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
1,981件 / 40ページ 5 6 7 8 9 10 11
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SMSI | 2019-04-15 00:00:00 | 127.86 | 46 | 89.14 | 2019-10-28 00:00:00 | 199.40 | TRAILING_STOP | 55.95 | 3290.90 | 1.85 | 28 | 72.40 |
| TRMD | 2019-04-15 00:00:00 | 8.38 | 885 | 6.35 | 2019-08-05 00:00:00 | 8.04 | TRAILING_STOP | -4.03 | -298.55 | -0.17 | 16 | 79.30 |
| VRRM | 2019-04-15 00:00:00 | 13.17 | 648 | 10.39 | 2019-11-11 00:00:00 | 14.55 | STAGE_EXIT | 10.52 | 897.19 | 0.50 | 30 | 78.10 |
| NWE | 2019-03-18 00:00:00 | 70.98 | 205 | 62.09 | 2019-06-24 00:00:00 | 72.01 | STAGE_EXIT | 1.44 | 209.93 | 0.12 | 14 | 76.70 |
| BOSC | 2019-02-25 00:00:00 | 3.55 | 1609 | 2.39 | 2019-04-15 00:00:00 | 2.52 | TRAILING_STOP | -28.82 | -1644.70 | -0.88 | 7 | 74.80 |
| HRZN | 2019-02-18 00:00:00 | 12.75 | 1329 | 11.36 | 2019-03-18 00:00:00 | 11.61 | TRAILING_STOP | -8.94 | -1514.36 | -0.82 | 4 | 77.70 |
| SANG | 2019-02-11 00:00:00 | 8.91 | 793 | 6.60 | 2019-07-29 00:00:00 | 8.24 | STAGE_EXIT | -7.46 | -526.79 | -0.29 | 24 | 73.60 |
| ZLAB | 2019-02-11 00:00:00 | 30.77 | 185 | 20.90 | 2019-04-29 00:00:00 | 25.83 | TRAILING_STOP | -16.06 | -914.50 | -0.50 | 11 | 78.40 |
| ARIS | 2019-02-04 00:00:00 | 2.83 | 2157 | 1.99 | 2019-04-15 00:00:00 | 2.56 | TRAILING_STOP | -9.33 | -568.75 | -0.31 | 10 | 73.00 |
| KEYS | 2019-02-04 00:00:00 | 75.41 | 135 | 62.08 | 2019-05-20 00:00:00 | 73.29 | TRAILING_STOP | -2.81 | -286.44 | -0.16 | 15 | 72.40 |
| MRCY | 2019-02-04 00:00:00 | 58.15 | 195 | 48.90 | 2019-09-30 00:00:00 | 72.37 | TRAILING_STOP | 24.46 | 2773.26 | 1.54 | 34 | 73.30 |
| MCHX | 2019-01-28 00:00:00 | 3.99 | 1690 | 2.91 | 2019-06-03 00:00:00 | 4.25 | TRAILING_STOP | 6.57 | 442.99 | 0.24 | 18 | 74.50 |
| APT | 2019-01-21 00:00:00 | 4.44 | 2088 | 3.56 | 2019-02-18 00:00:00 | 3.83 | STAGE_EXIT | -13.66 | -1266.46 | -0.69 | 4 | 70.90 |
| FTLF | 2019-01-21 00:00:00 | 0.07 | 94315 | 0.05 | 2019-08-12 00:00:00 | 1.12 | TRAILING_STOP | 1492.72 | 98747.45 | 54.10 | 29 | 70.30 |
| FKWL | 2019-01-07 00:00:00 | 2.40 | 4452 | 2.00 | 2019-04-15 00:00:00 | 2.38 | TRAILING_STOP | -0.90 | -96.06 | -0.05 | 14 | 74.00 |
| OGC | 2018-12-24 00:00:00 | 9.83 | 1470 | 8.63 | 2019-02-04 00:00:00 | 9.12 | TRAILING_STOP | -7.23 | -1044.89 | -0.59 | 6 | 70.70 |
