Market Compass バックテスト
このレポートは過去データに基づく検証です。売買命令、投資助言、発注機能は含みません。
条件
- データ期間: 過去5年の日足
- 判定頻度: 毎週末
- 売買タイミング: 週末判定後、次の約定日まで保有
- 約定方式: 翌営業日始値
- Look-ahead bias対策: 判定には判定日までのデータだけを使用
- 買い候補: MA25 > MA75 > MA200
- 除外条件: RSI >= 70
- 最大保有数: 3銘柄
- 配分: 均等配分
- 初期資金: 1,000,000円
- 手数料: 売買代金の 0.10%
- スリッページ率: 0.10%
- lot-size: 100株
- 税金: 考慮しない
手数料控除後の結果
- 検証開始日: 2021-05-28
- 検証終了日: 2026-05-18
- 最終資産: 1,347,838円
- 累積リターン: 34.78%
- 年率リターン: 6.20%
- 最大ドローダウン: -20.88%
- 勝率: 55.45%
- 売買回数: 880
- 手数料合計: 316,774円
- 最終現金残高: 639,938円
- 投資できなかった現金比率: 47.06%
- 判定週数: 259
- 投資週数: 211
ベンチマーク比較
戦略はベンチマークを下回りました。
| 対象 | 最終資産 | 累積リターン | 年率リターン | 最大ドローダウン |
|---|---|---|---|---|
| 戦略 | 1,347,838円 | 34.78% | 6.20% | -20.88% |
| ベンチマーク: TOPIX ETF (1306.T) | 2,018,610円 | 101.86% | 15.20% | -20.57% |
年別比較
| 年 | 戦略 | 1306.T | 差分 |
|---|---|---|---|
| 2021 | 0.00% | 1.27% | -1.27% |
| 2022 | 0.62% | -3.92% | 4.54% |
| 2023 | 2.58% | 24.34% | -21.76% |
| 2024 | 22.75% | 19.81% | 2.94% |
| 2025 | 10.46% | 22.12% | -11.66% |
| 2026 | -3.69% | 14.03% | -17.72% |
月別比較
| 月 | 戦略 | 1306.T | 差分 |
|---|---|---|---|
| 2021-06 | 0.00% | 1.16% | -1.16% |
| 2021-07 | 0.00% | -2.99% | 2.99% |
| 2021-08 | 0.00% | 0.25% | -0.25% |
| 2021-09 | 0.00% | 7.80% | -7.80% |
| 2021-10 | 0.00% | -4.49% | 4.49% |
| 2021-11 | 0.00% | -1.87% | 1.87% |
| 2021-12 | 0.00% | 1.88% | -1.88% |
| 2022-01 | 0.00% | -5.71% | 5.71% |
| 2022-02 | 0.00% | 0.53% | -0.53% |
| 2022-03 | 3.12% | 5.41% | -2.29% |
| 2022-04 | 1.52% | -4.49% | 6.00% |
| 2022-05 | 0.09% | 2.03% | -1.95% |
| 2022-06 | -1.01% | -1.13% | 0.12% |
| 2022-07 | -1.66% | 0.96% | -2.62% |
| 2022-08 | -2.17% | -0.20% | -1.97% |
| 2022-09 | 0.48% | -2.43% | 2.91% |
| 2022-10 | -0.57% | 2.62% | -3.18% |
| 2022-11 | -0.37% | 4.95% | -5.32% |
| 2022-12 | 1.30% | -5.75% | 7.05% |
| 2023-01 | 7.46% | 4.53% | 2.93% |
| 2023-02 | -2.60% | 0.07% | -2.67% |
| 2023-03 | -10.20% | -0.81% | -9.39% |
| 2023-04 | 6.14% | 4.97% | 1.17% |
| 2023-05 | 6.42% | 6.62% | -0.19% |
| 2023-06 | 3.09% | 3.73% | -0.64% |
| 2023-07 | 0.51% | 0.80% | -0.29% |
| 2023-08 | -2.26% | -1.45% | -0.81% |
| 2023-09 | 2.62% | 4.23% | -1.61% |
| 2023-10 | -4.77% | -5.41% | 0.64% |
| 2023-11 | 0.66% | 7.20% | -6.54% |
| 2023-12 | -3.02% | -1.69% | -1.34% |
| 2024-01 | 11.03% | 6.59% | 4.43% |
| 2024-02 | 0.92% | 6.68% | -5.76% |
| 2024-03 | 4.12% | 4.91% | -0.79% |
| 2024-04 | -2.27% | -2.38% | 0.11% |
| 2024-05 | 2.03% | 1.30% | 0.73% |
| 2024-06 | -3.64% | -0.85% | -2.79% |
