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 28 29 30 31 32 33 34
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| FCNCA | 1992-04-27 00:00:00 | 31.31 | 159 | 29.85 | 1993-04-05 00:00:00 | 49.76 | TRAILING_STOP | 58.91 | 2932.85 | 12.61 | 49 | 71.30 |
| SXI | 1992-04-27 00:00:00 | 14.78 | 102 | 12.50 | 1992-07-20 00:00:00 | 15.02 | TRAILING_STOP | 1.62 | 24.46 | 0.11 | 12 | 71.70 |
| AVD | 1992-03-30 00:00:00 | 1.09 | 730 | 0.76 | 1992-07-13 00:00:00 | 0.97 | TRAILING_STOP | -10.34 | -82.00 | -0.35 | 15 | 74.00 |
| GWW | 1992-03-30 00:00:00 | 28.93 | 63 | 25.19 | 1992-04-27 00:00:00 | 25.14 | STAGE_EXIT | -13.12 | -239.22 | -1.01 | 4 | 70.10 |
| SPXC | 1992-03-30 00:00:00 | 2.16 | 521 | 1.71 | 1992-08-10 00:00:00 | 2.26 | TRAILING_STOP | 4.77 | 53.69 | 0.23 | 19 | 72.80 |
| WDFC | 1992-03-30 00:00:00 | 20.29 | 62 | 16.48 | 1992-06-22 00:00:00 | 19.16 | TRAILING_STOP | -5.58 | -70.16 | -0.30 | 12 | 78.50 |
| MAN | 1992-03-16 00:00:00 | 16.16 | 138 | 14.43 | 1992-03-30 00:00:00 | 14.40 | INITIAL_STOP | -10.88 | -242.69 | -1.02 | 2 | 76.00 |
| LHX | 1992-03-02 00:00:00 | 7.46 | 242 | 6.46 | 1992-04-20 00:00:00 | 6.45 | INITIAL_STOP | -13.48 | -243.23 | -1.01 | 7 | 73.00 |
| CULP | 1992-02-17 00:00:00 | 7.08 | 156 | 5.54 | 1992-05-04 00:00:00 | 6.62 | TRAILING_STOP | -6.51 | -71.87 | -0.30 | 11 | 78.60 |
| HIFS | 1992-02-17 00:00:00 | 4.01 | 161 | 2.51 | 1992-08-24 00:00:00 | 4.26 | TRAILING_STOP | 6.26 | 40.40 | 0.17 | 27 | 81.10 |
| MERC | 1992-01-27 00:00:00 | 5.70 | 175 | 4.34 | 1992-06-15 00:00:00 | 6.95 | TRAILING_STOP | 21.97 | 219.13 | 0.92 | 20 | 79.50 |
| MLCI | 1992-01-13 00:00:00 | 8.27 | 54 | 4.03 | 1992-05-18 00:00:00 | 8.56 | TRAILING_STOP | 3.61 | 16.10 | 0.07 | 18 | 80.40 |
| UMBF | 1992-01-13 00:00:00 | 15.15 | 155 | 13.65 | 1992-03-23 00:00:00 | 15.18 | STAGE_EXIT | 0.25 | 5.81 | 0.03 | 10 | 79.00 |
| C | 1991-12-30 00:00:00 | 32.75 | 41 | 27.14 | 1992-03-30 00:00:00 | 32.14 | TRAILING_STOP | -1.84 | -24.72 | -0.11 | 13 | 72.60 |
| SO | 1991-12-23 00:00:00 | 10.06 | 199 | 8.93 | 1992-02-17 00:00:00 | 9.48 | TRAILING_STOP | -5.80 | -116.05 | -0.51 | 8 | 75.70 |
| DTE | 1991-12-09 00:00:00 | 29.53 | 63 | 25.95 | 1992-01-27 00:00:00 | 27.50 | STAGE_EXIT | -6.87 | -127.82 | -0.57 | 7 | 73.10 |
