| 「損切りは、期待値に影響を与えるか」シミュレーション | ||||||||||||||||
| 【前提】 | ■市場/銘柄 : 日経225先物 | |||||||||||||||
| ■期間 : 1994年〜2003年 | ||||||||||||||||
| ■売買方法 : 寄り付きで仕掛けて、大引けで決済、損切り有り | ||||||||||||||||
| ■当たる確率 : 50%(具体的には、ランダム関数で当たり外れを決めて、売りか、買いかを決定する) | ||||||||||||||||
| ■損切り基準 : 30円、50円、70円、100円、150円、200円、300円、損切り無しの8通りを検査 | ||||||||||||||||
| ■売買執行値差 : 考慮せず | ||||||||||||||||
| ■手数料 : 考慮せず | ||||||||||||||||
| ■売買数量 : 1枚 | ||||||||||||||||
| ■シミュレーション回数 : 10回 | ||||||||||||||||
| 【集計】 | ||||||||||||||||
| 損切り | 当たる | 売買 | 売買 | 売買 | 税引前 | 連続 | 連続 | 連続 | 手仕舞 | 損益 | 損益 | 勝率 | ||||
| 基準 | 確率 | 益 | 損 | 損益 | 損益 | 勝回数 | 負回数 | 最大 | 残資金 | プラス | マイナス | |||||
| 負金額 | 回数 | 回数 | ||||||||||||||
| (円) | (%) | (千円) | (千円) | (千円) | (千円) | (回) | (回) | (千円) | (千円) | (回) | (回) | |||||
| 30円 | 50.0% | 60,497 | -64,793 | -4,296 | -4,296 | 3 | 41 | -1,237 | 5,704 | 350 | 2,112 | 14.2% | ||||
| 50円 | 50.0% | 93,808 | -93,933 | -125 | -125 | 5 | 30 | -1,486 | 9,875 | 588 | 1,874 | 23.9% | ||||
| 70円 | 50.0% | 119,866 | -114,009 | 5,857 | 5,857 | 7 | 21 | -1,490 | 15,857 | 786 | 1,676 | 31.9% | ||||
| 100円 | 50.0% | 142,306 | -135,608 | 6,698 | 6,698 | 8 | 16 | -1,570 | 16,698 | 975 | 1,488 | 39.6% | ||||
| 150円 | 50.0% | 157,268 | -153,724 | 3,544 | 3,544 | 10 | 13 | -1,690 | 13,544 | 1,146 | 1,316 | 46.5% | ||||
| 200円 | 50.1% | 165,634 | -161,818 | 3,816 | 3,816 | 10 | 12 | -1,913 | 13,816 | 1,213 | 1,249 | 49.3% | ||||
| 300円 | 50.0% | 167,948 | -168,227 | -279 | -279 | 10 | 12 | -2,148 | 9,721 | 1,252 | 1,210 | 50.8% | ||||
| 無し | 50.0% | 170,416 | -170,924 | -508 | -508 | 11 | 10 | -2,253 | 9,492 | 1,262 | 1,200 | 51.3% | ||||
| 【明細】 | ||||||||||||||||
| 損切り | 当たる | 売買 | 売買 | 売買 | 税引前 | 連続 | 連続 | 連続 | 手仕舞 | 損益 | 損益 | 勝率 | ||||
| 基準 | 確率 | 益 | 損 | 損益 | 損益 | 勝回数 | 負回数 | 最大 | 残資金 | プラス | マイナス | |||||
| 負金額 | 回数 | 回数 | ||||||||||||||
| (円) | (%) | (千円) | (千円) | (千円) | (千円) | (回) | (回) | (千円) | (千円) | (回) | (回) | |||||
| 30円 | 49.3% | 58,470 | -65,050 | -6,580 | -6,580 | 4 | 42 | -1,290 | 3,420 | 341 | 2,121 | 13.9% | ||||
| 30円 | 49.5% | 63,560 | -64,680 | -1,120 | -1,120 | 3 | 50 | -1,530 | 8,880 | 353 | 2,109 | 14.3% | ||||
| 30円 | 49.8% | 58,410 | -64,990 | -6,580 | -6,580 | 4 | 38 | -1,150 | 3,420 | 343 | 2,119 | 13.9% | ||||
| 30円 | 49.8% | 61,520 | -64,880 | -3,360 | -3,360 | 3 | 38 | -1,170 | 6,640 | 344 | 2,118 | 14.0% | ||||
| 30円 | 50.0% | 57,640 | -65,500 | -7,860 | -7,860 | 3 | 34 | -1,050 | 2,140 | 328 | 2,134 | 13.3% | ||||
