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 6 7 8 9 10 11 12
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| STEX | 2018-04-09 00:00:00 | 55.36 | 98 | 36.44 | 2018-06-04 00:00:00 | 44.41 | STAGE_EXIT | -19.78 | -1073.05 | -0.58 | 8 | 79.20 |
| BGSF | 2018-04-02 00:00:00 | 19.16 | 712 | 16.53 | 2018-10-08 00:00:00 | 23.37 | TRAILING_STOP | 21.96 | 2995.59 | 1.60 | 27 | 70.70 |
| OMEX | 2018-03-26 00:00:00 | 9.03 | 391 | 4.17 | 2018-07-30 00:00:00 | 6.78 | TRAILING_STOP | -24.95 | -880.68 | -0.46 | 18 | 81.30 |
| CCNE | 2018-03-19 00:00:00 | 30.94 | 540 | 27.35 | 2018-04-09 00:00:00 | 28.80 | STAGE_EXIT | -6.91 | -1155.32 | -0.60 | 3 | 81.80 |
| TWLO | 2018-03-12 00:00:00 | 39.75 | 175 | 28.81 | 2018-12-24 00:00:00 | 73.48 | TRAILING_STOP | 84.86 | 5903.11 | 3.08 | 41 | 83.80 |
| NICE | 2018-02-26 00:00:00 | 96.96 | 156 | 84.65 | 2018-10-08 00:00:00 | 106.07 | TRAILING_STOP | 9.40 | 1421.13 | 0.74 | 32 | 71.80 |
| POET | 2018-02-19 00:00:00 | 4.21 | 970 | 2.24 | 2018-04-30 00:00:00 | 2.74 | TRAILING_STOP | -34.95 | -1426.87 | -0.75 | 10 | 79.00 |
| ALRS | 2018-02-05 00:00:00 | 23.07 | 738 | 20.48 | 2018-03-12 00:00:00 | 23.15 | STAGE_EXIT | 0.38 | 64.62 | 0.03 | 5 | 79.80 |
| CASH | 2018-02-05 00:00:00 | 36.21 | 289 | 29.62 | 2018-04-30 00:00:00 | 32.96 | TRAILING_STOP | -8.95 | -936.96 | -0.49 | 12 | 81.40 |
| EBAY | 2018-02-05 00:00:00 | 44.11 | 278 | 37.26 | 2018-04-02 00:00:00 | 38.90 | TRAILING_STOP | -11.80 | -1447.05 | -0.76 | 8 | 80.00 |
| TRNS | 2018-02-05 00:00:00 | 15.88 | 773 | 13.41 | 2018-03-26 00:00:00 | 13.98 | TRAILING_STOP | -11.98 | -1470.58 | -0.77 | 7 | 80.10 |
| BXC | 2018-01-29 00:00:00 | 15.63 | 358 | 10.19 | 2018-07-16 00:00:00 | 34.62 | TRAILING_STOP | 121.46 | 6796.68 | 3.49 | 24 | 81.10 |
| WEYS | 2018-01-29 00:00:00 | 33.35 | 395 | 28.41 | 2018-02-05 00:00:00 | 29.82 | STAGE_EXIT | -10.57 | -1392.90 | -0.71 | 1 | 79.50 |
| WRLD | 2018-01-29 00:00:00 | 114.74 | 56 | 80.12 | 2018-04-23 00:00:00 | 100.12 | TRAILING_STOP | -12.75 | -818.93 | -0.42 | 12 | 85.00 |
| CMBT | 2018-01-08 00:00:00 | 9.37 | 1457 | 8.06 | 2018-01-29 00:00:00 | 8.23 | STAGE_EXIT | -12.12 | -1653.99 | -0.86 | 3 | 77.20 |
| OMF | 2018-01-08 00:00:00 | 34.65 | 248 | 26.95 | 2018-03-19 00:00:00 | 29.52 | STAGE_EXIT | -14.80 | -1271.82 | -0.67 | 10 | 77.70 |
