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 33 34 35 36 37 38 39
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GATX | 1983-10-10 00:00:00 | 9.14 | 72 | 7.74 | 1983-10-31 00:00:00 | 7.67 | TRAILING_STOP | -16.09 | -105.92 | -1.05 | 3 | 71.90 |
| OKE | 1983-10-03 00:00:00 | 3.40 | 204 | 2.91 | 1983-12-19 00:00:00 | 3.18 | STAGE_EXIT | -6.42 | -44.54 | -0.45 | 11 | 76.50 |
| BMY | 1983-09-26 00:00:00 | 5.13 | 160 | 4.51 | 1983-11-28 00:00:00 | 5.05 | STAGE_EXIT | -1.56 | -12.77 | -0.13 | 9 | 72.70 |
| NSC | 1983-09-19 00:00:00 | 7.75 | 72 | 6.39 | 1983-11-07 00:00:00 | 7.29 | STAGE_EXIT | -5.94 | -33.17 | -0.34 | 7 | 72.20 |
| ASB | 1983-08-22 00:00:00 | 1.88 | 430 | 1.65 | 1984-03-19 00:00:00 | 2.04 | STAGE_EXIT | 8.39 | 67.83 | 0.68 | 30 | 74.70 |
| ARTW | 1983-08-08 00:00:00 | 3.69 | 91 | 2.58 | 1983-09-26 00:00:00 | 2.89 | TRAILING_STOP | -21.78 | -73.24 | -0.72 | 7 | 83.00 |
| BKH | 1983-07-25 00:00:00 | 4.70 | 144 | 3.99 | 1983-08-29 00:00:00 | 4.10 | TRAILING_STOP | -12.78 | -86.58 | -0.84 | 5 | 76.00 |
| AZZ | 1983-07-11 00:00:00 | 2.78 | 135 | 2.03 | 1983-10-24 00:00:00 | 2.32 | TRAILING_STOP | -16.66 | -62.60 | -0.61 | 15 | 81.60 |
| GATX | 1983-07-04 00:00:00 | 8.64 | 74 | 7.26 | 1983-07-25 00:00:00 | 7.45 | TRAILING_STOP | -13.79 | -88.18 | -0.86 | 3 | 81.70 |
| TWIN | 1983-04-25 00:00:00 | 5.39 | 73 | 4.10 | 1983-08-08 00:00:00 | 4.68 | TRAILING_STOP | -13.14 | -51.66 | -0.55 | 15 | 77.70 |
| HTO | 1983-02-14 00:00:00 | 2.53 | 159 | 1.98 | 1983-08-08 00:00:00 | 2.60 | STAGE_EXIT | 2.89 | 11.62 | 0.13 | 25 | 79.40 |
| RHI | 1983-01-17 00:00:00 | 0.21 | 2256 | 0.17 | 1984-07-23 00:00:00 | 0.54 | STAGE_EXIT | 161.66 | 748.65 | 8.65 | 79 | 72.00 |
| VNO | 1982-12-20 00:00:00 | 0.90 | 517 | 0.74 | 1983-10-17 00:00:00 | 1.20 | TRAILING_STOP | 32.14 | 150.27 | 1.77 | 43 | 79.90 |
| BH | 1982-12-13 00:00:00 | 15.60 | 21 | 11.55 | 1983-09-19 00:00:00 | 31.44 | TRAILING_STOP | 101.51 | 332.62 | 3.91 | 40 | 80.40 |
| ADP | 1982-11-22 00:00:00 | 1.73 | 187 | 1.27 | 1983-08-01 00:00:00 | 1.89 | TRAILING_STOP | 9.80 | 31.62 | 0.37 | 36 | 74.40 |
| USLM | 1982-11-22 00:00:00 | 0.95 | 248 | 0.61 | 1983-07-04 00:00:00 | 1.00 | STAGE_EXIT | 4.84 | 11.43 | 0.14 | 32 | 82.90 |