| DORM | 2018-11-19 00:00:00 | 90.27 | 107 | 73.30 | 2019-02-25 00:00:00 | 82.02 | TRAILING_STOP | -9.14 | -882.52 | -0.49 | 14 | 70.70 |
| PG | 2018-11-19 00:00:00 | 93.91 | 137 | 80.54 | 2019-11-18 00:00:00 | 120.05 | STAGE_EXIT | 27.84 | 3581.45 | 1.96 | 52 | 74.00 |
| AMSC | 2018-11-12 00:00:00 | 9.20 | 673 | 6.42 | 2019-04-29 00:00:00 | 11.16 | TRAILING_STOP | 21.31 | 1319.14 | 0.71 | 24 | 75.60 |
| CALX | 2018-11-12 00:00:00 | 10.42 | 629 | 7.45 | 2019-02-04 00:00:00 | 8.49 | TRAILING_STOP | -18.54 | -1215.16 | -0.65 | 12 | 75.60 |
| DOC | 2018-11-12 00:00:00 | 28.95 | 519 | 25.35 | 2019-04-15 00:00:00 | 29.77 | STAGE_EXIT | 2.84 | 426.91 | 0.23 | 22 | 75.40 |
| LADR | 2018-11-12 00:00:00 | 17.82 | 1110 | 16.13 | 2018-12-17 00:00:00 | 16.56 | TRAILING_STOP | -7.03 | -1390.99 | -0.74 | 5 | 75.00 |
| MPT | 2018-11-12 00:00:00 | 16.75 | 728 | 14.18 | 2019-04-22 00:00:00 | 16.81 | TRAILING_STOP | 0.31 | 38.05 | 0.02 | 23 | 75.70 |
| MSEX | 2018-11-12 00:00:00 | 49.60 | 351 | 44.27 | 2019-04-15 00:00:00 | 54.18 | STAGE_EXIT | 9.24 | 1608.43 | 0.86 | 22 | 75.60 |
| TRIP | 2018-11-12 00:00:00 | 63.43 | 159 | 51.68 | 2018-12-17 00:00:00 | 54.70 | TRAILING_STOP | -13.75 | -1386.90 | -0.74 | 5 | 75.10 |
| VRSN | 2018-11-05 00:00:00 | 164.78 | 82 | 142.64 | 2018-12-17 00:00:00 | 148.59 | TRAILING_STOP | -9.83 | -1327.84 | -0.73 | 6 | 70.90 |
| LRN | 2018-10-29 00:00:00 | 22.03 | 330 | 16.52 | 2019-01-21 00:00:00 | 22.04 | TRAILING_STOP | 0.05 | 3.58 | 0.00 | 12 | 76.60 |
| SA | 2018-10-15 00:00:00 | 14.85 | 536 | 11.34 | 2018-11-12 00:00:00 | 11.63 | TRAILING_STOP | -21.68 | -1725.83 | -0.92 | 4 | 71.30 |
| CCO | 2018-10-08 00:00:00 | 6.24 | 1307 | 4.76 | 2018-11-19 00:00:00 | 5.22 | STAGE_EXIT | -16.39 | -1336.96 | -0.69 | 6 | 72.20 |
| DYAI | 2018-10-08 00:00:00 | 2.15 | 3116 | 1.53 | 2018-10-29 00:00:00 | 1.57 | TRAILING_STOP | -27.03 | -1814.65 | -0.93 | 3 | 73.50 |
| IMXI | 2018-10-08 00:00:00 | 12.42 | 833 | 10.10 | 2019-01-28 00:00:00 | 11.11 | TRAILING_STOP | -10.62 | -1098.71 | -0.57 | 16 | 78.00 |
| PNBK | 2018-09-24 00:00:00 | 24.30 | 436 | 19.75 | 2018-10-15 00:00:00 | 20.06 | TRAILING_STOP | -17.43 | -1846.20 | -0.93 | 3 | 75.60 |
| AEE | 2018-09-10 00:00:00 | 65.48 | 283 | 58.48 | 2018-12-17 00:00:00 | 63.21 | STAGE_EXIT | -3.46 | -641.38 | -0.32 | 14 | 74.30 |
