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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VVV | 2023-03-06 00:00:00 | 37.12 | 535 | 31.21 | 2023-03-13 00:00:00 | 32.97 | STAGE_EXIT | -11.18 | -2220.35 | -0.70 | 1 | 73.50 |
| LUNR | 2023-02-20 00:00:00 | 40.08 | 108 | 10.80 | 2023-03-06 00:00:00 | 11.47 | TRAILING_STOP | -71.39 | -3090.23 | -0.98 | 2 | 78.70 |
| BRBR | 2023-02-13 00:00:00 | 30.40 | 538 | 24.56 | 2023-07-03 00:00:00 | 34.77 | TRAILING_STOP | 14.36 | 2348.15 | 0.75 | 20 | 73.80 |
| QNTM | 2023-02-06 00:00:00 | 76.85 | 167 | 58.22 | 2023-05-01 00:00:00 | 83.91 | TRAILING_STOP | 9.18 | 1178.34 | 0.38 | 12 | 77.70 |
| JANX | 2023-01-16 00:00:00 | 20.73 | 475 | 14.02 | 2023-03-06 00:00:00 | 15.16 | TRAILING_STOP | -26.86 | -2645.17 | -0.83 | 7 | 79.00 |
| MUFG | 2023-01-16 00:00:00 | 7.42 | 1539 | 5.35 | 2023-03-06 00:00:00 | 6.78 | TRAILING_STOP | -8.65 | -988.90 | -0.31 | 7 | 77.70 |
| BBAR | 2023-01-09 00:00:00 | 4.18 | 2563 | 2.94 | 2023-05-01 00:00:00 | 3.83 | TRAILING_STOP | -8.26 | -885.06 | -0.28 | 16 | 73.10 |
| SUPV | 2023-01-09 00:00:00 | 2.41 | 4763 | 1.75 | 2023-03-13 00:00:00 | 2.10 | TRAILING_STOP | -12.95 | -1489.00 | -0.47 | 9 | 76.00 |
| PEBK | 2022-12-26 00:00:00 | 32.32 | 603 | 27.09 | 2023-03-20 00:00:00 | 31.33 | TRAILING_STOP | -3.08 | -600.02 | -0.19 | 12 | 72.90 |
| SMFG | 2022-12-26 00:00:00 | 8.09 | 1599 | 6.11 | 2023-03-13 00:00:00 | 8.19 | TRAILING_STOP | 1.31 | 169.80 | 0.05 | 11 | 76.70 |
| GOTU | 2022-12-19 00:00:00 | 3.04 | 2004 | 1.48 | 2023-05-08 00:00:00 | 2.89 | TRAILING_STOP | -4.66 | -283.44 | -0.09 | 20 | 73.60 |
| NVO | 2022-12-19 00:00:00 | 65.51 | 295 | 54.97 | 2023-07-10 00:00:00 | 76.64 | TRAILING_STOP | 16.99 | 3283.29 | 1.06 | 29 | 70.90 |
| NWFL | 2022-12-12 00:00:00 | 34.36 | 416 | 26.83 | 2023-03-13 00:00:00 | 30.55 | TRAILING_STOP | -11.08 | -1583.29 | -0.51 | 13 | 76.20 |
| WDH | 2022-12-12 00:00:00 | 2.19 | 3584 | 1.32 | 2023-03-06 00:00:00 | 2.74 | TRAILING_STOP | 24.90 | 1958.04 | 0.63 | 12 | 79.90 |
| PSN | 2022-11-07 00:00:00 | 48.52 | 393 | 40.40 | 2023-01-09 00:00:00 | 43.07 | TRAILING_STOP | -11.24 | -2142.24 | -0.67 | 9 | 76.30 |
| BAH | 2022-10-31 00:00:00 | 108.19 | 186 | 91.12 | 2023-01-09 00:00:00 | 97.75 | TRAILING_STOP | -9.65 | -1941.35 | -0.61 | 10 | 74.20 |