| BHRB | 2017-12-25 00:00:00 | 65.13 | 208 | 56.11 | 2018-07-16 00:00:00 | 70.61 | STAGE_EXIT | 8.41 | 1139.53 | 0.61 | 29 | 81.80 |
| SHAK | 2017-12-11 00:00:00 | 46.41 | 167 | 35.23 | 2018-02-19 00:00:00 | 37.17 | TRAILING_STOP | -19.91 | -1543.24 | -0.83 | 10 | 78.50 |
| PXS | 2017-12-04 00:00:00 | 22.12 | 123 | 7.11 | 2018-01-08 00:00:00 | 8.75 | TRAILING_STOP | -60.46 | -1645.17 | -0.89 | 5 | 76.20 |
| VNOM | 2017-12-04 00:00:00 | 21.65 | 499 | 17.93 | 2018-10-29 00:00:00 | 33.65 | TRAILING_STOP | 55.41 | 5986.95 | 3.22 | 47 | 76.10 |
| BVFL | 2017-11-27 00:00:00 | 6.41 | 1348 | 5.01 | 2018-01-08 00:00:00 | 5.22 | STAGE_EXIT | -18.69 | -1616.30 | -0.85 | 6 | 76.50 |
| MANU | 2017-11-27 00:00:00 | 21.74 | 470 | 17.71 | 2018-02-05 00:00:00 | 18.42 | TRAILING_STOP | -15.31 | -1564.17 | -0.83 | 10 | 77.10 |
| EC | 2017-11-13 00:00:00 | 12.02 | 740 | 9.50 | 2018-08-13 00:00:00 | 19.85 | TRAILING_STOP | 65.08 | 5790.95 | 3.10 | 39 | 74.40 |
| GAIN | 2017-11-13 00:00:00 | 10.93 | 1305 | 9.50 | 2017-11-27 00:00:00 | 10.83 | STAGE_EXIT | -0.95 | -135.09 | -0.07 | 2 | 75.80 |
| JKHY | 2017-11-13 00:00:00 | 113.65 | 177 | 103.12 | 2017-12-25 00:00:00 | 116.73 | STAGE_EXIT | 2.71 | 545.03 | 0.29 | 6 | 71.90 |
| USIO | 2017-11-06 00:00:00 | 3.41 | 1006 | 1.55 | 2018-01-29 00:00:00 | 2.00 | TRAILING_STOP | -41.41 | -1419.32 | -0.76 | 12 | 82.50 |
| MSEX | 2017-10-23 00:00:00 | 45.11 | 285 | 38.42 | 2017-11-13 00:00:00 | 43.33 | STAGE_EXIT | -3.94 | -506.41 | -0.27 | 3 | 72.20 |
| VKTX | 2017-10-09 00:00:00 | 2.09 | 2266 | 1.25 | 2018-04-23 00:00:00 | 4.24 | TRAILING_STOP | 102.43 | 4860.52 | 2.54 | 28 | 78.60 |
| ATYR | 2017-10-02 00:00:00 | 73.65 | 71 | 47.33 | 2017-11-13 00:00:00 | 51.46 | TRAILING_STOP | -30.12 | -1575.20 | -0.84 | 6 | 78.20 |
| CGAU | 2017-09-11 00:00:00 | 7.36 | 973 | 5.47 | 2017-11-13 00:00:00 | 5.95 | TRAILING_STOP | -19.26 | -1380.25 | -0.75 | 9 | 73.20 |
| ALM | 2017-09-04 00:00:00 | 0.91 | 4031 | 0.46 | 2017-12-11 00:00:00 | 0.86 | TRAILING_STOP | -5.11 | -186.56 | -0.10 | 14 | 78.50 |
| QNST | 2017-09-04 00:00:00 | 5.47 | 1162 | 3.91 | 2018-04-09 00:00:00 | 9.84 | TRAILING_STOP | 79.95 | 5082.33 | 2.81 | 31 | 74.90 |
| FWONK | 2017-08-28 00:00:00 | 36.64 | 464 | 32.80 | 2017-10-09 00:00:00 | 38.11 | STAGE_EXIT | 4.03 | 684.30 | 0.38 | 6 | 70.20 |
