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 30 31 32 33 34 35 36
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| WPP | 1989-03-06 00:00:00 | 62.63 | 15 | 52.41 | 1989-05-01 00:00:00 | 54.95 | TRAILING_STOP | -12.26 | -115.18 | -0.75 | 8 | 70.60 |
| UNM | 1989-02-13 00:00:00 | 7.30 | 209 | 6.56 | 1990-01-29 00:00:00 | 10.92 | TRAILING_STOP | 49.72 | 758.11 | 4.93 | 50 | 70.10 |
| SCHW | 1989-02-06 00:00:00 | 0.23 | 2378 | 0.16 | 1989-09-18 00:00:00 | 0.31 | TRAILING_STOP | 37.78 | 202.50 | 1.30 | 32 | 78.60 |
| AA | 1989-01-30 00:00:00 | 18.92 | 53 | 16.06 | 1989-03-13 00:00:00 | 18.08 | TRAILING_STOP | -4.44 | -44.57 | -0.29 | 6 | 73.60 |
| MGA | 1989-01-30 00:00:00 | 3.35 | 204 | 2.60 | 1989-02-13 00:00:00 | 3.15 | STAGE_EXIT | -5.98 | -40.90 | -0.27 | 2 | 71.40 |
| NL | 1989-01-30 00:00:00 | 21.79 | 28 | 16.49 | 1989-06-26 00:00:00 | 22.09 | TRAILING_STOP | 1.38 | 8.43 | 0.06 | 21 | 73.40 |
| PLXS | 1989-01-30 00:00:00 | 1.02 | 677 | 0.80 | 1989-08-14 00:00:00 | 1.39 | TRAILING_STOP | 35.51 | 245.89 | 1.61 | 28 | 78.80 |
| WLY | 1989-01-30 00:00:00 | 3.07 | 245 | 2.44 | 1989-11-06 00:00:00 | 3.90 | TRAILING_STOP | 27.06 | 203.41 | 1.33 | 40 | 71.70 |
| ALCO | 1989-01-23 00:00:00 | 27.05 | 28 | 21.79 | 1989-08-14 00:00:00 | 35.00 | TRAILING_STOP | 29.38 | 222.59 | 1.51 | 29 | 71.70 |
| SHEL | 1989-01-23 00:00:00 | 14.90 | 20 | 7.30 | 1989-07-31 00:00:00 | 15.23 | TRAILING_STOP | 2.16 | 6.43 | 0.04 | 27 | 71.90 |
| POWL | 1989-01-09 00:00:00 | 0.72 | 449 | 0.39 | 1989-05-15 00:00:00 | 0.85 | TRAILING_STOP | 17.77 | 57.48 | 0.39 | 18 | 77.70 |
| TMO | 1989-01-02 00:00:00 | 6.09 | 196 | 5.33 | 1989-02-06 00:00:00 | 6.06 | STAGE_EXIT | -0.40 | -4.76 | -0.03 | 5 | 70.90 |
| AVNW | 1988-12-19 00:00:00 | 70.64 | 8 | 53.21 | 1989-06-19 00:00:00 | 80.74 | TRAILING_STOP | 14.30 | 80.83 | 0.58 | 26 | 78.40 |
| ANIX | 1988-11-07 00:00:00 | 89.24 | 5 | 61.23 | 1989-03-06 00:00:00 | 82.72 | TRAILING_STOP | -7.30 | -32.58 | -0.23 | 17 | 74.70 |
| GLW | 1988-10-31 00:00:00 | 5.59 | 169 | 4.72 | 1989-03-06 00:00:00 | 5.66 | STAGE_EXIT | 1.09 | 10.28 | 0.07 | 18 | 71.10 |
| SRCE | 1988-10-24 00:00:00 | 3.75 | 255 | 3.17 | 1988-11-07 00:00:00 | 3.36 | STAGE_EXIT | -10.24 | -97.77 | -0.66 | 2 | 71.70 |