| COP | 2022-10-31 00:00:00 | 125.83 | 144 | 103.84 | 2022-12-12 00:00:00 | 110.22 | STAGE_EXIT | -12.41 | -2248.13 | -0.71 | 6 | 72.70 |
| FIX | 2022-10-31 00:00:00 | 121.45 | 119 | 94.80 | 2023-10-09 00:00:00 | 159.32 | TRAILING_STOP | 31.18 | 4506.22 | 1.42 | 49 | 73.90 |
| HFWA | 2022-10-31 00:00:00 | 32.98 | 469 | 26.19 | 2023-01-16 00:00:00 | 28.56 | TRAILING_STOP | -13.41 | -2073.21 | -0.65 | 11 | 75.70 |
| MPB | 2022-10-31 00:00:00 | 34.05 | 538 | 28.13 | 2022-12-26 00:00:00 | 29.84 | TRAILING_STOP | -12.36 | -2263.91 | -0.71 | 8 | 73.60 |
| MRK | 2022-10-31 00:00:00 | 100.15 | 298 | 89.48 | 2023-02-06 00:00:00 | 108.35 | STAGE_EXIT | 8.19 | 2444.48 | 0.77 | 14 | 73.90 |
| TCBK | 2022-10-31 00:00:00 | 57.25 | 264 | 45.19 | 2022-12-12 00:00:00 | 48.48 | STAGE_EXIT | -15.32 | -2315.66 | -0.73 | 6 | 75.40 |
| CHCO | 2022-10-24 00:00:00 | 101.37 | 172 | 83.15 | 2022-12-26 00:00:00 | 92.90 | STAGE_EXIT | -8.35 | -1456.59 | -0.46 | 9 | 75.20 |
| XOM | 2022-10-24 00:00:00 | 105.87 | 215 | 91.27 | 2022-12-19 00:00:00 | 108.46 | STAGE_EXIT | 2.45 | 557.13 | 0.18 | 8 | 71.10 |
| PCG | 2022-10-10 00:00:00 | 14.92 | 1013 | 11.82 | 2023-02-20 00:00:00 | 15.21 | TRAILING_STOP | 1.96 | 296.94 | 0.09 | 19 | 77.90 |
| FOCL | 2022-09-19 00:00:00 | 9.01 | 1760 | 7.20 | 2022-09-26 00:00:00 | 8.23 | TRAILING_STOP | -8.60 | -1363.08 | -0.43 | 1 | 73.00 |
| DSGN | 2022-08-15 00:00:00 | 24.67 | 362 | 15.28 | 2022-09-19 00:00:00 | 16.74 | TRAILING_STOP | -32.13 | -2868.89 | -0.84 | 5 | 75.70 |
| CCBG | 2022-08-08 00:00:00 | 33.10 | 575 | 27.28 | 2022-12-12 00:00:00 | 31.37 | TRAILING_STOP | -5.22 | -993.33 | -0.30 | 18 | 70.20 |
| CLFD | 2022-08-08 00:00:00 | 111.97 | 70 | 64.25 | 2022-11-07 00:00:00 | 87.95 | TRAILING_STOP | -21.45 | -1681.58 | -0.50 | 13 | 75.20 |
| CSL | 2022-08-08 00:00:00 | 301.28 | 60 | 245.58 | 2022-10-24 00:00:00 | 267.19 | TRAILING_STOP | -11.32 | -2045.71 | -0.61 | 11 | 71.70 |
| DGII | 2022-08-08 00:00:00 | 33.87 | 290 | 22.36 | 2023-01-16 00:00:00 | 34.02 | TRAILING_STOP | 0.46 | 44.73 | 0.01 | 23 | 74.40 |
| KWY | 2022-08-08 00:00:00 | 7.36 | 1800 | 5.51 | 2022-10-03 00:00:00 | 6.04 | STAGE_EXIT | -18.02 | -2388.24 | -0.71 | 8 | 70.90 |
| RYTM | 2022-08-08 00:00:00 | 21.99 | 234 | 7.73 | 2023-02-13 00:00:00 | 24.89 | TRAILING_STOP | 13.19 | 678.72 | 0.20 | 27 | 73.90 |
