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 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DIS | 1980-05-19 00:00:00 | 1.03 | 564 | 0.88 | 1980-07-21 00:00:00 | 1.03 | STAGE_EXIT | -0.15 | -0.88 | -0.01 | 9 | 71.80 |
| FRT | 1980-02-25 00:00:00 | 6.64 | 71 | 5.41 | 1980-03-10 00:00:00 | 5.99 | STAGE_EXIT | -9.80 | -46.17 | -0.53 | 2 | 76.30 |
| PKOH | 1980-02-11 00:00:00 | 18.04 | 33 | 15.37 | 1980-02-18 00:00:00 | 17.59 | STAGE_EXIT | -2.47 | -14.73 | -0.17 | 1 | 71.20 |
| SIF | 1980-02-04 00:00:00 | 4.90 | 68 | 3.60 | 1980-03-24 00:00:00 | 3.90 | TRAILING_STOP | -20.38 | -67.89 | -0.77 | 7 | 74.50 |
| TPC | 1980-02-04 00:00:00 | 9.02 | 37 | 6.63 | 1980-03-24 00:00:00 | 7.17 | TRAILING_STOP | -20.44 | -68.21 | -0.77 | 7 | 75.20 |
| OII | 1980-01-28 00:00:00 | 2.00 | 106 | 1.17 | 1980-03-24 00:00:00 | 1.38 | TRAILING_STOP | -31.35 | -66.60 | -0.75 | 8 | 78.20 |
| WDC | 1980-01-21 00:00:00 | 2.18 | 79 | 1.07 | 1980-04-21 00:00:00 | 1.35 | TRAILING_STOP | -38.10 | -65.53 | -0.75 | 13 | 78.80 |
| RTX | 1980-01-07 00:00:00 | 1.89 | 272 | 1.57 | 1980-03-10 00:00:00 | 1.77 | STAGE_EXIT | -6.12 | -31.41 | -0.36 | 9 | 70.90 |
| AEM | 1979-09-24 00:00:00 | 7.39 | 70 | 6.10 | 1979-10-15 00:00:00 | 6.27 | TRAILING_STOP | -15.09 | -78.06 | -0.87 | 3 | 72.90 |
| DD | 1979-09-17 00:00:00 | 12.73 | 45 | 10.77 | 1979-10-15 00:00:00 | 11.43 | TRAILING_STOP | -10.19 | -58.36 | -0.66 | 4 | 72.30 |
| WMT | 1979-08-20 00:00:00 | 0.04 | 13514 | 0.03 | 1979-10-08 00:00:00 | 0.04 | TRAILING_STOP | -10.14 | -54.31 | -0.62 | 7 | 73.60 |
| SNA | 1979-07-30 00:00:00 | 7.68 | 102 | 6.84 | 1979-10-08 00:00:00 | 7.30 | TRAILING_STOP | -4.99 | -39.10 | -0.46 | 10 | 74.20 |
| UGI | 1979-07-09 00:00:00 | 2.46 | 342 | 2.21 | 1979-10-08 00:00:00 | 2.70 | TRAILING_STOP | 9.74 | 82.06 | 0.95 | 13 | 73.00 |
| KMT | 1979-06-04 00:00:00 | 5.34 | 97 | 4.45 | 1979-10-15 00:00:00 | 5.26 | STAGE_EXIT | -1.57 | -8.12 | -0.09 | 19 | 72.10 |
| MATX | 1979-06-04 00:00:00 | 2.01 | 169 | 1.50 | 1979-10-22 00:00:00 | 1.99 | TRAILING_STOP | -0.90 | -3.05 | -0.04 | 20 | 75.50 |
| ALX | 1979-05-21 00:00:00 | 8.52 | 40 | 6.40 | 1979-07-02 00:00:00 | 6.87 | TRAILING_STOP | -19.31 | -65.78 | -0.78 | 6 | 74.60 |