| NI | 1988-10-10 00:00:00 | 2.53 | 425 | 2.19 | 1989-01-23 00:00:00 | 2.61 | TRAILING_STOP | 2.95 | 31.79 | 0.22 | 15 | 78.30 |
| BRID | 1988-10-03 00:00:00 | 2.99 | 203 | 2.27 | 1989-07-10 00:00:00 | 4.18 | TRAILING_STOP | 40.15 | 243.33 | 1.68 | 40 | 73.00 |
| COP | 1988-09-19 00:00:00 | 7.26 | 179 | 6.44 | 1988-11-07 00:00:00 | 7.08 | STAGE_EXIT | -2.36 | -30.72 | -0.21 | 7 | 74.70 |
| CSPI | 1988-08-01 00:00:00 | 2.63 | 277 | 2.10 | 1988-09-26 00:00:00 | 2.30 | STAGE_EXIT | -12.85 | -93.78 | -0.63 | 8 | 79.70 |
| SMTC | 1988-06-13 00:00:00 | 0.64 | 593 | 0.39 | 1988-08-15 00:00:00 | 0.56 | TRAILING_STOP | -12.98 | -49.42 | -0.34 | 9 | 77.50 |
| AVD | 1988-06-06 00:00:00 | 0.68 | 549 | 0.42 | 1988-09-19 00:00:00 | 0.68 | TRAILING_STOP | -0.90 | -3.37 | -0.02 | 15 | 70.40 |
| UHT | 1988-06-06 00:00:00 | 11.77 | 135 | 10.70 | 1988-08-29 00:00:00 | 11.98 | STAGE_EXIT | 1.72 | 27.34 | 0.19 | 12 | 73.60 |
| LUMN | 1988-05-16 00:00:00 | 4.07 | 125 | 2.92 | 1988-08-08 00:00:00 | 4.32 | TRAILING_STOP | 5.92 | 30.17 | 0.21 | 12 | 73.00 |
| NX | 1988-05-16 00:00:00 | 4.79 | 90 | 3.19 | 1988-11-21 00:00:00 | 5.67 | TRAILING_STOP | 18.35 | 79.05 | 0.55 | 27 | 73.60 |
| COHU | 1988-05-02 00:00:00 | 1.30 | 409 | 0.94 | 1988-08-08 00:00:00 | 1.29 | TRAILING_STOP | -0.90 | -4.77 | -0.03 | 14 | 72.40 |
| FLS | 1988-04-25 00:00:00 | 3.30 | 145 | 2.31 | 1988-08-22 00:00:00 | 3.27 | TRAILING_STOP | -0.90 | -4.30 | -0.03 | 17 | 76.80 |
| VMI | 1988-04-25 00:00:00 | 4.07 | 119 | 2.85 | 1988-09-19 00:00:00 | 4.84 | TRAILING_STOP | 18.92 | 91.67 | 0.63 | 21 | 72.80 |
| WEN | 1988-04-25 00:00:00 | 8.96 | 65 | 6.76 | 1988-06-20 00:00:00 | 7.22 | TRAILING_STOP | -19.41 | -113.07 | -0.79 | 8 | 72.90 |
| HELE | 1988-04-11 00:00:00 | 1.96 | 220 | 1.30 | 1989-06-05 00:00:00 | 3.00 | TRAILING_STOP | 52.87 | 228.24 | 1.57 | 60 | 70.70 |
| CMC | 1988-04-04 00:00:00 | 1.74 | 276 | 1.21 | 1988-08-08 00:00:00 | 1.61 | TRAILING_STOP | -7.15 | -34.28 | -0.24 | 18 | 72.60 |
| NX | 1988-03-21 00:00:00 | 4.18 | 133 | 3.07 | 1988-03-28 00:00:00 | 3.94 | STAGE_EXIT | -5.71 | -31.71 | -0.22 | 1 | 72.10 |
| FLXS | 1988-03-14 00:00:00 | 14.53 | 45 | 11.34 | 1988-03-28 00:00:00 | 13.22 | STAGE_EXIT | -8.99 | -58.75 | -0.41 | 2 | 72.50 |
