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
- max_positions: 1, 2, 3, 5
- rsi_exclude: 65, 70, 75, なし
- rebalance: weekly, monthly
- 約定方式、手数料、スリッページ、lot-sizeはbacktestコマンドと同じ指定値を使用
自動コメント
- max_positionsは平均最大ドローダウンで見ると 5 が最も安定しています。
- RSI除外は 75 が平均累積リターンで最上位で、一定の有効性がありそうです。
- weeklyとmonthlyでは、平均累積リターンで monthly が有利です。
- TOPIX比較では 32 条件中 6 条件がベンチマークを上回り、上位10件では 6 件が上回りました。
cumulative_return 上位10件
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
| 3 |
70 |
monthly |
2,438,810円 |
143.88% |
19.89% |
-8.85% |
216 |
43.86% |
49.28% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 3 |
75 |
weekly |
1,769,595円 |
76.96% |
12.19% |
-23.92% |
950 |
45.34% |
-24.90% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 1 |
75 |
weekly |
1,649,105円 |
64.91% |
10.60% |
-23.07% |
242 |
57.21% |
-36.95% |
annual_return 上位10件
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
| 3 |
70 |
monthly |
2,438,810円 |
143.88% |
19.89% |
-8.85% |
216 |
43.86% |
49.28% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 3 |
75 |
weekly |
1,769,595円 |
76.96% |
12.19% |
-23.92% |
950 |
45.34% |
-24.90% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 3 |
なし |
monthly |
1,642,576円 |
64.26% |
10.63% |
-9.19% |
215 |
46.33% |
-30.35% |
max_drawdown が小さい上位10件
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 1 |
なし |
monthly |
1,538,263円 |
53.83% |
9.16% |
-6.02% |
50 |
60.25% |
-40.78% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 5 |
なし |
monthly |
1,317,483円 |
31.75% |
5.77% |
-8.69% |
263 |
55.58% |
-62.86% |
| 2 |
なし |
monthly |
1,365,789円 |
36.58% |
6.55% |
-8.71% |
139 |
45.96% |
-58.03% |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
benchmark_diff 上位10件
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
| 3 |
70 |
monthly |
2,438,810円 |
143.88% |
19.89% |
-8.85% |
216 |
43.86% |
49.28% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 3 |
75 |
weekly |
1,769,595円 |
76.96% |
12.19% |
-23.92% |
950 |
45.34% |
-24.90% |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 3 |
なし |
monthly |
1,642,576円 |
64.26% |
10.63% |
-9.19% |
215 |
46.33% |
-30.35% |
monthly条件のみの上位10件
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
| 3 |
70 |
monthly |
2,438,810円 |
143.88% |
19.89% |
-8.85% |
216 |
43.86% |
49.28% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 3 |
なし |
monthly |
1,642,576円 |
64.26% |
10.63% |
-9.19% |
215 |
46.33% |
-30.35% |
| 1 |
なし |
monthly |
1,538,263円 |
53.83% |
9.16% |
-6.02% |
50 |
60.25% |
-40.78% |
パラメータ別平均成績
max_positions別
| parameter |
count |
avg_final_value |
avg_cumulative_return |
avg_annual_return |
avg_max_drawdown |
avg_trade_count |
avg_idle_cash_ratio |
avg_benchmark_diff |
| 3 |
8 |
1,732,506円 |
73.25% |
11.18% |
-16.36% |
553.4 |
46.48% |
-24.98% |
| 2 |
8 |
1,602,954円 |
60.30% |
9.48% |
-16.51% |
377.8 |
44.46% |
-37.94% |
| 5 |
8 |
1,563,015円 |
56.30% |
8.81% |
-13.08% |
625.6 |
55.80% |
-41.93% |
| 1 |
8 |
1,530,140円 |
53.01% |
8.91% |
-16.86% |
151.5 |
55.84% |
-45.22% |
rsi_exclude別
| parameter |
count |
avg_final_value |
avg_cumulative_return |
avg_annual_return |
avg_max_drawdown |
avg_trade_count |
avg_idle_cash_ratio |
avg_benchmark_diff |
| 75 |
8 |
1,803,822円 |
80.38% |
12.17% |
-13.89% |
444.6 |
49.68% |
-17.85% |
| 70 |
8 |
1,793,740円 |
79.37% |
11.99% |
-14.36% |
422.4 |
49.39% |
-18.86% |
| 65 |
8 |
1,503,300円 |
50.33% |
8.54% |
-20.09% |
415.9 |
50.29% |
-47.90% |
| なし |
8 |
1,327,753円 |
32.78% |
5.67% |
-14.47% |
425.4 |
53.23% |
-65.46% |
rebalance別
| parameter |
count |
avg_final_value |
avg_cumulative_return |
avg_annual_return |
avg_max_drawdown |
avg_trade_count |
avg_idle_cash_ratio |
