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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| LFMD | 2020-03-23 00:00:00 | 1.40 | 3380 | 0.74 | 2021-01-04 00:00:00 | 5.85 | TRAILING_STOP | 316.92 | 15026.46 | 6.70 | 41 | 75.90 |
| SMMT | 2020-03-16 00:00:00 | 2.01 | 4740 | 1.55 | 2020-09-21 00:00:00 | 3.19 | TRAILING_STOP | 58.26 | 5561.81 | 2.52 | 27 | 77.30 |
| AAON | 2020-03-09 00:00:00 | 37.09 | 619 | 33.33 | 2020-03-16 00:00:00 | 27.94 | STAGE_EXIT | -24.67 | -5663.88 | -2.43 | 1 | 70.50 |
| IOVA | 2020-03-09 00:00:00 | 36.09 | 184 | 23.43 | 2020-03-16 00:00:00 | 22.13 | INITIAL_STOP | -38.70 | -2569.81 | -1.10 | 1 | 73.50 |
| OCUL | 2020-03-09 00:00:00 | 6.25 | 1134 | 4.20 | 2020-03-16 00:00:00 | 3.99 | INITIAL_STOP | -36.15 | -2563.38 | -1.10 | 1 | 77.20 |
| FKWL | 2020-03-02 00:00:00 | 3.22 | 3082 | 2.42 | 2021-03-01 00:00:00 | 18.17 | TRAILING_STOP | 465.06 | 46101.51 | 18.87 | 52 | 78.00 |
| B | 2020-02-24 00:00:00 | 22.55 | 557 | 17.81 | 2020-03-09 00:00:00 | 17.94 | TRAILING_STOP | -20.42 | -2563.67 | -0.97 | 2 | 72.50 |
| BMI | 2020-02-24 00:00:00 | 68.27 | 278 | 58.76 | 2020-03-09 00:00:00 | 58.79 | TRAILING_STOP | -13.88 | -2633.79 | -1.00 | 2 | 70.00 |
| HMY | 2020-02-24 00:00:00 | 4.54 | 2079 | 3.27 | 2020-03-09 00:00:00 | 3.32 | TRAILING_STOP | -26.95 | -2542.76 | -0.96 | 2 | 74.20 |
| HTGC | 2020-02-24 00:00:00 | 15.85 | 1327 | 13.86 | 2020-03-02 00:00:00 | 13.30 | INITIAL_STOP | -16.08 | -3381.59 | -1.28 | 1 | 75.40 |
| NEM | 2020-02-24 00:00:00 | 51.25 | 240 | 40.24 | 2020-03-09 00:00:00 | 40.86 | TRAILING_STOP | -20.28 | -2494.94 | -0.94 | 2 | 72.10 |
| SEVN | 2020-02-24 00:00:00 | 22.49 | 1165 | 20.23 | 2020-03-02 00:00:00 | 18.56 | INITIAL_STOP | -17.48 | -4580.90 | -1.73 | 1 | 74.20 |
| WEN | 2020-02-24 00:00:00 | 23.55 | 1112 | 21.17 | 2020-03-02 00:00:00 | 19.21 | STAGE_EXIT | -18.41 | -4821.08 | -1.82 | 1 | 71.00 |
| UIS | 2020-02-10 00:00:00 | 16.46 | 416 | 9.91 | 2020-03-09 00:00:00 | 10.59 | TRAILING_STOP | -35.66 | -2442.10 | -0.90 | 4 | 81.40 |
| AHCO | 2020-01-27 00:00:00 | 12.94 | 986 | 10.24 | 2020-03-16 00:00:00 | 11.46 | TRAILING_STOP | -11.39 | -1452.55 | -0.55 | 7 | 80.70 |
| JMSB | 2020-01-27 00:00:00 | 18.04 | 1623 | 16.40 | 2020-02-24 00:00:00 | 16.71 | TRAILING_STOP | -7.37 | -2156.17 | -0.81 | 4 | 79.00 |
