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 34 35 36 37 38 39 40
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JEF | 1981-11-02 00:00:00 | 0.14 | 2095 | 0.10 | 1982-02-15 00:00:00 | 0.13 | TRAILING_STOP | -7.22 | -21.57 | -0.26 | 15 | 71.80 |
| FLXS | 1981-10-26 00:00:00 | 5.93 | 93 | 5.05 | 1981-11-16 00:00:00 | 4.74 | TRAILING_STOP | -20.04 | -110.48 | -1.36 | 3 | 71.50 |
| MGEE | 1981-10-19 00:00:00 | 4.68 | 150 | 4.13 | 1981-10-26 00:00:00 | 4.25 | STAGE_EXIT | -9.09 | -63.79 | -0.78 | 1 | 78.10 |
| SEB | 1981-08-31 00:00:00 | 27.56 | 13 | 21.45 | 1981-10-12 00:00:00 | 24.45 | STAGE_EXIT | -11.26 | -40.35 | -0.51 | 6 | 75.50 |
| OII | 1981-08-17 00:00:00 | 5.79 | 65 | 4.49 | 1981-09-07 00:00:00 | 4.43 | TRAILING_STOP | -23.55 | -88.67 | -1.05 | 3 | 70.30 |
| BRT | 1981-08-03 00:00:00 | 6.01 | 55 | 4.48 | 1981-10-05 00:00:00 | 4.84 | TRAILING_STOP | -19.48 | -64.41 | -0.76 | 9 | 74.70 |
| FHN | 1981-08-03 00:00:00 | 1.71 | 293 | 1.43 | 1981-12-21 00:00:00 | 1.67 | STAGE_EXIT | -2.72 | -13.64 | -0.16 | 20 | 76.60 |
| CHE | 1981-07-06 00:00:00 | 12.27 | 40 | 10.14 | 1981-09-07 00:00:00 | 10.92 | STAGE_EXIT | -11.07 | -54.35 | -0.64 | 9 | 74.10 |
| ALX | 1981-06-29 00:00:00 | 17.79 | 23 | 13.93 | 1981-08-17 00:00:00 | 15.14 | TRAILING_STOP | -14.86 | -60.77 | -0.69 | 7 | 70.20 |
| VMC | 1981-06-29 00:00:00 | 4.45 | 173 | 3.93 | 1981-07-27 00:00:00 | 3.92 | INITIAL_STOP | -11.83 | -91.01 | -1.02 | 4 | 74.80 |
| DDS | 1981-06-08 00:00:00 | 0.85 | 381 | 0.61 | 1982-01-18 00:00:00 | 0.98 | STAGE_EXIT | 14.88 | 48.22 | 0.53 | 32 | 78.80 |
| AIG | 1981-06-01 00:00:00 | 40.37 | 17 | 35.11 | 1981-07-20 00:00:00 | 36.64 | TRAILING_STOP | -9.24 | -63.41 | -0.71 | 7 | 70.70 |
| HVT | 1981-05-25 00:00:00 | 1.14 | 326 | 0.86 | 1981-07-20 00:00:00 | 0.96 | TRAILING_STOP | -15.47 | -57.27 | -0.65 | 8 | 73.10 |
| ESP | 1981-05-18 00:00:00 | 3.80 | 54 | 2.19 | 1981-08-24 00:00:00 | 3.08 | TRAILING_STOP | -18.92 | -38.82 | -0.45 | 14 | 73.90 |
| MZTI | 1981-05-11 00:00:00 | 2.30 | 191 | 1.85 | 1981-06-08 00:00:00 | 2.20 | STAGE_EXIT | -4.73 | -20.82 | -0.24 | 4 | 75.40 |
| VTRS | 1981-04-27 00:00:00 | 2.08 | 110 | 1.26 | 1981-11-16 00:00:00 | 1.85 | TRAILING_STOP | -11.07 | -25.31 | -0.28 | 29 | 79.80 |