| SONY | 1979-04-16 00:00:00 | 0.95 | 414 | 0.74 | 1979-07-09 00:00:00 | 0.79 | TRAILING_STOP | -16.00 | -62.60 | -0.73 | 12 | 76.20 |
| CSL | 1979-03-12 00:00:00 | 1.08 | 352 | 0.84 | 1979-07-02 00:00:00 | 1.15 | TRAILING_STOP | 6.28 | 23.90 | 0.28 | 16 | 73.70 |
| CVR | 1979-02-12 00:00:00 | 15.03 | 27 | 11.92 | 1979-03-05 00:00:00 | 10.60 | TRAILING_STOP | -29.45 | -119.51 | -1.42 | 3 | 78.70 |
| AA | 1979-01-29 00:00:00 | 8.03 | 83 | 6.99 | 1979-03-12 00:00:00 | 8.37 | STAGE_EXIT | 4.27 | 28.44 | 0.33 | 6 | 73.90 |
| SIF | 1979-01-29 00:00:00 | 3.65 | 83 | 2.61 | 1979-07-30 00:00:00 | 3.47 | TRAILING_STOP | -4.83 | -14.62 | -0.17 | 26 | 76.50 |
| MRK | 1979-01-15 00:00:00 | 1.88 | 316 | 1.61 | 1979-02-19 00:00:00 | 1.74 | STAGE_EXIT | -7.78 | -46.26 | -0.54 | 5 | 74.50 |
| BP | 1978-12-25 00:00:00 | 5.35 | 98 | 4.48 | 1980-03-24 00:00:00 | 10.47 | TRAILING_STOP | 95.57 | 501.48 | 5.84 | 65 | 75.20 |
| BNY | 1978-10-16 00:00:00 | 1.62 | 673 | 1.49 | 1978-10-23 00:00:00 | 1.48 | INITIAL_STOP | -8.52 | -92.92 | -1.02 | 1 | 72.90 |
| AEM | 1978-10-09 00:00:00 | 6.51 | 53 | 4.79 | 1978-10-30 00:00:00 | 4.89 | TRAILING_STOP | -24.88 | -85.88 | -0.94 | 3 | 77.90 |
| OLN | 1978-10-09 00:00:00 | 7.79 | 33 | 5.03 | 1978-11-06 00:00:00 | 5.40 | TRAILING_STOP | -30.75 | -79.07 | -0.87 | 4 | 80.50 |
| FRT | 1978-09-18 00:00:00 | 6.22 | 153 | 5.61 | 1978-10-09 00:00:00 | 6.20 | STAGE_EXIT | -0.40 | -3.80 | -0.04 | 3 | 70.20 |
| AVT | 1978-08-14 00:00:00 | 4.84 | 94 | 3.83 | 1978-10-16 00:00:00 | 4.49 | TRAILING_STOP | -7.31 | -33.25 | -0.35 | 9 | 77.30 |
| TRV | 1978-08-14 00:00:00 | 9.64 | 61 | 8.09 | 1978-09-25 00:00:00 | 8.94 | TRAILING_STOP | -7.33 | -43.14 | -0.46 | 6 | 75.10 |
| IFF | 1978-08-07 00:00:00 | 8.93 | 67 | 7.52 | 1978-09-18 00:00:00 | 7.81 | TRAILING_STOP | -12.61 | -75.51 | -0.80 | 6 | 75.20 |
| MO | 1978-08-07 00:00:00 | 1.59 | 365 | 1.33 | 1978-10-16 00:00:00 | 1.46 | TRAILING_STOP | -8.07 | -46.73 | -0.49 | 10 | 70.50 |
| MMM | 1978-07-17 00:00:00 | 6.19 | 84 | 5.14 | 1978-10-30 00:00:00 | 5.89 | TRAILING_STOP | -4.95 | -25.77 | -0.29 | 15 | 73.50 |
| TXT | 1978-07-17 00:00:00 | 3.82 | 276 | 3.50 | 1978-10-16 00:00:00 | 3.74 | TRAILING_STOP | -1.98 | -20.88 | -0.23 | 13 | 72.30 |