| VRRM | 2020-01-27 00:00:00 | 16.20 | 1339 | 14.21 | 2020-03-02 00:00:00 | 14.60 | TRAILING_STOP | -9.87 | -2141.91 | -0.80 | 5 | 79.70 |
| ONCY | 2020-01-06 00:00:00 | 3.76 | 1026 | 1.19 | 2020-03-09 00:00:00 | 1.57 | TRAILING_STOP | -58.33 | -2248.84 | -0.85 | 9 | 82.70 |
| PLUG | 2019-11-18 00:00:00 | 3.57 | 2350 | 2.49 | 2020-03-09 00:00:00 | 3.26 | TRAILING_STOP | -8.52 | -714.61 | -0.28 | 16 | 75.70 |
| TSQ | 2019-11-11 00:00:00 | 7.84 | 1331 | 5.95 | 2020-02-24 00:00:00 | 8.96 | TRAILING_STOP | 14.31 | 1492.46 | 0.59 | 15 | 77.50 |
| NMRK | 2019-11-04 00:00:00 | 11.47 | 1031 | 8.99 | 2020-02-10 00:00:00 | 11.37 | TRAILING_STOP | -0.90 | -106.13 | -0.04 | 14 | 78.10 |
| ALLE | 2019-10-28 00:00:00 | 113.96 | 201 | 101.38 | 2020-02-24 00:00:00 | 120.04 | TRAILING_STOP | 5.33 | 1221.59 | 0.48 | 17 | 75.60 |
| VC | 2019-10-28 00:00:00 | 96.72 | 83 | 66.46 | 2020-01-27 00:00:00 | 79.65 | STAGE_EXIT | -17.65 | -1417.03 | -0.56 | 13 | 74.70 |
| TSM | 2019-10-07 00:00:00 | 47.83 | 407 | 41.72 | 2020-02-24 00:00:00 | 53.23 | TRAILING_STOP | 11.29 | 2197.75 | 0.88 | 20 | 70.20 |
| CWCO | 2019-09-30 00:00:00 | 16.65 | 880 | 13.82 | 2020-02-24 00:00:00 | 16.11 | TRAILING_STOP | -3.23 | -473.74 | -0.19 | 21 | 72.60 |
| MGEE | 2019-09-30 00:00:00 | 79.14 | 298 | 70.77 | 2019-10-28 00:00:00 | 77.20 | STAGE_EXIT | -2.45 | -578.91 | -0.23 | 4 | 76.10 |
| YORW | 2019-09-30 00:00:00 | 44.46 | 286 | 35.72 | 2020-02-24 00:00:00 | 43.54 | TRAILING_STOP | -2.06 | -261.76 | -0.10 | 21 | 74.10 |
| ACAD | 2019-09-16 00:00:00 | 40.28 | 184 | 26.51 | 2020-01-27 00:00:00 | 37.29 | TRAILING_STOP | -7.42 | -549.78 | -0.22 | 19 | 73.50 |
| CRK | 2019-09-16 00:00:00 | 10.47 | 592 | 6.17 | 2019-10-07 00:00:00 | 6.70 | STAGE_EXIT | -36.05 | -2234.40 | -0.88 | 3 | 72.90 |
| MVBF | 2019-09-16 00:00:00 | 20.74 | 614 | 16.60 | 2020-01-27 00:00:00 | 19.94 | STAGE_EXIT | -3.86 | -492.04 | -0.19 | 19 | 73.90 |
| CEF | 2019-09-02 00:00:00 | 15.25 | 1126 | 12.96 | 2019-09-09 00:00:00 | 14.38 | STAGE_EXIT | -5.70 | -978.79 | -0.38 | 1 | 71.30 |
| UTI | 2019-09-02 00:00:00 | 5.75 | 1212 | 3.63 | 2020-03-02 00:00:00 | 7.09 | TRAILING_STOP | 23.27 | 1622.40 | 0.63 | 26 | 78.10 |
| DOC | 2019-08-19 00:00:00 | 34.52 | 840 | 31.42 | 2019-08-26 00:00:00 | 34.64 | STAGE_EXIT | 0.35 | 102.21 | 0.04 | 1 | 76.30 |
