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 29 30 31 32 33 34 35
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AAPL | 1991-01-21 00:00:00 | 0.45 | 1806 | 0.34 | 1991-04-29 00:00:00 | 0.43 | TRAILING_STOP | -2.38 | -19.15 | -0.10 | 14 | 71.60 |
| UFI | 1991-01-21 00:00:00 | 32.67 | 24 | 24.65 | 1991-12-02 00:00:00 | 61.65 | TRAILING_STOP | 88.74 | 695.70 | 3.62 | 45 | 70.00 |
| DX | 1990-12-24 00:00:00 | 30.81 | 56 | 27.39 | 1990-12-31 00:00:00 | 30.69 | STAGE_EXIT | -0.40 | -6.89 | -0.04 | 1 | 70.80 |
| SYK | 1990-12-24 00:00:00 | 2.02 | 530 | 1.66 | 1991-01-07 00:00:00 | 1.87 | STAGE_EXIT | -7.35 | -78.66 | -0.41 | 2 | 70.40 |
| HRB | 1990-12-10 00:00:00 | 5.57 | 319 | 4.97 | 1990-12-24 00:00:00 | 5.33 | STAGE_EXIT | -4.32 | -76.74 | -0.40 | 2 | 73.00 |
| BHP | 1990-08-06 00:00:00 | 6.87 | 246 | 6.05 | 1990-08-13 00:00:00 | 7.28 | STAGE_EXIT | 5.92 | 100.06 | 0.50 | 1 | 70.30 |
| BKR | 1990-08-06 00:00:00 | 34.82 | 26 | 27.13 | 1990-10-01 00:00:00 | 28.63 | TRAILING_STOP | -17.78 | -160.99 | -0.81 | 8 | 73.00 |
| KO | 1990-07-23 00:00:00 | 5.90 | 331 | 5.27 | 1990-07-30 00:00:00 | 5.26 | STAGE_EXIT | -10.89 | -212.69 | -1.02 | 1 | 72.40 |
| CVS | 1990-07-16 00:00:00 | 14.40 | 83 | 11.85 | 1990-07-30 00:00:00 | 12.38 | TRAILING_STOP | -14.04 | -167.84 | -0.79 | 2 | 70.30 |
| WM | 1990-06-11 00:00:00 | 3.01 | 166 | 1.80 | 1991-02-25 00:00:00 | 5.86 | STAGE_EXIT | 95.05 | 474.30 | 2.38 | 37 | 78.90 |
| KWR | 1990-06-04 00:00:00 | 16.87 | 72 | 14.05 | 1990-07-30 00:00:00 | 16.72 | TRAILING_STOP | -0.90 | -10.90 | -0.05 | 8 | 71.90 |
| TAP | 1990-06-04 00:00:00 | 12.84 | 74 | 10.09 | 1990-08-06 00:00:00 | 10.77 | TRAILING_STOP | -16.14 | -153.35 | -0.75 | 9 | 73.80 |
| PNW | 1990-05-21 00:00:00 | 16.41 | 39 | 11.40 | 1990-09-03 00:00:00 | 12.72 | TRAILING_STOP | -22.45 | -143.65 | -0.74 | 15 | 78.30 |
| MAT | 1990-05-14 00:00:00 | 6.84 | 127 | 5.28 | 1990-07-09 00:00:00 | 5.69 | STAGE_EXIT | -16.83 | -146.23 | -0.74 | 8 | 70.80 |
| WEYS | 1990-05-14 00:00:00 | 3.34 | 563 | 2.99 | 1990-06-04 00:00:00 | 3.22 | STAGE_EXIT | -3.72 | -69.94 | -0.35 | 3 | 71.30 |
| OSUR | 1990-05-07 00:00:00 | 8.39 | 76 | 5.87 | 1990-07-30 00:00:00 | 7.32 | TRAILING_STOP | -12.73 | -81.19 | -0.42 | 12 | 76.00 |
