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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PTEN | 2022-02-21 00:00:00 | 13.48 | 720 | 8.81 | 2022-07-04 00:00:00 | 13.90 | TRAILING_STOP | 3.12 | 302.84 | 0.09 | 19 | 78.70 |
| SBLK | 2022-02-21 00:00:00 | 29.01 | 473 | 21.90 | 2022-06-13 00:00:00 | 26.23 | TRAILING_STOP | -9.59 | -1315.97 | -0.39 | 16 | 74.40 |
| SFL | 2022-02-21 00:00:00 | 9.87 | 1951 | 8.15 | 2022-06-13 00:00:00 | 9.49 | TRAILING_STOP | -3.88 | -746.87 | -0.22 | 16 | 76.60 |
| PDS | 2022-02-14 00:00:00 | 52.76 | 229 | 37.91 | 2022-06-13 00:00:00 | 59.54 | TRAILING_STOP | 12.86 | 1553.90 | 0.46 | 17 | 78.30 |
| WES | 2022-02-14 00:00:00 | 27.29 | 574 | 21.37 | 2022-05-16 00:00:00 | 26.00 | STAGE_EXIT | -4.75 | -744.24 | -0.22 | 13 | 79.50 |
| SUN | 2022-02-07 00:00:00 | 45.77 | 520 | 39.18 | 2022-02-21 00:00:00 | 40.35 | TRAILING_STOP | -11.85 | -2821.19 | -0.82 | 2 | 79.70 |
| XOM | 2022-01-31 00:00:00 | 75.12 | 237 | 60.90 | 2022-07-11 00:00:00 | 81.58 | TRAILING_STOP | 8.59 | 1530.11 | 0.45 | 23 | 81.30 |
| MBWM | 2022-01-24 00:00:00 | 37.93 | 726 | 33.27 | 2022-03-14 00:00:00 | 36.90 | STAGE_EXIT | -2.71 | -747.52 | -0.22 | 7 | 70.30 |
| MTR | 2022-01-24 00:00:00 | 8.63 | 1362 | 6.14 | 2022-07-04 00:00:00 | 10.28 | TRAILING_STOP | 19.19 | 2254.65 | 0.67 | 23 | 76.40 |
| AEG | 2022-01-17 00:00:00 | 5.78 | 3469 | 4.76 | 2022-02-21 00:00:00 | 5.00 | TRAILING_STOP | -13.57 | -2722.17 | -0.77 | 5 | 74.30 |
| BNY | 2022-01-17 00:00:00 | 61.81 | 518 | 54.95 | 2022-02-14 00:00:00 | 56.11 | TRAILING_STOP | -9.23 | -2953.82 | -0.83 | 4 | 73.40 |
| CVX | 2022-01-17 00:00:00 | 129.95 | 179 | 110.18 | 2022-06-13 00:00:00 | 150.30 | TRAILING_STOP | 15.66 | 3643.12 | 1.03 | 21 | 73.70 |
| KOS | 2022-01-17 00:00:00 | 4.76 | 2183 | 3.13 | 2022-06-20 00:00:00 | 5.95 | TRAILING_STOP | 24.97 | 2594.78 | 0.73 | 22 | 73.60 |
| SBR | 2022-01-17 00:00:00 | 51.67 | 349 | 41.50 | 2022-07-04 00:00:00 | 57.42 | TRAILING_STOP | 11.12 | 2005.70 | 0.56 | 24 | 77.40 |
| THRM | 2022-01-17 00:00:00 | 98.87 | 207 | 81.76 | 2022-02-21 00:00:00 | 84.55 | TRAILING_STOP | -14.48 | -2962.76 | -0.84 | 5 | 74.90 |
| AMPH | 2022-01-10 00:00:00 | 25.12 | 730 | 20.17 | 2022-06-06 00:00:00 | 29.28 | TRAILING_STOP | 16.57 | 3038.55 | 0.84 | 21 | 72.00 |