| TM | 1981-04-20 00:00:00 | 5.10 | 100 | 4.20 | 1981-05-25 00:00:00 | 5.30 | STAGE_EXIT | 4.00 | 20.40 | 0.23 | 5 | 72.40 |
| TNC | 1981-04-20 00:00:00 | 5.64 | 60 | 4.14 | 1981-06-29 00:00:00 | 5.15 | TRAILING_STOP | -8.61 | -29.10 | -0.32 | 10 | 75.40 |
| GWW | 1981-04-13 00:00:00 | 5.45 | 92 | 4.47 | 1981-07-06 00:00:00 | 4.97 | STAGE_EXIT | -8.70 | -43.61 | -0.49 | 12 | 72.10 |
| CHE | 1981-04-06 00:00:00 | 11.27 | 54 | 9.64 | 1981-04-27 00:00:00 | 10.67 | STAGE_EXIT | -5.38 | -32.74 | -0.37 | 3 | 74.20 |
| CMI | 1981-04-06 00:00:00 | 5.75 | 52 | 4.04 | 1981-08-17 00:00:00 | 5.58 | TRAILING_STOP | -2.82 | -8.44 | -0.09 | 19 | 75.60 |
| ETN | 1981-04-06 00:00:00 | 2.79 | 150 | 2.20 | 1981-07-06 00:00:00 | 2.48 | TRAILING_STOP | -11.19 | -46.84 | -0.53 | 13 | 75.40 |
| OLN | 1981-04-06 00:00:00 | 7.91 | 63 | 6.50 | 1981-06-29 00:00:00 | 7.45 | TRAILING_STOP | -5.88 | -29.30 | -0.33 | 12 | 71.40 |
| WHR | 1981-04-06 00:00:00 | 13.46 | 29 | 10.47 | 1981-07-27 00:00:00 | 12.24 | TRAILING_STOP | -9.12 | -35.60 | -0.41 | 16 | 73.20 |
| AIG | 1981-03-23 00:00:00 | 38.17 | 18 | 33.28 | 1981-03-30 00:00:00 | 35.33 | STAGE_EXIT | -7.45 | -51.19 | -0.58 | 1 | 70.20 |
| SKY | 1981-03-23 00:00:00 | 16.91 | 26 | 13.58 | 1981-04-20 00:00:00 | 15.72 | STAGE_EXIT | -7.04 | -30.95 | -0.36 | 4 | 75.50 |
| SEB | 1981-03-09 00:00:00 | 23.42 | 23 | 19.63 | 1981-04-13 00:00:00 | 20.96 | STAGE_EXIT | -10.52 | -56.67 | -0.65 | 5 | 71.70 |
| GE | 1981-03-02 00:00:00 | 6.62 | 118 | 5.87 | 1981-05-04 00:00:00 | 6.46 | TRAILING_STOP | -2.40 | -18.70 | -0.21 | 9 | 76.60 |
| MCD | 1981-03-02 00:00:00 | 1.47 | 324 | 1.20 | 1981-07-27 00:00:00 | 1.49 | TRAILING_STOP | 1.27 | 6.05 | 0.07 | 21 | 71.00 |
| PEP | 1981-02-02 00:00:00 | 1.69 | 361 | 1.45 | 1981-07-27 00:00:00 | 1.83 | TRAILING_STOP | 8.36 | 51.03 | 0.59 | 25 | 76.40 |
| HELE | 1981-01-19 00:00:00 | 0.44 | 713 | 0.32 | 1981-07-13 00:00:00 | 0.48 | TRAILING_STOP | 10.43 | 32.60 | 0.37 | 25 | 73.40 |
| AXP | 1981-01-12 00:00:00 | 2.80 | 183 | 2.33 | 1981-05-04 00:00:00 | 2.71 | STAGE_EXIT | -2.98 | -15.27 | -0.18 | 16 | 82.60 |
| GE | 1980-11-24 00:00:00 | 6.23 | 95 | 5.29 | 1981-02-09 00:00:00 | 6.12 | STAGE_EXIT | -1.80 | -10.64 | -0.12 | 11 | 79.30 |
