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
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CLX | 1977-09-12 00:00:00 | 1.77 | 294 | 1.48 | 1977-10-24 00:00:00 | 1.52 | TRAILING_STOP | -13.82 | -71.87 | -0.83 | 6 | 75.50 |
| SYY | 1977-09-12 00:00:00 | 0.13 | 8297 | 0.12 | 1977-10-17 00:00:00 | 0.12 | STAGE_EXIT | -7.75 | -83.35 | -0.97 | 5 | 72.80 |
| CRS | 1977-05-02 00:00:00 | 5.17 | 111 | 4.39 | 1977-07-25 00:00:00 | 4.75 | TRAILING_STOP | -8.06 | -46.25 | -0.53 | 12 | 71.90 |
| BF-A | 1977-04-25 00:00:00 | 0.14 | 4309 | 0.12 | 1977-05-30 00:00:00 | 0.12 | TRAILING_STOP | -11.70 | -70.42 | -0.81 | 5 | 75.70 |
| PNR | 1977-03-21 00:00:00 | 1.35 | 267 | 1.02 | 1977-07-04 00:00:00 | 1.40 | TRAILING_STOP | 3.75 | 13.48 | 0.15 | 15 | 76.00 |
| SEB | 1977-03-21 00:00:00 | 9.64 | 62 | 8.26 | 1977-10-17 00:00:00 | 10.43 | TRAILING_STOP | 8.11 | 48.51 | 0.56 | 30 | 72.50 |
| SGC | 1977-03-21 00:00:00 | 0.46 | 611 | 0.32 | 1977-06-06 00:00:00 | 0.37 | TRAILING_STOP | -19.37 | -54.67 | -0.63 | 11 | 77.60 |
| KR | 1977-02-28 00:00:00 | 0.83 | 947 | 0.74 | 1977-03-07 00:00:00 | 0.82 | STAGE_EXIT | -1.80 | -14.23 | -0.16 | 1 | 74.40 |
| DTE | 1977-02-07 00:00:00 | 13.86 | 67 | 12.56 | 1977-02-14 00:00:00 | 13.17 | STAGE_EXIT | -5.00 | -46.39 | -0.53 | 1 | 70.60 |
| MDU | 1977-01-24 00:00:00 | 0.71 | 1178 | 0.63 | 1977-05-23 00:00:00 | 0.71 | TRAILING_STOP | 0.09 | 0.78 | 0.01 | 17 | 77.40 |
| SGC | 1977-01-24 00:00:00 | 0.38 | 1209 | 0.30 | 1977-02-21 00:00:00 | 0.35 | STAGE_EXIT | -6.62 | -30.09 | -0.34 | 4 | 77.00 |
| SR | 1977-01-24 00:00:00 | 5.54 | 117 | 4.79 | 1977-02-28 00:00:00 | 5.33 | STAGE_EXIT | -3.78 | -24.48 | -0.28 | 5 | 74.10 |
| BNY | 1977-01-10 00:00:00 | 1.65 | 390 | 1.43 | 1977-01-17 00:00:00 | 1.59 | STAGE_EXIT | -3.73 | -24.06 | -0.27 | 1 | 73.20 |
| CVR | 1977-01-03 00:00:00 | 12.53 | 51 | 10.81 | 1977-03-07 00:00:00 | 12.66 | STAGE_EXIT | 1.09 | 6.99 | 0.08 | 9 | 76.50 |
| GATX | 1977-01-03 00:00:00 | 8.52 | 71 | 7.27 | 1977-02-07 00:00:00 | 8.11 | STAGE_EXIT | -4.79 | -28.99 | -0.33 | 5 | 73.60 |
| CPB | 1976-12-20 00:00:00 | 2.44 | 251 | 2.09 | 1977-02-07 00:00:00 | 2.35 | STAGE_EXIT | -3.91 | -23.97 | -0.27 | 7 | 77.20 |