| RUSHA | 2022-01-10 00:00:00 | 38.56 | 562 | 32.12 | 2022-01-31 00:00:00 | 33.08 | TRAILING_STOP | -14.20 | -3077.79 | -0.85 | 3 | 72.40 |
| CWK | 2022-01-03 00:00:00 | 22.39 | 991 | 18.56 | 2022-03-07 00:00:00 | 19.65 | TRAILING_STOP | -12.26 | -2721.95 | -0.72 | 9 | 70.70 |
| UMH | 2022-01-03 00:00:00 | 27.48 | 938 | 23.44 | 2022-01-17 00:00:00 | 23.89 | STAGE_EXIT | -13.07 | -3369.99 | -0.89 | 2 | 78.30 |
| VECO | 2022-01-03 00:00:00 | 28.71 | 784 | 23.87 | 2022-04-04 00:00:00 | 26.01 | TRAILING_STOP | -9.40 | -2115.01 | -0.56 | 13 | 72.50 |
| JBL | 2021-12-27 00:00:00 | 70.14 | 389 | 60.48 | 2022-01-24 00:00:00 | 61.86 | TRAILING_STOP | -11.80 | -3220.06 | -0.86 | 4 | 72.70 |
| ARE | 2021-12-20 00:00:00 | 213.42 | 235 | 197.86 | 2022-01-17 00:00:00 | 201.49 | TRAILING_STOP | -5.59 | -2803.38 | -0.77 | 4 | 71.50 |
| DGX | 2021-12-20 00:00:00 | 171.34 | 134 | 144.17 | 2022-01-10 00:00:00 | 147.46 | TRAILING_STOP | -13.94 | -3199.79 | -0.88 | 3 | 72.50 |
| CIEN | 2021-12-13 00:00:00 | 73.25 | 222 | 56.61 | 2022-02-07 00:00:00 | 63.69 | STAGE_EXIT | -13.04 | -2120.95 | -0.57 | 8 | 76.90 |
| TULP | 2021-12-13 00:00:00 | 20.74 | 288 | 7.91 | 2022-02-14 00:00:00 | 10.56 | TRAILING_STOP | -49.07 | -2931.48 | -0.79 | 9 | 78.00 |
| FMAO | 2021-12-06 00:00:00 | 29.74 | 562 | 23.22 | 2022-06-20 00:00:00 | 34.23 | TRAILING_STOP | 15.10 | 2523.77 | 0.69 | 28 | 74.70 |
| MPB | 2021-11-29 00:00:00 | 31.13 | 1098 | 27.69 | 2021-12-06 00:00:00 | 29.91 | STAGE_EXIT | -3.93 | -1341.84 | -0.35 | 1 | 73.50 |
| TRT | 2021-11-22 00:00:00 | 4.58 | 1828 | 2.47 | 2022-01-24 00:00:00 | 3.08 | TRAILING_STOP | -32.76 | -2742.57 | -0.71 | 9 | 80.40 |
| FGBI | 2021-11-08 00:00:00 | 21.14 | 1073 | 17.52 | 2022-01-03 00:00:00 | 20.21 | STAGE_EXIT | -4.41 | -1000.79 | -0.26 | 8 | 78.80 |
| GT | 2021-11-08 00:00:00 | 24.27 | 599 | 17.78 | 2021-12-06 00:00:00 | 21.96 | STAGE_EXIT | -9.53 | -1385.15 | -0.36 | 4 | 80.20 |
| BGI | 2021-11-01 00:00:00 | 7.06 | 938 | 2.88 | 2021-11-08 00:00:00 | 2.87 | INITIAL_STOP | -59.34 | -3932.08 | -1.00 | 1 | 74.90 |
| NTR | 2021-10-04 00:00:00 | 68.05 | 456 | 59.72 | 2022-01-17 00:00:00 | 70.68 | STAGE_EXIT | 3.87 | 1200.44 | 0.32 | 15 | 72.20 |
| CRVS | 2021-09-27 00:00:00 | 7.01 | 919 | 2.86 | 2021-11-22 00:00:00 | 3.26 | TRAILING_STOP | -53.53 | -3450.79 | -0.90 | 8 | 83.50 |