| XOM | 1980-10-20 00:00:00 | 4.92 | 122 | 4.20 | 1981-01-26 00:00:00 | 4.85 | STAGE_EXIT | -1.35 | -8.10 | -0.09 | 14 | 76.60 |
| TNC | 1980-09-29 00:00:00 | 4.20 | 162 | 3.67 | 1981-01-05 00:00:00 | 4.05 | STAGE_EXIT | -3.37 | -22.92 | -0.27 | 14 | 73.20 |
| ALX | 1980-09-22 00:00:00 | 10.52 | 21 | 6.32 | 1980-12-08 00:00:00 | 12.29 | TRAILING_STOP | 16.80 | 37.12 | 0.42 | 11 | 76.30 |
| AXR | 1980-09-22 00:00:00 | 3.85 | 71 | 2.61 | 1980-12-01 00:00:00 | 3.91 | TRAILING_STOP | 1.49 | 4.08 | 0.05 | 10 | 70.30 |
| GCO | 1980-09-22 00:00:00 | 4.53 | 65 | 3.19 | 1981-08-24 00:00:00 | 7.41 | TRAILING_STOP | 63.52 | 187.20 | 2.14 | 48 | 72.50 |
| HRB | 1980-09-22 00:00:00 | 1.04 | 474 | 0.86 | 1980-12-08 00:00:00 | 0.93 | TRAILING_STOP | -10.21 | -50.39 | -0.57 | 11 | 73.40 |
| PFE | 1980-09-22 00:00:00 | 0.95 | 591 | 0.80 | 1980-12-08 00:00:00 | 0.86 | TRAILING_STOP | -9.65 | -54.20 | -0.61 | 11 | 74.60 |
| TER | 1980-09-22 00:00:00 | 3.46 | 86 | 2.44 | 1981-01-05 00:00:00 | 2.89 | TRAILING_STOP | -16.37 | -48.71 | -0.55 | 15 | 73.70 |
| AEM | 1980-09-08 00:00:00 | 18.16 | 13 | 11.82 | 1980-12-08 00:00:00 | 14.90 | TRAILING_STOP | -17.98 | -42.46 | -0.51 | 13 | 73.90 |
| MTZ | 1980-08-18 00:00:00 | 5.79 | 57 | 4.31 | 1981-01-19 00:00:00 | 5.90 | TRAILING_STOP | 1.87 | 6.16 | 0.07 | 22 | 74.70 |
| NYT | 1980-08-18 00:00:00 | 2.61 | 119 | 1.90 | 1981-01-05 00:00:00 | 2.73 | TRAILING_STOP | 4.65 | 14.45 | 0.17 | 20 | 74.30 |
| IFF | 1980-08-11 00:00:00 | 8.68 | 44 | 6.76 | 1980-10-20 00:00:00 | 7.29 | TRAILING_STOP | -16.08 | -61.44 | -0.72 | 10 | 78.10 |
| TXN | 1980-08-11 00:00:00 | 2.40 | 184 | 1.94 | 1980-12-15 00:00:00 | 2.52 | TRAILING_STOP | 4.91 | 21.73 | 0.26 | 18 | 73.20 |
| BMY | 1980-08-04 00:00:00 | 2.76 | 146 | 2.17 | 1980-10-27 00:00:00 | 2.61 | TRAILING_STOP | -5.18 | -20.86 | -0.25 | 12 | 73.80 |
| MAT | 1980-08-04 00:00:00 | 3.08 | 102 | 2.24 | 1980-11-24 00:00:00 | 2.98 | TRAILING_STOP | -3.17 | -9.96 | -0.12 | 16 | 73.50 |
| EGP | 1980-07-21 00:00:00 | 12.36 | 39 | 10.21 | 1980-08-25 00:00:00 | 11.56 | STAGE_EXIT | -6.46 | -31.12 | -0.37 | 5 | 71.40 |
| CSL | 1980-06-16 00:00:00 | 2.00 | 166 | 1.49 | 1981-05-04 00:00:00 | 5.28 | TRAILING_STOP | 164.27 | 544.35 | 6.46 | 46 | 73.80 |