| 30円 | 50.0% | 65,050 | -64,490 | 560 | 560 | 4 | 35 | -1,090 | 10,560 | 361 | 2,101 | 14.7% | ||||
| 30円 | 50.1% | 61,520 | -64,360 | -2,840 | -2,840 | 3 | 42 | -1,260 | 7,160 | 363 | 2,099 | 14.7% | ||||
| 30円 | 50.4% | 56,180 | -64,760 | -8,580 | -8,580 | 3 | 41 | -1,260 | 1,420 | 351 | 2,111 | 14.3% | ||||
| 30円 | 50.4% | 64,950 | -64,340 | 610 | 610 | 4 | 52 | -1,570 | 10,610 | 365 | 2,097 | 14.8% | ||||
| 30円 | 50.4% | 57,670 | -64,880 | -7,210 | -7,210 | 3 | 33 | -1,000 | 2,790 | 347 | 2,115 | 14.1% | ||||
| 平均 | 50.0% | 60,497 | -64,793 | -4,296 | -4,296 | 3 | 41 | -1,237 | 5,704 | 350 | 2,112 | 14.2% | ||||
| 50円 | 49.6% | 96,130 | -93,550 | 2,580 | 2,580 | 7 | 30 | -1,500 | 12,580 | 593 | 1,869 | 24.1% | ||||
| 50円 | 49.7% | 92,330 | -94,180 | -1,850 | -1,850 | 5 | 39 | -1,950 | 8,150 | 582 | 1,880 | 23.6% | ||||
| 50円 | 49.7% | 92,680 | -94,260 | -1,580 | -1,580 | 5 | 26 | -1,300 | 8,420 | 581 | 1,881 | 23.6% | ||||
| 50円 | 49.8% | 96,860 | -93,680 | 3,180 | 3,180 | 5 | 36 | -1,810 | 13,180 | 596 | 1,866 | 24.2% | ||||
| 50円 | 50.0% | 86,000 | -95,270 | -9,270 | -9,270 | 5 | 24 | -1,200 | 730 | 559 | 1,903 | 22.7% | ||||
| 50円 | 50.0% | 95,800 | -93,600 | 2,200 | 2,200 | 5 | 25 | -1,250 | 12,200 | 600 | 1,862 | 24.4% | ||||
| 50円 | 50.1% | 98,030 | -93,520 | 4,510 | 4,510 | 5 | 39 | -1,950 | 14,510 | 598 | 1,864 | 24.3% | ||||
| 50円 | 50.1% | 91,540 | -94,250 | -2,710 | -2,710 | 5 | 22 | -1,150 | 7,290 | 578 | 1,884 | 23.5% | ||||
| 50円 | 50.5% | 97,170 | -92,700 | 4,470 | 4,470 | 5 | 25 | -1,300 | 14,470 | 610 | 1,852 | 24.8% | ||||
| 50円 | 50.6% | 91,540 | -94,320 | -2,780 | -2,780 | 6 | 29 | -1,450 | 7,220 | 579 | 1,883 | 23.5% | ||||
| 平均 | 50.0% | 93,808 | -93,933 | -125 | -125 | 5 | 30 | -1,486 | 9,875 | 588 | 1,874 | 23.9% | ||||
| 70円 | 49.4% | 116,830 | -114,260 | 2,570 | 2,570 | 6 | 25 | -1,690 | 12,570 | 774 | 1,688 | 31.4% | ||||
| 70円 | 49.5% | 119,680 | -115,900 | 3,780 | 3,780 | 7 | 18 | -1,240 | 13,780 | 763 | 1,699 | 31.0% | ||||
| 70円 | 49.6% | 120,310 | -113,260 | 7,050 | 7,050 | 7 | 16 | -1,190 | 17,050 | 796 | 1,666 | 32.3% | ||||
| 70円 | 49.9% | 119,080 | -115,340 | 3,740 | 3,740 | 7 | 20 | -1,470 | 13,740 | 770 | 1,692 | 31.3% | ||||
| 70円 | 50.0% | 120,460 | -114,770 | 5,690 | 5,690 | 6 | 19 | -1,400 | 15,690 | 776 | 1,686 | 31.5% | ||||
| 70円 | 50.0% | 118,340 | -114,220 | 4,120 | 4,120 | 6 | 23 | -1,680 | 14,120 | 785 | 1,677 | 31.9% | ||||
| 70円 | 50.1% | 121,410 | -112,530 | 8,880 | 8,880 | 7 | 22 | -1,540 | 18,880 | 802 | 1,660 | 32.6% | ||||