| ATYR | 2021-09-20 00:00:00 | 9.92 | 727 | 4.77 | 2022-01-03 00:00:00 | 6.76 | TRAILING_STOP | -31.90 | -2300.48 | -0.61 | 15 | 84.50 |
| CEPU | 2021-09-20 00:00:00 | 3.23 | 4354 | 2.37 | 2022-01-03 00:00:00 | 2.94 | TRAILING_STOP | -8.87 | -1245.84 | -0.33 | 15 | 84.70 |
| ALOY | 2021-09-13 00:00:00 | 17.03 | 619 | 10.96 | 2021-11-08 00:00:00 | 15.73 | TRAILING_STOP | -7.68 | -809.26 | -0.22 | 8 | 73.90 |
| LEU | 2021-09-13 00:00:00 | 36.21 | 319 | 24.43 | 2022-01-17 00:00:00 | 43.66 | TRAILING_STOP | 20.57 | 2376.67 | 0.63 | 18 | 78.00 |
| AMX | 2021-08-23 00:00:00 | 18.31 | 1051 | 14.74 | 2021-11-29 00:00:00 | 16.89 | TRAILING_STOP | -7.73 | -1487.63 | -0.40 | 14 | 78.30 |
| NREF | 2021-08-09 00:00:00 | 24.02 | 809 | 19.38 | 2021-09-13 00:00:00 | 20.15 | TRAILING_STOP | -16.09 | -3126.62 | -0.83 | 5 | 80.10 |
| G | 2021-08-02 00:00:00 | 50.10 | 615 | 44.01 | 2021-10-04 00:00:00 | 46.84 | TRAILING_STOP | -6.50 | -2003.91 | -0.54 | 9 | 72.50 |
| KOF | 2021-08-02 00:00:00 | 56.87 | 433 | 48.22 | 2021-11-01 00:00:00 | 54.54 | STAGE_EXIT | -4.10 | -1010.11 | -0.27 | 13 | 72.40 |
| RBC | 2021-08-02 00:00:00 | 237.61 | 87 | 194.92 | 2021-09-20 00:00:00 | 204.30 | TRAILING_STOP | -14.02 | -2898.35 | -0.78 | 7 | 82.70 |
| SCI | 2021-08-02 00:00:00 | 63.13 | 350 | 52.45 | 2022-01-10 00:00:00 | 65.12 | TRAILING_STOP | 3.16 | 698.46 | 0.19 | 23 | 75.10 |
| TEL | 2021-08-02 00:00:00 | 148.59 | 229 | 132.26 | 2021-09-13 00:00:00 | 141.55 | STAGE_EXIT | -4.74 | -1612.21 | -0.43 | 6 | 79.10 |
| CSR | 2021-07-26 00:00:00 | 91.68 | 199 | 72.97 | 2022-01-17 00:00:00 | 97.62 | TRAILING_STOP | 6.48 | 1181.96 | 0.32 | 25 | 85.30 |
| LXU | 2021-07-26 00:00:00 | 6.41 | 1620 | 4.11 | 2021-12-13 00:00:00 | 8.37 | STAGE_EXIT | 30.54 | 3172.40 | 0.85 | 20 | 83.40 |
| PAYX | 2021-07-12 00:00:00 | 112.12 | 257 | 96.65 | 2022-01-17 00:00:00 | 118.43 | STAGE_EXIT | 5.63 | 1621.38 | 0.41 | 27 | 74.20 |
| RSSS | 2021-07-12 00:00:00 | 3.06 | 5874 | 2.38 | 2021-08-09 00:00:00 | 2.63 | STAGE_EXIT | -13.79 | -2475.19 | -0.62 | 4 | 81.40 |
| BLIN | 2021-07-05 00:00:00 | 13.98 | 378 | 3.04 | 2021-09-27 00:00:00 | 3.90 | TRAILING_STOP | -72.08 | -3808.49 | -0.92 | 12 | 89.30 |
| DLTH | 2021-07-05 00:00:00 | 19.67 | 837 | 14.73 | 2021-07-26 00:00:00 | 15.26 | TRAILING_STOP | -22.42 | -3691.45 | -0.89 | 3 | 77.30 |