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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BA | 1972-01-31 00:00:00 | 0.86 | 286 | 0.57 | 1972-05-01 00:00:00 | 0.68 | TRAILING_STOP | -20.91 | -51.29 | -0.63 | 13 | 70.40 |
| ED | 1971-01-25 00:00:00 | 7.17 | 69 | 5.98 | 1971-02-15 00:00:00 | 6.55 | STAGE_EXIT | -8.66 | -42.86 | -0.52 | 3 | 81.80 |
| MRK | 1969-10-27 00:00:00 | 1.43 | 419 | 1.23 | 1970-01-26 00:00:00 | 1.34 | TRAILING_STOP | -6.59 | -39.60 | -0.47 | 13 | 72.00 |
| MSI | 1969-09-22 00:00:00 | 3.69 | 120 | 3.00 | 1969-12-01 00:00:00 | 3.28 | TRAILING_STOP | -11.20 | -49.57 | -0.60 | 10 | 70.70 |
| BP | 1969-06-09 00:00:00 | 3.08 | 93 | 2.19 | 1969-11-24 00:00:00 | 3.00 | TRAILING_STOP | -2.63 | -7.55 | -0.09 | 24 | 77.20 |
| GT | 1968-09-23 00:00:00 | 15.03 | 50 | 13.39 | 1968-11-25 00:00:00 | 14.53 | STAGE_EXIT | -3.30 | -24.83 | -0.30 | 9 | 70.80 |
| IBM | 1968-06-10 00:00:00 | 17.72 | 29 | 14.90 | 1968-07-01 00:00:00 | 17.08 | STAGE_EXIT | -3.63 | -18.65 | -0.23 | 3 | 72.50 |
| MMM | 1968-05-20 00:00:00 | 5.69 | 84 | 4.70 | 1968-07-22 00:00:00 | 5.50 | TRAILING_STOP | -3.29 | -15.73 | -0.19 | 9 | 76.00 |
| GT | 1968-01-01 00:00:00 | 13.62 | 42 | 11.64 | 1968-02-12 00:00:00 | 12.26 | STAGE_EXIT | -10.02 | -57.30 | -0.69 | 6 | 70.10 |
| GE | 1967-08-07 00:00:00 | 5.35 | 102 | 4.51 | 1967-10-30 00:00:00 | 5.02 | TRAILING_STOP | -6.22 | -33.97 | -0.39 | 12 | 72.30 |
| IP | 1967-05-08 00:00:00 | 7.37 | 78 | 6.30 | 1967-06-05 00:00:00 | 7.16 | STAGE_EXIT | -2.77 | -15.93 | -0.19 | 4 | 80.40 |
| IBM | 1967-02-20 00:00:00 | 10.14 | 53 | 8.62 | 1967-08-21 00:00:00 | 11.58 | TRAILING_STOP | 14.20 | 76.31 | 0.95 | 26 | 72.80 |
| MO | 1967-02-06 00:00:00 | 0.19 | 3116 | 0.16 | 1967-09-18 00:00:00 | 0.23 | TRAILING_STOP | 20.18 | 119.77 | 1.48 | 32 | 76.80 |
| PG | 1967-02-06 00:00:00 | 1.24 | 653 | 1.12 | 1967-10-02 00:00:00 | 1.45 | TRAILING_STOP | 16.74 | 135.83 | 1.68 | 34 | 74.90 |
| KO | 1967-01-16 00:00:00 | 0.49 | 1116 | 0.42 | 1967-08-21 00:00:00 | 0.62 | TRAILING_STOP | 26.12 | 142.99 | 1.77 | 31 | 73.80 |
| GT | 1966-07-18 00:00:00 | 14.28 | 34 | 11.93 | 1966-07-25 00:00:00 | 13.16 | STAGE_EXIT | -7.83 | -37.99 | -0.48 | 1 | 76.60 |
| CVX | 1966-01-24 00:00:00 | 5.16 | 207 | 4.76 | 1966-01-31 00:00:00 | 5.03 | STAGE_EXIT | -2.52 | -26.86 | -0.32 | 1 | 75.30 |
| GD | 1965-10-18 00:00:00 | 1.18 | 536 | 1.03 | 1966-02-07 00:00:00 | 1.33 | TRAILING_STOP | 12.81 | 80.83 | 1.03 | 16 | 70.90 |
| GE | 1965-10-04 00:00:00 | 5.85 | 109 | 5.13 | 1965-10-11 00:00:00 | 5.75 | STAGE_EXIT | -1.68 | -10.69 | -0.14 | 1 | 75.80 |
| MO | 1965-09-13 00:00:00 | 0.16 | 5031 | 0.15 | 1965-10-04 00:00:00 | 0.17 | STAGE_EXIT | 0.92 | 7.59 | 0.10 | 3 | 75.30 |
| RTX | 1965-08-02 00:00:00 | 1.06 | 615 | 0.93 | 1966-05-02 00:00:00 | 1.60 | TRAILING_STOP | 51.47 | 334.72 | 4.32 | 39 | 70.00 |
| MO | 1965-05-17 00:00:00 | 0.16 | 3716 | 0.14 | 1965-05-31 00:00:00 | 0.15 | STAGE_EXIT | -7.74 | -46.67 | -0.59 | 2 | 71.20 |
| LMT | 1965-05-10 00:00:00 | 4.80 | 108 | 4.07 | 1966-03-07 00:00:00 | 6.05 | TRAILING_STOP | 25.95 | 134.61 | 1.69 | 43 | 74.40 |
| GT | 1965-03-15 00:00:00 | 13.21 | 51 | 11.70 | 1965-04-19 00:00:00 | 13.22 | STAGE_EXIT | 0.07 | 0.49 | 0.01 | 5 | 72.90 |
| CVX | 1965-01-18 00:00:00 | 4.74 | 170 | 4.28 | 1965-01-25 00:00:00 | 4.55 | STAGE_EXIT | -3.86 | -31.05 | -0.40 | 1 | 76.30 |
| GE | 1965-01-18 00:00:00 | 4.87 | 176 | 4.43 | 1965-06-07 00:00:00 | 4.87 | TRAILING_STOP | -0.01 | -0.06 | -0.00 | 20 | 77.30 |
| RTX | 1964-08-24 00:00:00 | 0.67 | 1298 | 0.61 | 1965-06-14 00:00:00 | 0.90 | TRAILING_STOP | 34.14 | 296.19 | 3.92 | 42 | 78.20 |
| GD | 1964-03-09 00:00:00 | 0.79 | 500 | 0.63 | 1964-04-06 00:00:00 | 0.72 | STAGE_EXIT | -7.94 | -31.20 | -0.41 | 4 | 77.70 |
| AA | 1963-05-20 00:00:00 | 6.48 | 82 | 5.57 | 1963-07-22 00:00:00 | 5.89 | TRAILING_STOP | -9.11 | -48.42 | -0.64 | 9 | 82.20 |
| CAT | 1963-05-13 00:00:00 | 1.68 | 425 | 1.50 | 1963-08-12 00:00:00 | 1.86 | STAGE_EXIT | 10.74 | 76.68 | 1.02 | 13 | 84.60 |
| XOM | 1963-03-11 00:00:00 | 1.94 | 380 | 1.74 | 1963-10-07 00:00:00 | 2.18 | STAGE_EXIT | 12.28 | 90.39 | 1.21 | 30 | 73.90 |