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 31 32 33 34 35 36 37
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SPGI | 1987-02-23 00:00:00 | 8.55 | 84 | 6.94 | 1987-04-13 00:00:00 | 7.22 | TRAILING_STOP | -15.49 | -111.21 | -0.82 | 7 | 72.10 |
| AAPL | 1987-01-19 00:00:00 | 0.22 | 2307 | 0.16 | 1987-10-19 00:00:00 | 0.39 | TRAILING_STOP | 77.94 | 392.09 | 3.09 | 39 | 70.50 |
| BELFA | 1987-01-19 00:00:00 | 5.14 | 99 | 3.86 | 1987-09-07 00:00:00 | 6.54 | TRAILING_STOP | 27.30 | 138.80 | 1.10 | 33 | 76.30 |
| DOV | 1987-01-19 00:00:00 | 4.37 | 169 | 3.62 | 1987-10-12 00:00:00 | 5.83 | TRAILING_STOP | 33.65 | 248.25 | 1.96 | 38 | 73.30 |
| F | 1987-01-19 00:00:00 | 6.34 | 108 | 5.17 | 1987-09-21 00:00:00 | 9.06 | TRAILING_STOP | 42.85 | 293.52 | 2.32 | 35 | 73.20 |
| NFG | 1987-01-19 00:00:00 | 10.77 | 102 | 9.53 | 1987-02-23 00:00:00 | 9.78 | TRAILING_STOP | -9.24 | -101.54 | -0.80 | 5 | 72.10 |
| OKE | 1987-01-19 00:00:00 | 4.13 | 244 | 3.61 | 1987-04-13 00:00:00 | 4.08 | TRAILING_STOP | -1.23 | -12.35 | -0.10 | 12 | 72.10 |
| WY | 1987-01-19 00:00:00 | 30.14 | 22 | 24.50 | 1987-05-18 00:00:00 | 31.14 | TRAILING_STOP | 3.29 | 21.84 | 0.18 | 17 | 76.50 |
| IMO | 1986-12-29 00:00:00 | 4.15 | 261 | 3.68 | 1987-10-12 00:00:00 | 6.03 | TRAILING_STOP | 45.51 | 492.56 | 4.01 | 41 | 70.50 |
| WDFC | 1986-12-22 00:00:00 | 16.66 | 37 | 13.31 | 1987-04-20 00:00:00 | 16.60 | TRAILING_STOP | -0.34 | -2.09 | -0.02 | 17 | 70.50 |
| LPX | 1986-12-08 00:00:00 | 11.02 | 63 | 9.05 | 1987-04-20 00:00:00 | 11.25 | TRAILING_STOP | 2.11 | 14.62 | 0.12 | 19 | 74.80 |
| UNP | 1986-11-24 00:00:00 | 5.39 | 185 | 4.72 | 1987-05-25 00:00:00 | 5.87 | STAGE_EXIT | 8.94 | 89.13 | 0.72 | 26 | 72.90 |
| ADM | 1986-11-17 00:00:00 | 4.82 | 137 | 3.91 | 1986-12-15 00:00:00 | 4.02 | TRAILING_STOP | -16.64 | -109.91 | -0.88 | 4 | 75.40 |
| CMS | 1986-11-17 00:00:00 | 16.41 | 33 | 12.68 | 1987-07-06 00:00:00 | 18.59 | STAGE_EXIT | 13.29 | 71.94 | 0.58 | 33 | 73.60 |
| ITW | 1986-11-10 00:00:00 | 3.10 | 266 | 2.63 | 1987-10-12 00:00:00 | 5.03 | TRAILING_STOP | 62.17 | 512.63 | 4.07 | 48 | 70.80 |
| GT | 1986-11-03 00:00:00 | 23.67 | 17 | 16.66 | 1987-10-12 00:00:00 | 33.29 | TRAILING_STOP | 40.63 | 163.51 | 1.37 | 49 | 78.70 |