| BMI | 1982-11-08 00:00:00 | 0.52 | 716 | 0.40 | 1983-08-22 00:00:00 | 0.61 | TRAILING_STOP | 18.77 | 69.45 | 0.81 | 41 | 76.60 |
| IBM | 1982-09-27 00:00:00 | 18.29 | 25 | 15.22 | 1983-11-14 00:00:00 | 29.46 | STAGE_EXIT | 61.06 | 279.19 | 3.64 | 59 | 73.20 |
| KGC | 1982-09-27 00:00:00 | 4.70 | 38 | 2.61 | 1982-11-22 00:00:00 | 2.99 | STAGE_EXIT | -36.26 | -64.71 | -0.82 | 8 | 78.60 |
| BALL | 1982-09-20 00:00:00 | 0.67 | 674 | 0.56 | 1983-08-22 00:00:00 | 1.00 | TRAILING_STOP | 48.81 | 221.47 | 2.81 | 48 | 71.90 |
| MKC | 1982-09-20 00:00:00 | 0.78 | 543 | 0.63 | 1983-01-17 00:00:00 | 0.82 | TRAILING_STOP | 5.58 | 23.59 | 0.30 | 17 | 76.50 |
| SXI | 1982-09-20 00:00:00 | 4.32 | 81 | 3.35 | 1983-11-14 00:00:00 | 6.70 | TRAILING_STOP | 55.12 | 192.92 | 2.45 | 60 | 75.10 |
| EBF | 1982-09-13 00:00:00 | 1.88 | 173 | 1.43 | 1983-12-12 00:00:00 | 3.57 | TRAILING_STOP | 89.42 | 291.35 | 3.73 | 65 | 77.00 |
| FMC | 1982-09-13 00:00:00 | 1.30 | 435 | 1.12 | 1982-11-22 00:00:00 | 1.28 | STAGE_EXIT | -2.06 | -11.68 | -0.15 | 10 | 70.80 |
| ABT | 1982-09-06 00:00:00 | 1.02 | 424 | 0.83 | 1983-02-07 00:00:00 | 1.03 | TRAILING_STOP | 0.81 | 3.51 | 0.04 | 22 | 74.10 |
| GE | 1982-09-06 00:00:00 | 7.70 | 59 | 6.38 | 1983-07-11 00:00:00 | 10.36 | TRAILING_STOP | 34.45 | 156.56 | 2.00 | 44 | 77.50 |
| RTX | 1982-09-06 00:00:00 | 1.90 | 209 | 1.52 | 1983-07-25 00:00:00 | 2.66 | TRAILING_STOP | 39.68 | 157.69 | 1.98 | 46 | 72.90 |
| PCG | 1982-08-23 00:00:00 | 13.53 | 38 | 11.47 | 1982-12-20 00:00:00 | 13.85 | STAGE_EXIT | 2.37 | 12.17 | 0.16 | 17 | 80.00 |
| PEG | 1982-08-23 00:00:00 | 7.68 | 80 | 6.70 | 1982-09-13 00:00:00 | 7.11 | STAGE_EXIT | -7.44 | -45.70 | -0.58 | 3 | 78.70 |
| SKY | 1982-08-23 00:00:00 | 18.29 | 20 | 14.33 | 1983-04-25 00:00:00 | 23.29 | TRAILING_STOP | 27.39 | 100.16 | 1.27 | 35 | 76.60 |
| WEC | 1982-08-16 00:00:00 | 3.76 | 213 | 3.39 | 1982-11-08 00:00:00 | 3.66 | STAGE_EXIT | -2.61 | -20.91 | -0.27 | 12 | 72.60 |
| GIS | 1982-07-26 00:00:00 | 2.36 | 248 | 2.04 | 1982-08-09 00:00:00 | 2.06 | TRAILING_STOP | -12.44 | -72.65 | -0.92 | 2 | 72.50 |
| IBM | 1982-04-26 00:00:00 | 15.72 | 40 | 13.71 | 1982-06-07 00:00:00 | 14.17 | TRAILING_STOP | -9.86 | -62.01 | -0.77 | 6 | 73.80 |
