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 32 33 34 35 36 37 38
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TT | 1985-07-22 00:00:00 | 2.15 | 610 | 1.96 | 1985-08-12 00:00:00 | 2.11 | STAGE_EXIT | -2.08 | -27.25 | -0.23 | 3 | 78.20 |
| CVBF | 1985-07-01 00:00:00 | 0.47 | 937 | 0.35 | 1985-11-18 00:00:00 | 0.47 | TRAILING_STOP | -0.90 | -3.95 | -0.03 | 20 | 81.80 |
| HON | 1985-04-29 00:00:00 | 10.95 | 47 | 8.67 | 1985-08-26 00:00:00 | 9.76 | STAGE_EXIT | -10.87 | -55.93 | -0.52 | 17 | 75.90 |
| ACH | 1985-04-22 00:00:00 | 1.61 | 294 | 1.24 | 1985-10-21 00:00:00 | 1.86 | TRAILING_STOP | 15.90 | 75.06 | 0.71 | 26 | 70.00 |
| EVRG | 1985-04-22 00:00:00 | 18.10 | 78 | 16.75 | 1985-07-22 00:00:00 | 18.02 | TRAILING_STOP | -0.45 | -6.37 | -0.06 | 13 | 71.30 |
| PNC | 1985-04-22 00:00:00 | 13.81 | 64 | 12.16 | 1985-07-29 00:00:00 | 13.56 | TRAILING_STOP | -1.82 | -16.07 | -0.15 | 14 | 71.10 |
| LNT | 1985-04-15 00:00:00 | 8.55 | 94 | 7.43 | 1985-07-29 00:00:00 | 8.78 | TRAILING_STOP | 2.73 | 21.96 | 0.21 | 15 | 74.40 |
| AVA | 1985-04-08 00:00:00 | 10.52 | 101 | 9.48 | 1985-08-19 00:00:00 | 10.99 | TRAILING_STOP | 4.41 | 46.88 | 0.44 | 19 | 70.70 |
| CNP | 1985-04-08 00:00:00 | 10.03 | 151 | 9.33 | 1985-09-09 00:00:00 | 11.20 | TRAILING_STOP | 11.62 | 176.02 | 1.67 | 22 | 70.30 |
| PEP | 1985-04-01 00:00:00 | 3.04 | 185 | 2.47 | 1986-09-01 00:00:00 | 4.98 | TRAILING_STOP | 63.75 | 358.62 | 3.42 | 74 | 75.00 |
| IDCC | 1985-03-04 00:00:00 | 10.65 | 33 | 7.46 | 1985-04-01 00:00:00 | 7.74 | TRAILING_STOP | -27.29 | -95.86 | -0.91 | 4 | 74.60 |
| NDSN | 1985-03-04 00:00:00 | 1.61 | 863 | 1.49 | 1985-03-11 00:00:00 | 1.60 | STAGE_EXIT | -0.40 | -5.54 | -0.05 | 1 | 77.00 |
| PRG | 1985-01-28 00:00:00 | 1.34 | 374 | 1.06 | 1985-07-01 00:00:00 | 1.29 | TRAILING_STOP | -3.66 | -18.29 | -0.18 | 22 | 75.80 |
| RDI | 1985-01-28 00:00:00 | 13.03 | 28 | 9.38 | 1985-09-09 00:00:00 | 18.62 | TRAILING_STOP | 42.98 | 156.76 | 1.54 | 32 | 73.90 |
| ADP | 1985-01-14 00:00:00 | 2.03 | 515 | 1.84 | 1985-03-18 00:00:00 | 2.11 | STAGE_EXIT | 3.87 | 40.41 | 0.40 | 9 | 72.80 |
| LEE | 1985-01-07 00:00:00 | 71.39 | 12 | 63.30 | 1985-09-16 00:00:00 | 97.44 | TRAILING_STOP | 36.48 | 312.56 | 3.22 | 36 | 70.60 |