| 2024-07 | 5.60% | -1.12% | 6.72% |
| 2024-08 | -3.51% | -2.55% | -0.96% |
| 2024-09 | 10.05% | -0.27% | 10.32% |
| 2024-10 | 1.33% | -0.88% | 2.21% |
| 2024-11 | 5.50% | 4.15% | 1.35% |
| 2024-12 | -8.65% | 3.26% | -11.91% |
| 2025-01 | 0.32% | -1.32% | 1.64% |
| 2025-02 | -2.37% | -2.34% | -0.03% |
| 2025-03 | 2.97% | 0.05% | 2.92% |
| 2025-04 | -3.39% | -0.93% | -2.46% |
| 2025-05 | 3.10% | 3.53% | -0.43% |
| 2025-06 | 0.33% | 4.57% | -4.24% |
| 2025-07 | 0.53% | 0.89% | -0.36% |
| 2025-08 | 3.86% | 5.90% | -2.03% |
| 2025-09 | 0.33% | 1.90% | -1.57% |
| 2025-10 | -0.04% | 4.80% | -4.84% |
| 2025-11 | 2.43% | 0.54% | 1.88% |
| 2025-12 | 2.18% | 2.93% | -0.75% |
| 2026-01 | -0.12% | 4.10% | -4.22% |
| 2026-02 | 1.11% | 6.89% | -5.78% |
| 2026-03 | -4.60% | -7.46% | 2.86% |
| 2026-04 | -2.28% | 6.53% | -8.81% |
| 2026-05 | 2.29% | 3.96% | -1.67% |
銘柄別寄与
| 銘柄 | 保有回数 | 平均リターン | 累積寄与 |
|---|---|---|---|
| アドバンテスト (6857.T) | 14 | 4.07% | 26.43% |
| 三菱UFJ (8306.T) | 73 | 1.31% | 22.06% |
| 三井住友FG (8316.T) | 118 | 0.71% | 21.32% |
| TOPIX ETF (1306.T) | 116 | 0.19% | 6.99% |
| ソニーG (6758.T) | 13 | 1.47% | 4.34% |
| 任天堂 (7974.T) | 3 | 0.59% | 1.92% |
| 三菱商事 (8058.T) | 27 | 0.07% | 0.33% |
| トヨタ (7203.T) | 23 | -0.22% | -1.79% |
| NTT (9432.T) | 54 | -0.16% | -2.47% |
直近10週
| 判定日 | 約定日 | 次回約定日 | 保有銘柄 | グロス週次リターン | 手数料 | ネット週次リターン | 資産 |
|---|---|---|---|---|---|---|---|
| 2026-03-06 | 2026-03-09 | 2026-03-16 | TOPIX ETF (1306.T) | 0.93% | 1,021円 | 0.82% | 1,362,672円 |
| 2026-03-13 | 2026-03-16 | 2026-03-23 | TOPIX ETF (1306.T) | -1.08% | 874円 | -1.18% | 1,346,623円 |
| 2026-03-19 | 2026-03-23 | 2026-03-30 | TOPIX ETF (1306.T) | 0.22% | 845円 | 0.12% | 1,348,294円 |
| 2026-03-27 | 2026-03-30 | 2026-04-06 | TOPIX ETF (1306.T) | 1.50% | 888円 | 1.40% | 1,367,158円 |
| 2026-04-03 | 2026-04-06 | 2026-04-13 | TOPIX ETF (1306.T) | 0.56% | 891円 | 0.46% | 1,373,407円 |
| 2026-04-10 | 2026-04-13 | 2026-04-20 | NTT (9432.T), 三菱商事 (8058.T) | -2.57% | 1,646円 | -2.72% | 1,336,076円 |
| 2026-04-17 | 2026-04-20 | 2026-04-27 | TOPIX ETF (1306.T), NTT (9432.T) | -1.14% | 2,049円 | -1.38% | 1,317,618円 |
| 2026-04-24 | 2026-04-27 | 2026-05-07 | TOPIX ETF (1306.T), 三菱UFJ (8306.T), NTT (9432.T) | 1.57% | 1,991円 | 1.36% | 1,335,477円 |
| 2026-05-01 | 2026-05-07 | 2026-05-11 | TOPIX ETF (1306.T), 三菱UFJ (8306.T) | -0.13% | 1,843円 | -0.35% | 1,330,791円 |
| 2026-05-08 | 2026-05-11 | 2026-05-18 | TOPIX ETF (1306.T), 三菱UFJ (8306.T) | 1.44% | 1,376円 | 1.28% | 1,347,838円 |