| AVA | 1976-12-13 00:00:00 | 12.46 | 77 | 11.32 | 1977-01-31 00:00:00 | 12.35 | STAGE_EXIT | -0.90 | -8.63 | -0.10 | 7 | 73.20 |
| TPC | 1976-09-20 00:00:00 | 3.76 | 114 | 2.99 | 1976-11-08 00:00:00 | 3.24 | STAGE_EXIT | -13.68 | -58.60 | -0.67 | 7 | 73.20 |
| LNT | 1976-07-19 00:00:00 | 4.85 | 186 | 4.38 | 1976-07-26 00:00:00 | 4.71 | STAGE_EXIT | -2.97 | -26.81 | -0.30 | 1 | 78.90 |
| BA | 1976-05-24 00:00:00 | 1.20 | 271 | 0.88 | 1977-01-03 00:00:00 | 1.37 | TRAILING_STOP | 13.43 | 43.81 | 0.50 | 32 | 72.50 |
| MDU | 1976-05-17 00:00:00 | 0.59 | 1376 | 0.52 | 1976-05-24 00:00:00 | 0.58 | STAGE_EXIT | -1.60 | -12.89 | -0.15 | 1 | 81.10 |
| CVX | 1976-05-03 00:00:00 | 4.54 | 120 | 3.82 | 1976-08-23 00:00:00 | 4.59 | TRAILING_STOP | 1.15 | 6.28 | 0.07 | 16 | 79.10 |
| CMI | 1976-02-23 00:00:00 | 3.41 | 94 | 2.48 | 1977-07-18 00:00:00 | 6.41 | TRAILING_STOP | 87.75 | 281.53 | 3.22 | 73 | 75.80 |
| SXI | 1976-02-09 00:00:00 | 1.63 | 228 | 1.25 | 1976-12-13 00:00:00 | 2.11 | TRAILING_STOP | 29.60 | 109.87 | 1.27 | 44 | 78.00 |
| WGO | 1976-02-09 00:00:00 | 4.32 | 44 | 2.38 | 1976-04-05 00:00:00 | 3.72 | TRAILING_STOP | -13.82 | -26.28 | -0.31 | 8 | 76.30 |
| CRS | 1976-02-02 00:00:00 | 3.38 | 157 | 2.82 | 1976-08-02 00:00:00 | 3.77 | STAGE_EXIT | 11.59 | 61.53 | 0.70 | 26 | 73.50 |
| IBM | 1976-02-02 00:00:00 | 15.43 | 28 | 12.41 | 1976-08-16 00:00:00 | 16.28 | STAGE_EXIT | 5.49 | 23.74 | 0.28 | 28 | 70.20 |
| CLX | 1976-01-26 00:00:00 | 1.80 | 205 | 1.38 | 1976-04-26 00:00:00 | 1.52 | TRAILING_STOP | -15.60 | -57.60 | -0.66 | 13 | 75.80 |
| OLN | 1976-01-19 00:00:00 | 5.81 | 65 | 4.48 | 1976-07-26 00:00:00 | 6.28 | TRAILING_STOP | 8.16 | 30.80 | 0.36 | 27 | 72.60 |
| ED | 1976-01-05 00:00:00 | 3.88 | 132 | 3.24 | 1976-03-15 00:00:00 | 4.07 | TRAILING_STOP | 4.70 | 24.07 | 0.28 | 10 | 77.50 |
| BMY | 1975-11-24 00:00:00 | 2.16 | 311 | 1.89 | 1975-12-08 00:00:00 | 2.07 | STAGE_EXIT | -4.51 | -30.38 | -0.36 | 2 | 72.90 |
| XEL | 1975-11-03 00:00:00 | 6.70 | 112 | 5.94 | 1976-01-05 00:00:00 | 6.83 | STAGE_EXIT | 1.93 | 14.47 | 0.17 | 9 | 72.00 |
| BRN | 1975-08-25 00:00:00 | 1.48 | 270 | 1.17 | 1975-10-27 00:00:00 | 1.41 | TRAILING_STOP | -5.08 | -20.35 | -0.24 | 9 | 77.40 |