| PG | 1990-05-07 00:00:00 | 9.21 | 204 | 8.26 | 1990-08-20 00:00:00 | 9.29 | TRAILING_STOP | 0.89 | 16.81 | 0.09 | 15 | 72.60 |
| AEG | 1990-04-16 00:00:00 | 3.08 | 486 | 2.68 | 1990-08-06 00:00:00 | 3.14 | STAGE_EXIT | 2.13 | 31.92 | 0.17 | 16 | 75.10 |
| CRMT | 1990-04-09 00:00:00 | 1.25 | 472 | 0.84 | 1990-06-04 00:00:00 | 1.08 | TRAILING_STOP | -14.11 | -83.42 | -0.43 | 8 | 75.00 |
| SLB | 1990-04-02 00:00:00 | 13.03 | 126 | 11.50 | 1990-09-24 00:00:00 | 15.08 | TRAILING_STOP | 15.78 | 258.97 | 1.35 | 25 | 74.80 |
| AGYS | 1990-03-19 00:00:00 | 3.01 | 376 | 2.49 | 1990-07-30 00:00:00 | 3.64 | TRAILING_STOP | 21.13 | 238.77 | 1.24 | 19 | 73.70 |
| ITW | 1990-03-05 00:00:00 | 5.97 | 318 | 5.38 | 1990-03-12 00:00:00 | 6.18 | STAGE_EXIT | 3.52 | 66.81 | 0.36 | 1 | 72.30 |
| TTC | 1990-02-12 00:00:00 | 1.64 | 1021 | 1.45 | 1990-06-04 00:00:00 | 1.62 | TRAILING_STOP | -1.18 | -19.74 | -0.11 | 16 | 70.10 |
| INTC | 1990-01-29 00:00:00 | 1.22 | 869 | 1.01 | 1990-07-23 00:00:00 | 1.31 | TRAILING_STOP | 7.41 | 78.68 | 0.43 | 25 | 71.80 |
| ATO | 1990-01-15 00:00:00 | 12.11 | 153 | 10.87 | 1990-02-26 00:00:00 | 11.56 | STAGE_EXIT | -4.52 | -83.74 | -0.44 | 6 | 70.60 |
| CDE | 1989-11-27 00:00:00 | 229.21 | 3 | 180.22 | 1990-04-23 00:00:00 | 247.01 | TRAILING_STOP | 7.77 | 53.41 | 0.36 | 21 | 73.60 |
| NBR | 1989-11-27 00:00:00 | 75.15 | 8 | 52.55 | 1990-08-27 00:00:00 | 139.64 | TRAILING_STOP | 85.82 | 515.94 | 2.85 | 39 | 71.50 |
| BRID | 1989-11-20 00:00:00 | 6.39 | 95 | 4.48 | 1990-03-05 00:00:00 | 7.11 | TRAILING_STOP | 11.22 | 68.18 | 0.37 | 15 | 72.70 |
| GE | 1989-11-20 00:00:00 | 23.66 | 105 | 21.92 | 1990-02-12 00:00:00 | 24.71 | STAGE_EXIT | 4.44 | 110.40 | 0.60 | 12 | 71.40 |
| UNF | 1989-11-13 00:00:00 | 10.21 | 121 | 8.73 | 1990-01-29 00:00:00 | 9.79 | STAGE_EXIT | -4.07 | -50.21 | -0.28 | 11 | 71.90 |
| MSFT | 1989-10-09 00:00:00 | 0.55 | 1114 | 0.39 | 1990-08-06 00:00:00 | 0.84 | TRAILING_STOP | 52.60 | 324.16 | 1.82 | 43 | 75.70 |
| GFF | 1989-10-02 00:00:00 | 1.48 | 386 | 1.03 | 1990-02-19 00:00:00 | 1.47 | TRAILING_STOP | -0.90 | -5.13 | -0.03 | 20 | 80.90 |
| DDD | 1989-09-25 00:00:00 | 7.39 | 134 | 6.09 | 1990-01-29 00:00:00 | 10.05 | TRAILING_STOP | 36.06 | 357.04 | 2.06 | 18 | 80.90 |