| SUZ | 2017-08-28 00:00:00 | 5.62 | 1447 | 4.39 | 2017-11-27 00:00:00 | 5.14 | TRAILING_STOP | -8.64 | -702.67 | -0.39 | 13 | 74.20 |
| MED | 2017-08-21 00:00:00 | 56.11 | 142 | 43.70 | 2018-02-26 00:00:00 | 63.33 | TRAILING_STOP | 12.87 | 1025.36 | 0.58 | 27 | 70.60 |
| DSGX | 2017-08-07 00:00:00 | 26.35 | 584 | 23.28 | 2017-12-04 00:00:00 | 26.63 | TRAILING_STOP | 1.05 | 161.55 | 0.09 | 17 | 78.70 |
| AMP | 2017-07-31 00:00:00 | 145.03 | 99 | 126.29 | 2017-09-11 00:00:00 | 139.58 | STAGE_EXIT | -3.76 | -539.47 | -0.29 | 6 | 71.40 |
| CAT | 2017-07-31 00:00:00 | 114.73 | 143 | 101.79 | 2018-04-02 00:00:00 | 144.15 | TRAILING_STOP | 25.65 | 4207.77 | 2.27 | 35 | 71.80 |
| MSGS | 2017-07-31 00:00:00 | 157.40 | 90 | 136.84 | 2017-10-02 00:00:00 | 150.72 | STAGE_EXIT | -4.25 | -601.75 | -0.33 | 9 | 76.00 |
| CDXS | 2017-07-24 00:00:00 | 5.61 | 1917 | 4.65 | 2017-07-31 00:00:00 | 5.09 | STAGE_EXIT | -9.29 | -999.52 | -0.54 | 1 | 71.00 |
| OVLY | 2017-07-24 00:00:00 | 15.47 | 1263 | 14.01 | 2017-08-21 00:00:00 | 15.12 | STAGE_EXIT | -2.27 | -443.54 | -0.24 | 4 | 71.70 |
| DSWL | 2017-07-03 00:00:00 | 2.21 | 5319 | 1.88 | 2018-01-29 00:00:00 | 2.68 | TRAILING_STOP | 21.08 | 2482.41 | 1.41 | 30 | 80.00 |
| TTGT | 2017-06-26 00:00:00 | 10.18 | 1451 | 8.95 | 2017-07-24 00:00:00 | 9.59 | STAGE_EXIT | -5.79 | -855.42 | -0.48 | 4 | 81.00 |
| RC | 2017-06-19 00:00:00 | 15.33 | 1595 | 14.23 | 2017-07-03 00:00:00 | 14.87 | STAGE_EXIT | -3.00 | -734.34 | -0.42 | 2 | 76.70 |
| IRWD | 2017-05-29 00:00:00 | 15.56 | 873 | 13.54 | 2017-06-26 00:00:00 | 15.78 | STAGE_EXIT | 1.43 | 193.87 | 0.11 | 4 | 74.60 |
| EHTH | 2017-05-08 00:00:00 | 17.81 | 258 | 11.18 | 2017-10-23 00:00:00 | 22.15 | TRAILING_STOP | 24.42 | 1121.92 | 0.66 | 24 | 80.80 |
| KAI | 2017-05-08 00:00:00 | 75.00 | 113 | 59.88 | 2018-02-05 00:00:00 | 94.27 | TRAILING_STOP | 25.69 | 2177.33 | 1.27 | 39 | 75.90 |
| UBS | 2017-05-08 00:00:00 | 16.90 | 1402 | 15.68 | 2017-05-29 00:00:00 | 15.91 | TRAILING_STOP | -5.85 | -1386.25 | -0.81 | 3 | 76.90 |
| SIGI | 2017-05-01 00:00:00 | 52.86 | 201 | 44.43 | 2017-07-24 00:00:00 | 48.26 | TRAILING_STOP | -8.69 | -923.64 | -0.55 | 12 | 79.60 |
| VSTM | 2017-04-03 00:00:00 | 24.41 | 186 | 15.42 | 2017-11-06 00:00:00 | 38.80 | TRAILING_STOP | 58.97 | 2677.31 | 1.60 | 31 | 78.10 |