| DINO | 1988-03-07 00:00:00 | 0.63 | 895 | 0.46 | 1989-05-01 00:00:00 | 2.23 | TRAILING_STOP | 255.53 | 1432.24 | 9.92 | 60 | 72.30 |
| HWKN | 1988-03-07 00:00:00 | 1.82 | 391 | 1.45 | 1988-08-22 00:00:00 | 1.89 | TRAILING_STOP | 4.00 | 28.41 | 0.20 | 24 | 74.70 |
| TWIN | 1988-01-18 00:00:00 | 6.29 | 129 | 5.15 | 1988-08-15 00:00:00 | 6.89 | TRAILING_STOP | 9.44 | 76.65 | 0.52 | 30 | 77.80 |
| BH | 1988-01-11 00:00:00 | 24.97 | 25 | 19.20 | 1988-03-21 00:00:00 | 24.23 | TRAILING_STOP | -2.96 | -18.49 | -0.13 | 10 | 74.50 |
| FRD | 1987-12-28 00:00:00 | 6.14 | 126 | 4.98 | 1988-02-15 00:00:00 | 5.24 | TRAILING_STOP | -14.64 | -113.24 | -0.78 | 7 | 72.90 |
| CRS | 1987-10-05 00:00:00 | 13.43 | 63 | 11.05 | 1987-10-12 00:00:00 | 11.10 | STAGE_EXIT | -17.35 | -146.81 | -0.98 | 1 | 72.20 |
| CBT | 1987-09-21 00:00:00 | 10.80 | 90 | 9.16 | 1987-10-19 00:00:00 | 9.44 | TRAILING_STOP | -12.61 | -122.58 | -0.83 | 4 | 76.20 |
| ALOT | 1987-07-27 00:00:00 | 3.56 | 418 | 3.22 | 1987-08-31 00:00:00 | 3.75 | STAGE_EXIT | 5.26 | 78.33 | 0.54 | 5 | 74.70 |
| TWIN | 1987-07-06 00:00:00 | 5.17 | 178 | 4.36 | 1987-10-12 00:00:00 | 5.37 | TRAILING_STOP | 3.91 | 35.94 | 0.25 | 14 | 81.40 |
| FELE | 1987-06-22 00:00:00 | 2.85 | 398 | 2.49 | 1987-10-05 00:00:00 | 3.17 | TRAILING_STOP | 11.08 | 125.68 | 0.87 | 15 | 77.80 |
| HMC | 1987-06-08 00:00:00 | 5.28 | 152 | 4.37 | 1987-10-19 00:00:00 | 5.26 | TRAILING_STOP | -0.28 | -2.26 | -0.02 | 19 | 70.50 |
| NBR | 1987-05-25 00:00:00 | 72.02 | 3 | 35.65 | 1987-09-21 00:00:00 | 55.86 | TRAILING_STOP | -22.44 | -48.49 | -0.44 | 17 | 79.60 |
| WSO | 1987-05-18 00:00:00 | 3.29 | 169 | 2.46 | 1987-07-27 00:00:00 | 2.84 | TRAILING_STOP | -13.65 | -75.82 | -0.54 | 10 | 79.70 |
| TDW | 1987-05-11 00:00:00 | 230.30 | 1 | 156.47 | 1987-10-12 00:00:00 | 248.25 | TRAILING_STOP | 7.80 | 17.95 | 0.24 | 22 | 81.80 |
| CBT | 1987-05-04 00:00:00 | 9.30 | 134 | 8.27 | 1987-05-25 00:00:00 | 9.23 | STAGE_EXIT | -0.73 | -9.15 | -0.07 | 3 | 78.90 |
| CIA | 1987-04-20 00:00:00 | 3.49 | 156 | 2.61 | 1988-02-15 00:00:00 | 6.77 | TRAILING_STOP | 93.80 | 511.34 | 3.72 | 43 | 79.80 |
| WWW | 1987-04-20 00:00:00 | 0.92 | 515 | 0.65 | 1987-09-07 00:00:00 | 0.78 | TRAILING_STOP | -14.71 | -69.33 | -0.50 | 20 | 79.10 |