| TDW | 1989-09-25 00:00:00 | 375.75 | 2 | 300.91 | 1990-01-29 00:00:00 | 400.41 | TRAILING_STOP | 6.56 | 49.31 | 0.33 | 18 | 80.30 |
| CBU | 1989-09-11 00:00:00 | 4.51 | 277 | 3.88 | 1989-10-23 00:00:00 | 4.00 | TRAILING_STOP | -11.27 | -140.72 | -0.80 | 6 | 82.30 |
| SJT | 1989-08-28 00:00:00 | 9.77 | 143 | 8.57 | 1989-09-04 00:00:00 | 8.55 | INITIAL_STOP | -12.46 | -174.06 | -1.01 | 1 | 81.90 |
| SPGI | 1989-08-21 00:00:00 | 9.92 | 109 | 8.37 | 1989-09-11 00:00:00 | 8.49 | TRAILING_STOP | -14.50 | -156.80 | -0.92 | 3 | 73.00 |
| RMCF | 1989-08-14 00:00:00 | 1.16 | 376 | 0.71 | 1990-03-19 00:00:00 | 1.70 | STAGE_EXIT | 46.08 | 201.31 | 1.19 | 31 | 82.70 |
| USB | 1989-08-14 00:00:00 | 2.70 | 482 | 2.35 | 1989-10-09 00:00:00 | 2.65 | TRAILING_STOP | -1.92 | -24.97 | -0.15 | 8 | 75.80 |
| CP | 1989-07-31 00:00:00 | 2.34 | 420 | 1.94 | 1989-08-21 00:00:00 | 2.25 | STAGE_EXIT | -4.13 | -40.60 | -0.24 | 3 | 77.00 |
| BPOP | 1989-07-17 00:00:00 | 18.54 | 29 | 12.92 | 1990-03-05 00:00:00 | 23.58 | STAGE_EXIT | 27.19 | 146.18 | 0.90 | 33 | 80.40 |
| MTR | 1989-07-17 00:00:00 | 47.09 | 22 | 39.71 | 1989-10-16 00:00:00 | 44.93 | TRAILING_STOP | -4.59 | -47.53 | -0.29 | 13 | 75.70 |
| HSY | 1989-06-26 00:00:00 | 8.49 | 95 | 6.76 | 1990-01-08 00:00:00 | 8.45 | STAGE_EXIT | -0.40 | -3.22 | -0.02 | 28 | 75.90 |
| IMKTA | 1989-06-26 00:00:00 | 11.02 | 88 | 9.16 | 1989-08-14 00:00:00 | 10.10 | STAGE_EXIT | -8.32 | -80.72 | -0.49 | 7 | 79.60 |
| KEY | 1989-06-05 00:00:00 | 7.41 | 125 | 6.09 | 1989-10-16 00:00:00 | 7.18 | TRAILING_STOP | -3.19 | -29.58 | -0.18 | 19 | 71.80 |
| NSC | 1989-05-22 00:00:00 | 12.36 | 110 | 10.84 | 1989-07-10 00:00:00 | 11.77 | STAGE_EXIT | -4.77 | -64.89 | -0.39 | 7 | 73.80 |
| PLAB | 1989-05-01 00:00:00 | 1.46 | 218 | 0.70 | 1990-07-23 00:00:00 | 3.06 | TRAILING_STOP | 109.53 | 348.92 | 2.11 | 64 | 78.50 |
| PNRG | 1989-05-01 00:00:00 | 1.41 | 401 | 1.00 | 1989-11-13 00:00:00 | 2.14 | TRAILING_STOP | 51.96 | 293.58 | 1.77 | 28 | 76.10 |
| SWK | 1989-03-13 00:00:00 | 16.22 | 63 | 13.66 | 1989-10-02 00:00:00 | 17.75 | TRAILING_STOP | 9.43 | 96.40 | 0.60 | 29 | 72.80 |
| OII | 1989-03-06 00:00:00 | 0.94 | 630 | 0.68 | 1990-10-08 00:00:00 | 3.82 | TRAILING_STOP | 306.32 | 1812.83 | 11.27 | 83 | 74.50 |