| SMCI | 2022-08-08 00:00:00 | 5.95 | 2135 | 4.39 | 2022-10-10 00:00:00 | 5.04 | TRAILING_STOP | -15.30 | -1944.77 | -0.58 | 9 | 70.70 |
| UFPT | 2022-08-08 00:00:00 | 90.24 | 191 | 72.74 | 2023-03-06 00:00:00 | 105.08 | TRAILING_STOP | 16.45 | 2834.79 | 0.85 | 30 | 71.00 |
| GETY | 2022-08-01 00:00:00 | 25.05 | 228 | 10.39 | 2022-09-05 00:00:00 | 12.97 | TRAILING_STOP | -48.24 | -2755.21 | -0.82 | 5 | 79.80 |
| SLP | 2022-07-25 00:00:00 | 60.70 | 232 | 46.33 | 2022-09-19 00:00:00 | 51.06 | TRAILING_STOP | -15.89 | -2237.61 | -0.67 | 8 | 70.00 |
| BRID | 2022-07-18 00:00:00 | 15.26 | 1068 | 12.11 | 2022-07-25 00:00:00 | 12.09 | STAGE_EXIT | -20.80 | -3390.40 | -1.01 | 1 | 74.40 |
| JKS | 2022-07-11 00:00:00 | 73.41 | 160 | 52.22 | 2022-09-12 00:00:00 | 56.18 | TRAILING_STOP | -23.47 | -2756.85 | -0.81 | 9 | 71.40 |
| CIIT | 2022-07-04 00:00:00 | 16.20 | 383 | 7.21 | 2022-09-12 00:00:00 | 8.38 | TRAILING_STOP | -48.26 | -2994.73 | -0.87 | 10 | 75.40 |
| DGICA | 2022-07-04 00:00:00 | 16.99 | 1352 | 14.44 | 2022-07-25 00:00:00 | 14.63 | TRAILING_STOP | -13.90 | -3193.76 | -0.93 | 3 | 77.60 |
| DXR | 2022-07-04 00:00:00 | 13.55 | 1706 | 11.53 | 2022-09-12 00:00:00 | 12.18 | TRAILING_STOP | -10.07 | -2327.21 | -0.68 | 10 | 74.50 |
| SAFT | 2022-07-04 00:00:00 | 98.72 | 290 | 86.86 | 2022-07-25 00:00:00 | 87.97 | TRAILING_STOP | -10.88 | -3116.04 | -0.91 | 3 | 72.00 |
| GASS | 2022-06-13 00:00:00 | 3.59 | 3185 | 2.41 | 2022-07-11 00:00:00 | 2.47 | TRAILING_STOP | -31.17 | -3561.49 | -0.95 | 4 | 76.20 |
| CMBT | 2022-06-06 00:00:00 | 13.50 | 1276 | 10.40 | 2022-07-04 00:00:00 | 10.71 | TRAILING_STOP | -20.68 | -3562.12 | -0.90 | 4 | 76.30 |
| HHS | 2022-06-06 00:00:00 | 9.58 | 2057 | 7.65 | 2022-09-19 00:00:00 | 10.36 | TRAILING_STOP | 8.15 | 1606.42 | 0.41 | 15 | 76.60 |
| CPB | 2022-05-16 00:00:00 | 50.73 | 533 | 43.87 | 2022-06-06 00:00:00 | 46.84 | STAGE_EXIT | -7.68 | -2076.10 | -0.57 | 3 | 73.60 |
| CNP | 2022-04-11 00:00:00 | 32.61 | 693 | 27.30 | 2022-06-13 00:00:00 | 29.60 | TRAILING_STOP | -9.21 | -2081.39 | -0.57 | 9 | 74.80 |
| AGIG | 2022-03-14 00:00:00 | 55.71 | 94 | 18.47 | 2022-08-01 00:00:00 | 36.51 | TRAILING_STOP | -34.46 | -1804.63 | -0.52 | 20 | 77.80 |
| EQT | 2022-03-07 00:00:00 | 26.91 | 572 | 20.82 | 2022-06-20 00:00:00 | 34.38 | TRAILING_STOP | 27.73 | 4269.57 | 1.22 | 15 | 81.10 |