GL | 1992-06-29 00:00:00 | 9.80 | 189 | 8.56 | 1993-04-19 00:00:00 | 12.41 | TRAILING_STOP | 26.70 | 494.46 | 2.12 | 42 | 73.10 |
| RGLD | 1992-06-08 00:00:00 | 1.13 | 232 | 0.10 | 1993-07-26 00:00:00 | 3.87 | TRAILING_STOP | 243.07 | 635.68 | 2.66 | 59 | 80.00 |
| ICCC | 1992-06-01 00:00:00 | 2.13 | 215 | 1.03 | 1992-08-24 00:00:00 | 1.38 | TRAILING_STOP | -35.34 | -161.78 | -0.68 | 12 | 78.20 |
| CSWC | 1992-05-25 00:00:00 | 2.51 | 851 | 2.23 | 1993-06-07 00:00:00 | 3.35 | STAGE_EXIT | 33.87 | 722.23 | 3.04 | 54 | 72.80 |
| FBNC | 1992-05-25 00:00:00 | 3.45 | 279 | 2.60 | 1992-08-17 00:00:00 | 3.03 | TRAILING_STOP | -12.09 | -116.38 | -0.49 | 12 | 73.60 |
| WSBC | 1992-05-25 00:00:00 | 13.03 | 126 | 11.15 | 1992-10-05 00:00:00 | 14.14 | TRAILING_STOP | 8.54 | 140.15 | 0.59 | 19 | 71.40 |
| CSL | 1992-05-11 00:00:00 | 5.60 | 287 | 4.79 | 1992-06-29 00:00:00 | 5.33 | STAGE_EXIT | -4.85 | -78.03 | -0.33 | 7 | 70.90 |
| MLI | 1992-05-11 00:00:00 | 0.46 | 1571 | 0.31 | 1992-06-22 00:00:00 | 0.42 | TRAILING_STOP | -8.46 | -61.36 | -0.26 | 6 | 73.80 |