| SXI | 1978-05-08 00:00:00 | 2.97 | 159 | 2.42 | 1978-07-10 00:00:00 | 2.87 | STAGE_EXIT | -3.54 | -16.76 | -0.19 | 9 | 74.80 |
| SIF | 1978-05-01 00:00:00 | 2.53 | 119 | 1.80 | 1978-10-16 00:00:00 | 2.65 | TRAILING_STOP | 4.55 | 13.71 | 0.16 | 24 | 76.70 |
| CRS | 1978-04-24 00:00:00 | 6.58 | 69 | 5.32 | 1978-07-10 00:00:00 | 5.83 | TRAILING_STOP | -11.36 | -51.53 | -0.59 | 11 | 75.00 |
| PBI | 1978-04-24 00:00:00 | 1.41 | 355 | 1.16 | 1978-10-23 00:00:00 | 1.53 | TRAILING_STOP | 8.76 | 43.80 | 0.50 | 26 | 72.90 |
| SNA | 1978-04-24 00:00:00 | 5.51 | 103 | 4.67 | 1978-10-16 00:00:00 | 6.35 | TRAILING_STOP | 15.24 | 86.53 | 1.00 | 25 | 77.30 |
| GHC | 1978-04-17 00:00:00 | 11.62 | 47 | 9.79 | 1978-10-23 00:00:00 | 12.90 | TRAILING_STOP | 11.05 | 60.31 | 0.70 | 27 | 70.00 |
| LMT | 1978-04-17 00:00:00 | 2.19 | 132 | 1.54 | 1978-10-16 00:00:00 | 2.67 | TRAILING_STOP | 21.71 | 62.74 | 0.73 | 26 | 75.30 |
| BRN | 1978-04-03 00:00:00 | 1.90 | 300 | 1.62 | 1978-05-29 00:00:00 | 1.69 | TRAILING_STOP | -10.95 | -62.42 | -0.74 | 8 | 74.90 |
| TER | 1978-04-03 00:00:00 | 1.28 | 389 | 1.06 | 1978-10-16 00:00:00 | 1.55 | TRAILING_STOP | 21.40 | 106.20 | 1.25 | 28 | 71.90 |
| ALX | 1978-03-20 00:00:00 | 8.27 | 45 | 6.38 | 1978-05-29 00:00:00 | 7.45 | TRAILING_STOP | -9.91 | -36.85 | -0.43 | 10 | 74.20 |
| SYY | 1978-03-20 00:00:00 | 0.15 | 4533 | 0.13 | 1978-10-16 00:00:00 | 0.20 | TRAILING_STOP | 32.52 | 220.54 | 2.60 | 30 | 72.40 |
| CNA | 1978-03-13 00:00:00 | 3.17 | 122 | 2.48 | 1978-07-17 00:00:00 | 3.48 | TRAILING_STOP | 9.53 | 36.91 | 0.44 | 18 | 76.80 |
| UVV | 1978-03-13 00:00:00 | 4.57 | 159 | 4.04 | 1978-09-18 00:00:00 | 5.09 | TRAILING_STOP | 11.32 | 82.29 | 0.98 | 27 | 70.30 |
| BDX | 1978-01-30 00:00:00 | 1.87 | 207 | 1.46 | 1978-06-26 00:00:00 | 1.72 | TRAILING_STOP | -7.65 | -29.58 | -0.35 | 21 | 78.30 |
| AIG | 1978-01-02 00:00:00 | 18.02 | 52 | 16.37 | 1978-01-09 00:00:00 | 16.34 | INITIAL_STOP | -9.30 | -87.13 | -1.02 | 1 | 72.90 |
| EGP | 1977-12-05 00:00:00 | 4.68 | 117 | 3.95 | 1978-01-09 00:00:00 | 4.08 | TRAILING_STOP | -12.70 | -69.45 | -0.82 | 5 | 77.90 |
| BF-A | 1977-11-28 00:00:00 | 0.16 | 3866 | 0.14 | 1978-10-30 00:00:00 | 0.25 | TRAILING_STOP | 56.28 | 344.92 | 4.05 | 48 | 75.00 |