avg_benchmark_diff |
| monthly |
16 |
1,820,889円 |
82.09% |
12.52% |
-8.96% |
170.4 |
49.43% |
-12.52% |
| weekly |
16 |
1,393,418円 |
39.34% |
6.67% |
-22.45% |
683.8 |
51.86% |
-62.52% |
結果
| max_positions |
rsi_exclude |
rebalance |
final_value |
cumulative_return |
annual_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
| 3 |
75 |
monthly |
2,460,106円 |
146.01% |
20.10% |
-8.84% |
218 |
43.58% |
51.41% |
| 3 |
70 |
monthly |
2,438,810円 |
143.88% |
19.89% |
-8.85% |
216 |
43.86% |
49.28% |
| 2 |
70 |
monthly |
2,347,409円 |
134.74% |
18.96% |
-7.72% |
147 |
41.74% |
40.14% |
| 5 |
70 |
monthly |
2,279,760円 |
127.98% |
18.26% |
-7.07% |
291 |
49.83% |
33.37% |
| 5 |
75 |
monthly |
2,262,051円 |
126.21% |
18.07% |
-8.12% |
309 |
47.70% |
31.60% |
| 2 |
75 |
monthly |
2,157,984円 |
115.80% |
16.94% |
-7.88% |
147 |
41.43% |
21.19% |
| 3 |
75 |
weekly |
1,769,595円 |
76.96% |
12.19% |
-23.92% |
950 |
45.34% |
-24.90% |
| 1 |
70 |
monthly |
1,755,555円 |
75.56% |
12.13% |
-6.13% |
56 |
55.69% |
-19.05% |
| 1 |
75 |
monthly |
1,660,345円 |
66.03% |
10.87% |
-5.55% |
54 |
57.38% |
-28.57% |
| 1 |
75 |
weekly |
1,649,105円 |
64.91% |
10.60% |
-23.07% |
242 |
57.21% |
-36.95% |
| 3 |
なし |
monthly |
1,642,576円 |
64.26% |
10.63% |
-9.19% |
215 |
46.33% |
-30.35% |
| 2 |
65 |
weekly |
1,635,500円 |
63.55% |
10.42% |
-25.60% |
604 |
44.93% |
-38.31% |
| 5 |
65 |
weekly |
1,632,034円 |
63.20% |
10.37% |
-23.32% |
975 |
55.92% |
-38.66% |
| 3 |
65 |
weekly |
1,603,338円 |
60.33% |
9.98% |
-21.92% |
862 |
48.29% |
-41.53% |
| 1 |
なし |
weekly |
1,541,863円 |
54.19% |
9.11% |
-18.59% |
226 |
60.06% |
-47.67% |
| 1 |
なし |
monthly |
1,538,263円 |
53.83% |
9.16% |
-6.02% |
50 |
60.25% |
-40.78% |
| 2 |
70 |
weekly |
1,525,458円 |
52.55% |
8.88% |
-25.60% |
624 |
43.21% |
-49.32% |
| 2 |
65 |
monthly |
1,520,632円 |
52.06% |
8.90% |
-13.33% |
139 |
45.57% |
-42.54% |
| 3 |
65 |
monthly |
1,503,544円 |
50.35% |
8.65% |
-12.71% |
201 |
47.47% |
-44.25% |
| 5 |
65 |
monthly |
1,482,656円 |
48.27% |
8.34% |
-12.10% |
219 |
58.21% |
-46.34% |
| 1 |
70 |
weekly |
1,447,290円 |
44.73% |
7.73% |
-23.71% |
257 |
54.22% |
-57.13% |
| 1 |
65 |
monthly |
1,401,266円 |
40.13% |
7.11% |
-12.40% |
62 |
50.23% |
-54.48% |
| 2 |
なし |
monthly |
1,365,789円 |
36.58% |
6.55% |
-8.71% |
139 |
45.96% |
-58.03% |
| 3 |
70 |
weekly |
1,347,838円 |
34.78% |
6.20% |
-20.88% |
880 |
47.06% |
-67.08% |
| 5 |
75 |
weekly |
1,326,931円 |
32.69% |
5.86% |
-12.58% |
1024 |
58.55% |
-69.17% |
| 5 |
なし |
monthly |
1,317,483円 |
31.75% |
5.77% |
-8.69% |
263 |
55.58% |
-62.86% |
| 1 |
65 |
weekly |
1,247,432円 |
24.74% |
4.55% |
-39.38% |
265 |
51.67% |
-77.12% |
| 5 |
70 |
weekly |
1,207,800円 |
20.78% |
3.88% |
-14.95% |
908 |
59.49% |
-81.08% |
| 2 |
75 |
weekly |
1,144,459円 |
14.45% |
2.76% |
-21.13% |
613 |
46.22% |
-87.42% |
| 2 |
なし |
weekly |
1,126,399円 |
12.64% |
2.43% |
-22.14% |
609 |
46.61% |
-89.22% |
| 3 |
なし |
weekly |
1,094,240円 |
9.42% |
1.83% |
-24.59% |
885 |
49.94% |
-92.44% |
| 5 |
なし |
weekly |
995,408円 |
-0.46% |
-0.09% |
-17.85% |
1016 |
61.10% |
-102.32% |
推奨候補
これは投資助言ではなく、過去データ上の検証結果です。
| rank |
max_positions |
rsi_exclude |
rebalance |
cumulative_return |
max_drawdown |
trade_count |
idle_cash_ratio |
benchmark_diff |
採用理由 |
懸念点 |
| 1 |
2 |
75 |
monthly |
115.80% |
-7.88% |
147 |
41.43% |
21.19% |
monthlyで売買頻度を抑制、TOPIX比 21.19%、最大DDがベンチマーク以下 |
大きな懸念は相対的に少ない |
| 2 |
2 |
70 |
monthly |
134.74% |
-7.72% |
147 |
41.74% |
40.14% |
monthlyで売買頻度を抑制、TOPIX比 40.14%、最大DDがベンチマーク以下 |
大きな懸念は相対的に少ない |
| 3 |
3 |
70 |
monthly |
143.88% |
-8.85% |
216 |
43.86% |
49.28% |
monthlyで売買頻度を抑制、TOPIX比 49.28%、最大DDがベンチマーク以下 |
大きな懸念は相対的に少ない |