| NEM | 1986-09-22 00:00:00 | 16.77 | 33 | 13.02 | 1987-06-22 00:00:00 | 23.83 | TRAILING_STOP | 42.14 | 233.16 | 1.89 | 39 | 74.60 |
| AJG | 1986-09-08 00:00:00 | 8.27 | 83 | 6.71 | 1986-09-15 00:00:00 | 7.24 | STAGE_EXIT | -12.47 | -85.57 | -0.66 | 1 | 73.60 |
| CVX | 1986-09-01 00:00:00 | 11.05 | 93 | 9.58 | 1986-12-22 00:00:00 | 11.41 | STAGE_EXIT | 3.27 | 33.60 | 0.24 | 16 | 74.70 |
| NWN | 1986-09-01 00:00:00 | 16.45 | 52 | 13.82 | 1986-09-08 00:00:00 | 13.79 | INITIAL_STOP | -16.14 | -138.06 | -1.01 | 1 | 74.80 |
| OPY | 1986-09-01 00:00:00 | 4.13 | 72 | 2.24 | 1986-12-15 00:00:00 | 3.85 | TRAILING_STOP | -6.90 | -20.54 | -0.15 | 15 | 77.20 |
| TXNM | 1986-09-01 00:00:00 | 25.05 | 52 | 22.43 | 1986-09-08 00:00:00 | 22.38 | INITIAL_STOP | -10.64 | -138.63 | -1.02 | 1 | 72.10 |
| UDR | 1986-09-01 00:00:00 | 8.70 | 78 | 6.95 | 1986-09-29 00:00:00 | 8.05 | STAGE_EXIT | -7.56 | -51.36 | -0.37 | 4 | 72.40 |
| AEM | 1986-08-11 00:00:00 | 20.42 | 35 | 16.58 | 1986-08-18 00:00:00 | 18.59 | STAGE_EXIT | -8.95 | -63.98 | -0.48 | 1 | 70.70 |
| CNP | 1986-07-28 00:00:00 | 14.68 | 76 | 12.88 | 1986-09-08 00:00:00 | 13.38 | TRAILING_STOP | -8.80 | -98.15 | -0.72 | 6 | 79.00 |
| AEP | 1986-07-21 00:00:00 | 28.93 | 43 | 25.82 | 1986-09-08 00:00:00 | 27.11 | TRAILING_STOP | -6.29 | -78.24 | -0.58 | 7 | 81.80 |
| ONB | 1986-07-07 00:00:00 | 33.80 | 17 | 25.43 | 1986-07-21 00:00:00 | 16.30 | TRAILING_STOP | -51.79 | -297.58 | -2.09 | 2 | 70.80 |
| USB | 1986-07-07 00:00:00 | 2.74 | 393 | 2.38 | 1986-08-25 00:00:00 | 2.39 | TRAILING_STOP | -12.72 | -137.04 | -0.96 | 7 | 75.80 |
| KR | 1986-06-23 00:00:00 | 3.55 | 259 | 3.01 | 1986-11-17 00:00:00 | 3.68 | TRAILING_STOP | 3.67 | 33.69 | 0.24 | 21 | 70.40 |
| CVR | 1986-06-09 00:00:00 | 12.96 | 56 | 10.51 | 1986-08-04 00:00:00 | 11.73 | STAGE_EXIT | -9.54 | -69.26 | -0.50 | 8 | 81.70 |
| RGR | 1986-05-19 00:00:00 | 5.14 | 240 | 4.57 | 1986-06-09 00:00:00 | 4.66 | TRAILING_STOP | -9.25 | -113.96 | -0.85 | 3 | 73.60 |
| BELFA | 1986-04-21 00:00:00 | 4.63 | 92 | 3.14 | 1986-06-23 00:00:00 | 3.72 | TRAILING_STOP | -19.65 | -83.76 | -0.61 | 9 | 81.20 |
| TRV | 1986-02-03 00:00:00 | 22.48 | 31 | 18.68 | 1986-06-09 00:00:00 | 11.23 | TRAILING_STOP | -50.06 | -348.90 | -2.96 | 18 | 75.00 |