| OGE | 1975-06-23 00:00:00 | 5.82 | 99 | 4.97 | 1975-07-28 00:00:00 | 5.20 | TRAILING_STOP | -10.72 | -61.80 | -0.73 | 5 | 74.40 |
| SWX | 1975-06-23 00:00:00 | 9.52 | 50 | 7.84 | 1975-08-18 00:00:00 | 8.86 | STAGE_EXIT | -6.95 | -33.09 | -0.39 | 8 | 82.10 |
| BKH | 1975-06-09 00:00:00 | 1.92 | 206 | 1.51 | 1975-12-29 00:00:00 | 2.02 | STAGE_EXIT | 5.37 | 21.26 | 0.25 | 29 | 83.10 |
| TKR | 1975-06-09 00:00:00 | 6.43 | 76 | 5.32 | 1975-12-22 00:00:00 | 6.62 | TRAILING_STOP | 2.95 | 14.41 | 0.17 | 28 | 78.80 |
| NBR | 1975-05-19 00:00:00 | 68.89 | 4 | 49.85 | 1975-08-18 00:00:00 | 62.06 | TRAILING_STOP | -9.91 | -27.30 | -0.36 | 13 | 83.20 |
| IP | 1975-05-05 00:00:00 | 12.05 | 29 | 9.23 | 1975-09-29 00:00:00 | 11.72 | TRAILING_STOP | -2.71 | -9.47 | -0.12 | 21 | 76.90 |
| GT | 1975-04-14 00:00:00 | 9.27 | 46 | 7.52 | 1976-03-29 00:00:00 | 10.84 | TRAILING_STOP | 16.96 | 72.31 | 0.90 | 50 | 80.70 |
| GHC | 1975-03-24 00:00:00 | 3.71 | 96 | 2.87 | 1975-07-21 00:00:00 | 4.11 | TRAILING_STOP | 10.73 | 38.21 | 0.47 | 17 | 70.70 |
| TGT | 1975-03-17 00:00:00 | 0.26 | 972 | 0.17 | 1976-05-10 00:00:00 | 0.62 | TRAILING_STOP | 140.92 | 353.83 | 4.31 | 60 | 78.60 |
| SPGI | 1975-03-10 00:00:00 | 0.59 | 455 | 0.41 | 1975-07-28 00:00:00 | 0.62 | TRAILING_STOP | 6.63 | 17.65 | 0.22 | 20 | 78.90 |
| LMT | 1975-02-17 00:00:00 | 0.59 | 466 | 0.41 | 1975-08-04 00:00:00 | 1.02 | TRAILING_STOP | 72.35 | 198.63 | 2.44 | 24 | 77.00 |
| HON | 1973-10-08 00:00:00 | 6.85 | 58 | 5.45 | 1974-01-21 00:00:00 | 6.41 | TRAILING_STOP | -6.31 | -25.05 | -0.31 | 15 | 78.10 |
| IP | 1973-09-24 00:00:00 | 10.85 | 39 | 8.80 | 1974-02-04 00:00:00 | 10.82 | TRAILING_STOP | -0.30 | -1.27 | -0.02 | 19 | 73.90 |
| BP | 1973-08-13 00:00:00 | 3.65 | 149 | 3.11 | 1974-01-07 00:00:00 | 4.32 | TRAILING_STOP | 18.35 | 99.73 | 1.23 | 21 | 71.10 |
| XOM | 1973-04-16 00:00:00 | 3.08 | 253 | 2.76 | 1973-05-21 00:00:00 | 3.01 | STAGE_EXIT | -2.17 | -16.92 | -0.21 | 5 | 75.30 |
| PG | 1973-01-22 00:00:00 | 3.72 | 208 | 3.33 | 1973-01-29 00:00:00 | 3.32 | STAGE_EXIT | -10.70 | -82.78 | -1.02 | 1 | 73.70 |
| PG | 1972-11-13 00:00:00 | 3.48 | 184 | 3.04 | 1972-12-18 00:00:00 | 3.39 | STAGE_EXIT | -2.64 | -16.91 | -0.21 | 5 | 71.70 |