| TSN | 1982-04-12 00:00:00 | 4.23 | 63 | 2.97 | 1982-06-14 00:00:00 | 3.86 | TRAILING_STOP | -8.72 | -23.24 | -0.29 | 9 | 72.30 |
| CAG | 1982-04-05 00:00:00 | 1.34 | 352 | 1.11 | 1982-06-14 00:00:00 | 1.16 | TRAILING_STOP | -13.00 | -61.14 | -0.77 | 10 | 72.10 |
| HRL | 1982-04-05 00:00:00 | 0.35 | 969 | 0.27 | 1982-06-14 00:00:00 | 0.30 | STAGE_EXIT | -13.20 | -44.80 | -0.57 | 10 | 79.10 |
| EIX | 1982-03-29 00:00:00 | 8.11 | 86 | 7.20 | 1982-05-24 00:00:00 | 7.80 | STAGE_EXIT | -3.86 | -26.92 | -0.34 | 8 | 74.20 |
| ED | 1982-03-08 00:00:00 | 8.77 | 82 | 7.82 | 1982-06-07 00:00:00 | 8.89 | STAGE_EXIT | 1.38 | 9.92 | 0.13 | 13 | 75.70 |
| KR | 1982-03-08 00:00:00 | 1.75 | 302 | 1.49 | 1982-12-13 00:00:00 | 2.36 | TRAILING_STOP | 34.63 | 183.38 | 2.35 | 40 | 72.70 |
| OGE | 1982-03-08 00:00:00 | 3.88 | 163 | 3.41 | 1982-06-14 00:00:00 | 4.00 | TRAILING_STOP | 3.10 | 19.61 | 0.25 | 14 | 77.90 |
| MLKN | 1982-02-08 00:00:00 | 1.98 | 205 | 1.60 | 1982-03-01 00:00:00 | 1.68 | TRAILING_STOP | -15.50 | -63.02 | -0.81 | 3 | 74.40 |
| PNC | 1982-02-01 00:00:00 | 6.33 | 117 | 5.66 | 1982-05-17 00:00:00 | 6.36 | TRAILING_STOP | 0.57 | 4.25 | 0.05 | 15 | 75.40 |
| GSK | 1982-01-25 00:00:00 | 1.14 | 402 | 0.95 | 1983-08-22 00:00:00 | 3.18 | TRAILING_STOP | 177.85 | 817.13 | 10.45 | 82 | 71.90 |
| AIT | 1981-12-21 00:00:00 | 3.07 | 125 | 2.44 | 1982-01-25 00:00:00 | 2.51 | TRAILING_STOP | -18.14 | -69.55 | -0.88 | 5 | 78.10 |
| WLY | 1981-12-21 00:00:00 | 1.18 | 417 | 0.99 | 1982-01-25 00:00:00 | 1.10 | STAGE_EXIT | -6.69 | -32.84 | -0.41 | 5 | 73.10 |
| MAT | 1981-12-14 00:00:00 | 3.21 | 86 | 2.29 | 1982-06-14 00:00:00 | 4.00 | TRAILING_STOP | 24.41 | 67.48 | 0.85 | 26 | 74.70 |
| ACNT | 1981-12-07 00:00:00 | 3.30 | 87 | 2.39 | 1982-02-08 00:00:00 | 2.69 | TRAILING_STOP | -18.31 | -52.49 | -0.66 | 9 | 79.50 |
| TPC | 1981-12-07 00:00:00 | 16.91 | 23 | 13.45 | 1981-12-28 00:00:00 | 15.09 | STAGE_EXIT | -10.73 | -41.72 | -0.52 | 3 | 72.10 |
| LNT | 1981-11-16 00:00:00 | 5.32 | 101 | 4.53 | 1982-01-04 00:00:00 | 4.87 | STAGE_EXIT | -8.60 | -46.25 | -0.58 | 7 | 77.30 |
| TRV | 1981-11-09 00:00:00 | 13.09 | 55 | 11.60 | 1981-12-07 00:00:00 | 11.98 | STAGE_EXIT | -8.50 | -61.19 | -0.75 | 4 | 77.50 |