| PCG | 1991-12-09 00:00:00 | 31.69 | 54 | 27.51 | 1992-03-02 00:00:00 | 29.54 | TRAILING_STOP | -6.77 | -115.89 | -0.51 | 12 | 73.30 |
| BRID | 1991-11-25 00:00:00 | 13.80 | 86 | 11.24 | 1992-04-06 00:00:00 | 15.33 | TRAILING_STOP | 11.08 | 131.49 | 0.60 | 19 | 70.90 |
| C | 1991-11-11 00:00:00 | 30.67 | 52 | 26.24 | 1991-11-25 00:00:00 | 27.02 | STAGE_EXIT | -11.88 | -189.43 | -0.82 | 2 | 72.30 |
| MGEE | 1991-11-11 00:00:00 | 12.99 | 162 | 11.57 | 1992-03-23 00:00:00 | 13.20 | STAGE_EXIT | 1.59 | 33.52 | 0.15 | 19 | 73.90 |
| THO | 1991-10-14 00:00:00 | 1.74 | 425 | 1.22 | 1992-05-18 00:00:00 | 2.54 | TRAILING_STOP | 45.88 | 339.20 | 1.53 | 31 | 75.80 |
| EXC | 1991-10-07 00:00:00 | 8.26 | 233 | 7.32 | 1992-01-13 00:00:00 | 8.06 | TRAILING_STOP | -2.50 | -48.22 | -0.22 | 14 | 72.80 |
| NSC | 1991-10-07 00:00:00 | 18.37 | 88 | 15.87 | 1992-03-16 00:00:00 | 18.81 | TRAILING_STOP | 2.40 | 38.78 | 0.18 | 23 | 73.10 |
| MAT | 1991-09-30 00:00:00 | 8.35 | 163 | 7.01 | 1992-05-11 00:00:00 | 10.59 | TRAILING_STOP | 26.93 | 366.39 | 1.69 | 32 | 73.10 |
| RGEN | 1991-09-23 00:00:00 | 17.79 | 57 | 13.93 | 1991-11-18 00:00:00 | 14.86 | TRAILING_STOP | -16.44 | -166.64 | -0.76 | 8 | 76.90 |
| WSBC | 1991-09-16 00:00:00 | 11.02 | 205 | 9.95 | 1991-11-04 00:00:00 | 10.48 | STAGE_EXIT | -4.93 | -111.32 | -0.51 | 7 | 82.50 |
| ATO | 1991-09-09 00:00:00 | 13.69 | 107 | 11.64 | 1992-02-17 00:00:00 | 13.47 | TRAILING_STOP | -1.62 | -23.77 | -0.11 | 23 | 72.90 |
| EXC | 1991-08-26 00:00:00 | 7.64 | 416 | 7.12 | 1991-09-02 00:00:00 | 7.61 | STAGE_EXIT | -0.40 | -12.68 | -0.06 | 1 | 75.70 |
| ASRV | 1991-08-19 00:00:00 | 5.18 | 550 | 4.79 | 1991-11-18 00:00:00 | 5.79 | TRAILING_STOP | 11.89 | 338.56 | 1.61 | 13 | 76.30 |
| SBCF | 1991-08-19 00:00:00 | 17.46 | 76 | 14.71 | 1991-11-04 00:00:00 | 16.87 | TRAILING_STOP | -3.37 | -44.78 | -0.21 | 11 | 81.30 |
| VIRC | 1991-08-19 00:00:00 | 1.93 | 617 | 1.59 | 1991-09-23 00:00:00 | 1.67 | STAGE_EXIT | -13.68 | -163.03 | -0.77 | 5 | 78.60 |
| NI | 1991-08-12 00:00:00 | 4.45 | 482 | 4.01 | 1992-01-13 00:00:00 | 4.76 | TRAILING_STOP | 6.77 | 145.30 | 0.68 | 22 | 74.50 |
| PRG | 1991-08-12 00:00:00 | 0.68 | 2363 | 0.59 | 1991-09-09 00:00:00 | 0.71 | STAGE_EXIT | 4.23 | 67.70 | 0.32 | 4 | 77.80 |