| KOSS | 2018-08-27 00:00:00 | 4.26 | 990 | 2.24 | 2018-11-05 00:00:00 | 2.53 | TRAILING_STOP | -40.54 | -1709.06 | -0.86 | 10 | 77.90 |
| LUMN | 2018-08-20 00:00:00 | 23.63 | 367 | 18.27 | 2018-10-22 00:00:00 | 19.57 | TRAILING_STOP | -17.17 | -1489.01 | -0.76 | 9 | 75.30 |
| ACR | 2018-08-13 00:00:00 | 35.62 | 338 | 29.82 | 2018-10-22 00:00:00 | 33.23 | STAGE_EXIT | -6.70 | -807.04 | -0.41 | 10 | 75.80 |
| AWX | 2018-07-30 00:00:00 | 17.00 | 132 | 2.43 | 2018-10-15 00:00:00 | 3.06 | TRAILING_STOP | -82.00 | -1840.58 | -0.96 | 11 | 80.00 |
| ULH | 2018-07-30 00:00:00 | 31.21 | 263 | 23.90 | 2018-10-08 00:00:00 | 34.61 | TRAILING_STOP | 10.87 | 892.65 | 0.46 | 10 | 74.50 |
| INTG | 2018-07-16 00:00:00 | 30.62 | 324 | 24.70 | 2018-11-19 00:00:00 | 29.30 | TRAILING_STOP | -4.32 | -428.34 | -0.22 | 18 | 70.80 |
| MYGN | 2018-07-16 00:00:00 | 42.55 | 231 | 34.25 | 2018-10-29 00:00:00 | 40.64 | TRAILING_STOP | -4.49 | -441.45 | -0.23 | 15 | 70.90 |
| RAMP | 2018-07-09 00:00:00 | 39.99 | 162 | 28.16 | 2018-12-17 00:00:00 | 42.00 | TRAILING_STOP | 5.03 | 325.71 | 0.17 | 23 | 74.50 |
| KRP | 2018-06-04 00:00:00 | 22.49 | 422 | 17.96 | 2018-09-24 00:00:00 | 20.50 | TRAILING_STOP | -8.88 | -843.23 | -0.44 | 16 | 79.30 |
| ELDN | 2018-05-28 00:00:00 | 143.39 | 29 | 79.73 | 2018-07-30 00:00:00 | 100.81 | TRAILING_STOP | -29.69 | -1234.70 | -0.67 | 9 | 78.70 |
| ABAT | 2018-05-14 00:00:00 | 5.41 | 505 | 1.61 | 2018-07-09 00:00:00 | 1.79 | TRAILING_STOP | -66.90 | -1828.05 | -0.95 | 8 | 79.70 |
| CTGO | 2018-04-30 00:00:00 | 29.55 | 183 | 19.31 | 2018-05-28 00:00:00 | 21.46 | STAGE_EXIT | -27.38 | -1480.83 | -0.79 | 4 | 74.90 |
| SLSN | 2018-04-30 00:00:00 | 1.20 | 2967 | 0.57 | 2018-09-10 00:00:00 | 0.79 | TRAILING_STOP | -33.93 | -1210.51 | -0.65 | 19 | 77.20 |
| AA | 2018-04-23 00:00:00 | 54.67 | 282 | 47.87 | 2018-05-14 00:00:00 | 50.73 | STAGE_EXIT | -7.21 | -1111.30 | -0.58 | 3 | 75.30 |
| DMLP | 2018-04-23 00:00:00 | 18.34 | 674 | 15.49 | 2018-08-20 00:00:00 | 18.16 | STAGE_EXIT | -0.94 | -116.60 | -0.06 | 17 | 74.10 |
| ALOT | 2018-04-16 00:00:00 | 16.78 | 610 | 13.66 | 2018-10-15 00:00:00 | 18.95 | TRAILING_STOP | 12.89 | 1319.71 | 0.69 | 26 | 73.60 |
| ALRS | 2018-04-09 00:00:00 | 23.70 | 824 | 21.43 | 2018-08-27 00:00:00 | 25.82 | TRAILING_STOP | 8.95 | 1747.67 | 0.94 | 20 | 72.30 |