| LGL | 1986-01-06 00:00:00 | 3.48 | 96 | 2.24 | 1986-08-04 00:00:00 | 4.73 | TRAILING_STOP | 35.96 | 120.22 | 1.01 | 30 | 74.90 |
| BKH | 1985-12-30 00:00:00 | 8.85 | 92 | 7.56 | 1986-09-08 00:00:00 | 10.70 | TRAILING_STOP | 20.90 | 170.18 | 1.43 | 36 | 70.20 |
| MGRC | 1985-12-16 00:00:00 | 1.69 | 210 | 1.12 | 1986-07-14 00:00:00 | 1.74 | TRAILING_STOP | 2.77 | 9.85 | 0.08 | 30 | 74.80 |
| BRO | 1985-11-18 00:00:00 | 0.27 | 1369 | 0.18 | 1986-06-09 00:00:00 | 0.37 | STAGE_EXIT | 36.95 | 135.17 | 1.17 | 29 | 70.80 |
| LNC | 1985-11-18 00:00:00 | 13.09 | 50 | 10.78 | 1985-12-30 00:00:00 | 12.60 | STAGE_EXIT | -3.74 | -24.44 | -0.21 | 6 | 74.30 |
| XRX | 1985-11-18 00:00:00 | 24.81 | 45 | 22.27 | 1986-04-21 00:00:00 | 26.13 | TRAILING_STOP | 5.34 | 59.65 | 0.52 | 22 | 71.30 |
| CINF | 1985-11-11 00:00:00 | 5.56 | 126 | 4.67 | 1986-09-08 00:00:00 | 6.59 | TRAILING_STOP | 18.35 | 128.67 | 1.14 | 43 | 70.90 |
| MRSH | 1985-11-04 00:00:00 | 6.43 | 171 | 5.77 | 1986-11-03 00:00:00 | 10.39 | TRAILING_STOP | 61.54 | 676.61 | 5.99 | 52 | 71.50 |
| TTC | 1985-11-04 00:00:00 | 0.78 | 873 | 0.65 | 1986-01-06 00:00:00 | 0.76 | TRAILING_STOP | -2.88 | -19.68 | -0.17 | 9 | 70.00 |
| LLY | 1985-10-28 00:00:00 | 5.75 | 239 | 5.27 | 1986-09-08 00:00:00 | 9.00 | TRAILING_STOP | 56.62 | 777.54 | 6.90 | 45 | 70.50 |
| CL | 1985-10-21 00:00:00 | 1.88 | 452 | 1.63 | 1986-09-08 00:00:00 | 2.41 | TRAILING_STOP | 28.24 | 239.78 | 2.13 | 46 | 78.20 |
| CPB | 1985-10-21 00:00:00 | 5.81 | 96 | 4.64 | 1986-09-08 00:00:00 | 7.39 | TRAILING_STOP | 27.15 | 151.40 | 1.35 | 46 | 77.90 |
| HRB | 1985-10-14 00:00:00 | 1.98 | 423 | 1.71 | 1986-05-05 00:00:00 | 2.39 | TRAILING_STOP | 20.65 | 172.97 | 1.53 | 29 | 75.30 |
| HRL | 1985-10-07 00:00:00 | 0.68 | 996 | 0.56 | 1986-08-11 00:00:00 | 0.93 | TRAILING_STOP | 37.39 | 252.16 | 2.23 | 44 | 71.00 |
| NSSC | 1985-09-09 00:00:00 | 1.04 | 442 | 0.79 | 1985-10-21 00:00:00 | 0.85 | STAGE_EXIT | -18.11 | -83.53 | -0.73 | 6 | 70.60 |
| LXU | 1985-08-19 00:00:00 | 1.54 | 303 | 1.17 | 1985-11-04 00:00:00 | 1.37 | STAGE_EXIT | -11.22 | -52.41 | -0.47 | 11 | 75.70 |
| UMBF | 1985-07-29 00:00:00 | 10.03 | 90 | 8.77 | 1985-12-16 00:00:00 | 10.03 | TRAILING_STOP | -0.07 | -0.67 | -0.01 | 20 | 70.80 |