| UGI | 1984-12-31 00:00:00 | 2.55 | 204 | 2.06 | 1985-02-25 00:00:00 | 2.44 | TRAILING_STOP | -4.15 | -21.54 | -0.22 | 8 | 70.50 |
| USB | 1984-12-24 00:00:00 | 1.49 | 343 | 1.20 | 1985-03-04 00:00:00 | 1.41 | TRAILING_STOP | -5.31 | -27.04 | -0.27 | 10 | 77.70 |
| SRCE | 1984-12-10 00:00:00 | 2.45 | 147 | 1.79 | 1985-03-25 00:00:00 | 2.43 | TRAILING_STOP | -0.90 | -3.23 | -0.03 | 15 | 77.30 |
| TTC | 1984-11-26 00:00:00 | 0.56 | 940 | 0.45 | 1985-04-15 00:00:00 | 0.57 | TRAILING_STOP | 1.88 | 9.88 | 0.10 | 20 | 74.70 |
| TRP | 1984-11-12 00:00:00 | 15.03 | 63 | 13.43 | 1985-02-25 00:00:00 | 15.76 | TRAILING_STOP | 4.88 | 46.24 | 0.46 | 15 | 72.10 |
| NEU | 1984-11-05 00:00:00 | 24.84 | 19 | 19.59 | 1985-09-16 00:00:00 | 35.72 | TRAILING_STOP | 43.81 | 206.78 | 2.07 | 45 | 70.60 |
| NSSC | 1984-11-05 00:00:00 | 0.53 | 535 | 0.34 | 1985-08-12 00:00:00 | 0.75 | TRAILING_STOP | 42.79 | 120.36 | 1.19 | 40 | 72.70 |
| HTO | 1984-10-29 00:00:00 | 3.54 | 197 | 3.03 | 1986-02-03 00:00:00 | 6.07 | TRAILING_STOP | 71.59 | 499.04 | 4.94 | 66 | 77.40 |
| AEP | 1984-10-22 00:00:00 | 20.29 | 40 | 17.79 | 1985-02-25 00:00:00 | 19.98 | TRAILING_STOP | -1.51 | -12.25 | -0.12 | 18 | 78.50 |
| KO | 1984-10-22 00:00:00 | 1.35 | 786 | 1.22 | 1984-11-26 00:00:00 | 1.29 | STAGE_EXIT | -4.45 | -47.12 | -0.47 | 5 | 70.80 |
| NEE | 1984-10-22 00:00:00 | 2.79 | 245 | 2.38 | 1984-12-10 00:00:00 | 2.71 | STAGE_EXIT | -3.19 | -21.84 | -0.22 | 7 | 70.20 |
| PVH | 1984-09-24 00:00:00 | 5.34 | 79 | 4.09 | 1984-11-12 00:00:00 | 4.89 | TRAILING_STOP | -8.34 | -35.16 | -0.36 | 7 | 70.40 |
| COKE | 1984-09-17 00:00:00 | 2.71 | 158 | 2.07 | 1984-12-03 00:00:00 | 2.48 | TRAILING_STOP | -8.24 | -35.21 | -0.35 | 11 | 71.10 |
| PKOH | 1984-09-17 00:00:00 | 18.04 | 29 | 14.59 | 1984-10-22 00:00:00 | 15.89 | TRAILING_STOP | -11.91 | -62.29 | -0.62 | 5 | 71.80 |
| CCK | 1984-08-27 00:00:00 | 4.98 | 122 | 4.17 | 1986-09-15 00:00:00 | 10.91 | TRAILING_STOP | 119.00 | 723.28 | 7.31 | 107 | 72.10 |
| CVS | 1984-08-13 00:00:00 | 5.32 | 107 | 4.40 | 1984-09-17 00:00:00 | 4.55 | STAGE_EXIT | -14.46 | -82.36 | -0.84 | 5 | 71.00 |
| NYT | 1984-08-06 00:00:00 | 9.49 | 38 | 6.91 | 1984-11-19 00:00:00 | 8.08 | TRAILING_STOP | -14.79 | -53.31 | -0.54 | 15 | 71.20 |