| NSC | 1991-07-22 00:00:00 | 16.66 | 129 | 15.01 | 1991-08-26 00:00:00 | 16.76 | STAGE_EXIT | 0.60 | 12.88 | 0.06 | 5 | 70.60 |
| HON | 1991-07-15 00:00:00 | 8.59 | 126 | 6.93 | 1991-09-30 00:00:00 | 8.42 | TRAILING_STOP | -1.92 | -20.76 | -0.10 | 11 | 79.80 |
| DOV | 1991-06-03 00:00:00 | 7.28 | 278 | 6.53 | 1991-06-24 00:00:00 | 6.64 | TRAILING_STOP | -8.78 | -177.77 | -0.85 | 3 | 76.20 |
| BKTI | 1991-04-29 00:00:00 | 45.09 | 11 | 26.68 | 1991-09-09 00:00:00 | 38.02 | TRAILING_STOP | -15.67 | -77.73 | -0.38 | 19 | 82.20 |
| OPY | 1991-02-25 00:00:00 | 3.69 | 86 | 1.40 | 1992-05-04 00:00:00 | 7.61 | STAGE_EXIT | 105.95 | 336.68 | 1.71 | 62 | 78.80 |
| CAR | 1991-02-11 00:00:00 | 5.62 | 132 | 4.14 | 1991-08-19 00:00:00 | 7.57 | TRAILING_STOP | 34.67 | 257.26 | 1.32 | 27 | 71.10 |
| COO | 1991-02-11 00:00:00 | 1.97 | 319 | 1.36 | 1991-06-10 00:00:00 | 1.72 | TRAILING_STOP | -12.70 | -79.89 | -0.41 | 17 | 76.80 |
| DXC | 1991-02-11 00:00:00 | 4.70 | 193 | 3.69 | 1991-07-29 00:00:00 | 5.20 | TRAILING_STOP | 10.64 | 96.47 | 0.49 | 24 | 72.00 |
| JKHY | 1991-02-11 00:00:00 | 0.21 | 2074 | 0.11 | 1992-04-06 00:00:00 | 0.80 | TRAILING_STOP | 283.20 | 1226.10 | 6.26 | 60 | 78.30 |
| LMT | 1991-02-11 00:00:00 | 12.83 | 59 | 9.54 | 1991-06-03 00:00:00 | 12.18 | TRAILING_STOP | -5.05 | -38.24 | -0.20 | 16 | 73.00 |
| MKC | 1991-02-11 00:00:00 | 3.91 | 225 | 3.05 | 1991-09-16 00:00:00 | 5.00 | TRAILING_STOP | 27.64 | 243.45 | 1.25 | 31 | 73.40 |
| NOC | 1991-02-11 00:00:00 | 10.41 | 71 | 7.68 | 1991-09-09 00:00:00 | 11.91 | TRAILING_STOP | 14.40 | 106.44 | 0.55 | 30 | 75.80 |
| EHC | 1991-02-04 00:00:00 | 19.93 | 35 | 14.51 | 1991-06-10 00:00:00 | 19.75 | TRAILING_STOP | -0.90 | -6.26 | -0.03 | 18 | 70.70 |
| FISV | 1991-02-04 00:00:00 | 0.73 | 1104 | 0.55 | 1991-08-19 00:00:00 | 0.85 | TRAILING_STOP | 16.82 | 135.82 | 0.70 | 28 | 73.50 |
| PTC | 1991-02-04 00:00:00 | 3.78 | 161 | 2.58 | 1992-07-06 00:00:00 | 10.04 | TRAILING_STOP | 165.46 | 1007.91 | 5.18 | 74 | 76.60 |
| DX | 1991-01-28 00:00:00 | 34.57 | 31 | 28.36 | 1991-12-30 00:00:00 | 65.54 | TRAILING_STOP | 89.59 | 960.06 | 4.99 | 48 | 71.00 |
| ETR | 1991-01-28 00:00:00 | 11.77 | 128 | 10.26 | 1991-06-03 00:00:00 | 11.91 | STAGE_EXIT | 1.19 | 17.94 | 0.09 | 18 | 72.40 |