| AWR | 2019-08-12 00:00:00 | 84.17 | 211 | 71.96 | 2020-01-06 00:00:00 | 84.72 | TRAILING_STOP | 0.65 | 116.26 | 0.05 | 21 | 81.80 |
| LXP | 2019-08-12 00:00:00 | 51.35 | 523 | 46.42 | 2019-08-19 00:00:00 | 51.90 | STAGE_EXIT | 1.06 | 284.25 | 0.11 | 1 | 83.20 |
| ARCC | 2019-08-05 00:00:00 | 18.45 | 1939 | 17.36 | 2019-08-12 00:00:00 | 18.60 | STAGE_EXIT | 0.85 | 302.29 | 0.14 | 1 | 83.60 |
| AXS | 2019-08-05 00:00:00 | 62.85 | 504 | 57.53 | 2019-09-02 00:00:00 | 64.10 | STAGE_EXIT | 2.00 | 633.08 | 0.24 | 4 | 84.00 |
| BRX | 2019-08-05 00:00:00 | 18.70 | 2656 | 17.69 | 2019-08-26 00:00:00 | 17.89 | TRAILING_STOP | -4.30 | -2137.03 | -0.80 | 3 | 85.30 |
| GASS | 2019-07-29 00:00:00 | 4.11 | 3537 | 3.33 | 2019-08-05 00:00:00 | 3.33 | INITIAL_STOP | -19.01 | -2762.24 | -1.01 | 1 | 83.50 |
| PERI | 2019-07-22 00:00:00 | 4.16 | 2377 | 3.02 | 2020-03-09 00:00:00 | 6.18 | TRAILING_STOP | 48.57 | 4800.46 | 1.78 | 33 | 83.80 |
| HLIT | 2019-07-15 00:00:00 | 7.76 | 1170 | 5.45 | 2019-09-23 00:00:00 | 6.39 | TRAILING_STOP | -17.67 | -1603.40 | -0.59 | 10 | 78.20 |
| IQV | 2019-06-24 00:00:00 | 158.00 | 100 | 132.69 | 2019-09-09 00:00:00 | 149.17 | TRAILING_STOP | -5.59 | -882.54 | -0.35 | 11 | 74.60 |
| RELX | 2019-06-03 00:00:00 | 23.45 | 1368 | 21.61 | 2019-08-05 00:00:00 | 23.47 | STAGE_EXIT | 0.11 | 35.79 | 0.01 | 9 | 72.30 |
| RAVE | 2019-05-20 00:00:00 | 2.79 | 1759 | 1.31 | 2019-11-04 00:00:00 | 2.50 | STAGE_EXIT | -10.43 | -511.09 | -0.20 | 24 | 76.40 |
| BFC | 2019-05-06 00:00:00 | 69.00 | 147 | 53.30 | 2019-07-15 00:00:00 | 63.55 | TRAILING_STOP | -7.89 | -800.43 | -0.35 | 10 | 76.80 |
| INSE | 2019-04-29 00:00:00 | 8.62 | 1076 | 6.45 | 2019-05-06 00:00:00 | 7.26 | STAGE_EXIT | -15.80 | -1465.23 | -0.63 | 1 | 76.60 |
| TER | 2019-04-29 00:00:00 | 48.87 | 193 | 36.77 | 2020-02-24 00:00:00 | 63.06 | TRAILING_STOP | 29.05 | 2739.84 | 1.17 | 43 | 71.70 |
| MRVL | 2019-04-22 00:00:00 | 24.75 | 338 | 18.08 | 2019-09-30 00:00:00 | 23.50 | TRAILING_STOP | -5.06 | -423.67 | -0.19 | 23 | 70.00 |
| SBR | 2019-04-22 00:00:00 | 51.11 | 230 | 41.33 | 2019-07-22 00:00:00 | 45.32 | TRAILING_STOP | -11.33 | -1332.09 | -0.59 | 13 | 74.20 |
| OESX | 2019-04-15 00:00:00 | 16.23 | 252 | 9.11 | 2020-03-09 00:00:00 | 34.85 | TRAILING_STOP | 114.70 | 4691.97 | 2.62 | 47 | 75.40 |