| NFG | 1984-03-19 00:00:00 | 4.21 | 309 | 3.90 | 1985-02-25 00:00:00 | 6.47 | TRAILING_STOP | 53.48 | 696.17 | 7.22 | 49 | 77.10 |
| COP | 1984-03-05 00:00:00 | 5.22 | 149 | 4.57 | 1984-03-12 00:00:00 | 4.85 | STAGE_EXIT | -7.08 | -55.06 | -0.57 | 1 | 76.80 |
| TRP | 1984-03-05 00:00:00 | 13.40 | 76 | 12.13 | 1984-03-19 00:00:00 | 12.10 | INITIAL_STOP | -9.70 | -98.76 | -1.02 | 2 | 73.80 |
| GTY | 1984-02-06 00:00:00 | 4.77 | 61 | 3.20 | 1984-09-24 00:00:00 | 5.57 | TRAILING_STOP | 16.78 | 48.86 | 0.51 | 33 | 73.00 |
| ALX | 1984-01-30 00:00:00 | 22.55 | 16 | 16.74 | 1984-08-27 00:00:00 | 23.88 | TRAILING_STOP | 5.91 | 21.32 | 0.23 | 30 | 74.30 |
| C | 1984-01-30 00:00:00 | 22.45 | 29 | 19.10 | 1984-02-20 00:00:00 | 19.06 | INITIAL_STOP | -15.12 | -98.46 | -1.01 | 3 | 75.80 |
| SCL | 1984-01-30 00:00:00 | 2.19 | 529 | 2.01 | 1984-02-06 00:00:00 | 2.00 | INITIAL_STOP | -8.66 | -100.42 | -1.02 | 1 | 72.40 |
| DHR | 1984-01-23 00:00:00 | 0.15 | 1638 | 0.09 | 1984-05-28 00:00:00 | 0.12 | TRAILING_STOP | -16.82 | -40.60 | -0.41 | 18 | 76.40 |
| L | 1984-01-23 00:00:00 | 2.20 | 260 | 1.82 | 1984-05-14 00:00:00 | 2.07 | TRAILING_STOP | -6.12 | -35.05 | -0.35 | 16 | 70.60 |
| NFG | 1983-12-26 00:00:00 | 4.01 | 259 | 3.63 | 1984-01-16 00:00:00 | 4.04 | STAGE_EXIT | 0.66 | 6.86 | 0.07 | 3 | 77.40 |
| TRC | 1983-12-26 00:00:00 | 8.78 | 43 | 6.50 | 1984-04-23 00:00:00 | 7.61 | STAGE_EXIT | -13.25 | -50.00 | -0.51 | 17 | 75.30 |
| PH | 1983-12-05 00:00:00 | 7.05 | 78 | 5.80 | 1984-01-23 00:00:00 | 6.47 | TRAILING_STOP | -8.20 | -45.10 | -0.46 | 7 | 73.30 |
| EML | 1983-11-28 00:00:00 | 2.23 | 313 | 1.91 | 1984-01-23 00:00:00 | 2.27 | STAGE_EXIT | 2.09 | 14.57 | 0.15 | 8 | 78.70 |
| SR | 1983-11-28 00:00:00 | 8.24 | 72 | 6.88 | 1983-12-19 00:00:00 | 7.58 | STAGE_EXIT | -7.97 | -47.28 | -0.48 | 3 | 77.40 |
| NC | 1983-11-21 00:00:00 | 1.10 | 667 | 0.95 | 1984-02-06 00:00:00 | 1.17 | TRAILING_STOP | 6.16 | 45.13 | 0.46 | 11 | 73.20 |
| NJR | 1983-11-21 00:00:00 | 3.08 | 83 | 1.90 | 1984-01-30 00:00:00 | 2.34 | TRAILING_STOP | -23.77 | -60.67 | -0.62 | 10 | 78.60 |
| AON | 1983-11-14 00:00:00 | 6.09 | 104 | 5.15 | 1983-11-28 00:00:00 | 5.71 | STAGE_EXIT | -6.17 | -39.05 | -0.40 | 2 | 72.60 |