| 70円 | 50.3% | 120,210 | -112,930 | 7,280 | 7,280 | 8 | 25 | -1,750 | 17,280 | 803 | 1,659 | 32.6% | ||||
| 70円 | 50.6% | 121,430 | -114,000 | 7,430 | 7,430 | 6 | 19 | -1,400 | 17,430 | 786 | 1,676 | 31.9% | ||||
| 70円 | 50.7% | 120,910 | -112,880 | 8,030 | 8,030 | 7 | 22 | -1,540 | 18,030 | 802 | 1,660 | 32.6% | ||||
| 平均 | 50.0% | 119,866 | -114,009 | 5,857 | 5,857 | 7 | 21 | -1,490 | 15,857 | 786 | 1,676 | 31.9% | ||||
| 100円 | 49.2% | 141,360 | -137,590 | 3,770 | 3,770 | 9 | 13 | -1,300 | 13,770 | 954 | 1,508 | 38.7% | ||||
| 100円 | 49.3% | 139,770 | -135,530 | 4,240 | 4,240 | 8 | 21 | -2,020 | 14,240 | 973 | 1,489 | 39.5% | ||||
| 100円 | 49.7% | 143,840 | -134,820 | 9,020 | 9,020 | 8 | 17 | -1,700 | 19,020 | 988 | 1,474 | 40.1% | ||||
| 100円 | 49.8% | 138,520 | -136,060 | 2,460 | 2,460 | 7 | 14 | -1,400 | 12,460 | 966 | 1,496 | 39.2% | ||||
| 100円 | 50.0% | 139,250 | -138,140 | 1,110 | 1,110 | 8 | 15 | -1,370 | 11,110 | 949 | 1,513 | 38.5% | ||||
| 100円 | 50.1% | 147,110 | -134,990 | 12,120 | 12,120 | 9 | 15 | -1,340 | 22,120 | 979 | 1,483 | 39.8% | ||||
| 100円 | 50.2% | 141,500 | -137,050 | 4,450 | 4,450 | 8 | 23 | -2,100 | 14,450 | 967 | 1,495 | 39.3% | ||||
| 100円 | 50.4% | 143,540 | -135,430 | 8,110 | 8,110 | 10 | 15 | -1,420 | 18,110 | 980 | 1,482 | 39.8% | ||||
| 100円 | 50.6% | 144,410 | -132,580 | 11,830 | 11,830 | 9 | 13 | -1,300 | 21,830 | 999 | 1,463 | 40.6% | ||||
| 100円 | 50.7% | 143,760 | -133,890 | 9,870 | 9,870 | 8 | 18 | -1,750 | 19,870 | 990 | 1,472 | 40.2% | ||||
| 平均 | 50.0% | 142,306 | -135,608 | 6,698 | 6,698 | 8 | 16 | -1,570 | 16,698 | 975 | 1,488 | 39.6% | ||||
| 150円 | 49.6% | 161,980 | -156,660 | 5,320 | 5,320 | 9 | 13 | -1,950 | 15,320 | 1,137 | 1,325 | 46.2% | ||||
| 150円 | 49.6% | 152,220 | -155,500 | -3,280 | -3,280 | 10 | 12 | -1,670 | 6,720 | 1,138 | 1,324 | 46.2% | ||||
| 150円 | 49.7% | 153,790 | -155,610 | -1,820 | -1,820 | 9 | 13 | -1,660 | 8,180 | 1,127 | 1,335 | 45.8% | ||||
| 150円 | 50.0% | 159,760 | -153,780 | 5,980 | 5,980 | 11 | 13 | -1,500 | 15,980 | 1,142 | 1,320 | 46.4% | ||||
| 150円 | 50.1% | 160,080 | -151,990 | 8,090 | 8,090 | 12 | 10 | -1,350 | 18,090 | 1,167 | 1,295 | 47.4% | ||||
| 150円 | 50.1% | 153,940 | -152,300 | 1,640 | 1,640 | 12 | 17 | -2,440 | 11,640 | 1,162 | 1,300 | 47.2% | ||||
| 150円 | 50.2% | 157,740 | -153,320 | 4,420 | 4,420 | 8 | 14 | -1,390 | 14,420 | 1,145 | 1,317 | 46.5% | ||||
| 150円 | 50.2% | 158,690 | -151,700 | 6,990 | 6,990 | 11 | 10 | |||||||||