寄り引けモデル

「売買サイン」を取引時間前にブログで公開しています。
ご興味のある方はこちらまで

先物サイン閲覧サイトはこちら（要パスワード）

寄り引けトレード手法

日中、夜間、日中～夜間のそれぞれ取引時間において、マーケットには値動きのバイアスが見受けられます。

このバイアスを利用して、寄り付きにエントリーし、引けに決済する寄り引けモデルをご紹介しています

更に、「マーケットのボラティリティ」、「金利」、「海外株価指数」、「コモディティ指数」などの値動きパターンをフィルターにして、エントリー精度を上げています。

各モデルの詳細は、リンクをクリックしてご確認ください。

運用モデル一覧

先物モデル	銘柄	取引時間	備考
モデル１	グロース先物	8:45-翌6:00	日中～ナイトセッション
モデル２	グロース先物	16:30-翌6:00	ナイトセッション
モデル３	グロース先物	6:00-16:30	日中
モデル4	グロース先物	8:45-15:15	日中
モデル４	225先物ミニ	8:45-15:15	日中
モデル5	Topix先物ミニ	8:45-15:15	日中

ポートフォリオ成績（グロース先物モデル１～３）１枚あたり

年次成績

	モデル１	モデル２	モデル3	計
月次勝率	67.7%	65.6%	69.8%	72.9%
年次勝率	100.0%	88.9%	88.9%	88.9%
SR(月次）	0.52	0.35	0.40	0.60
MDD				-262,000
PMレシオ				258%
相関				0.53
SR(年次）				1.17

	モデル１	モデル２	モデル3	計
2016	97,000	121,000	-17,000	201,000
2017	542,500	108,500	111,000	762,000
2018	259,000	75,000	212,000	546,000
2019	60,000	227,000	60,000	347,000
2020	1,069,000	250,000	424,000	1,743,000
2021	479,000	377,000	403,000	1,259,000
2022	448,000	86,000	419,000	953,000
2023	131,000	69,000	202,000	402,000
2024	16,000	-152,000	2,000	-134,000

月次成績　

年月	モデル１	モデル２	モデル3	計	累計
2016/07	-2,500	3,000	23,000	23,500	23,500
2016/08	-16,500	5,500	-45,500	-56,500	-33,000
2016/09	-1,000	-6,500	-59,000	-66,500	-99,500
2016/10	14,000	39,000	2,500	55,500	-44,000
2016/11	2,500	64,000	34,000	100,500	56,500
2016/12	100,500	16,000	28,000	144,500	201,000
2017/01	6,500	-5,500	-38,500	-37,500	163,500
2017/02	-500	-12,500	-46,500	-59,500	104,000
2017/03	95,500	3,000	57,500	156,000	260,000
2017/04	-17,000	-3,500	17,500	-3,000	257,000
2017/05	11,000	4,000	-35,000	-20,000	237,000
2017/06	127,000	35,000	40,000	202,000	439,000
2017/07	9,000	-9,000	24,000	24,000	463,000
2017/08	115,000	18,000	68,000	201,000	664,000
2017/09	81,000	13,000	25,000	119,000	783,000
2017/10	-16,000	33,000	-18,000	-1,000	782,000
2017/11	142,000	3,000	-4,000	141,000	923,000
2017/12	-11,000	30,000	21,000	40,000	963,000
2018/01	-94,000	14,000	-98,000	-178,000	785,000
2018/02	57,000	16,000	40,000	113,000	898,000
2018/03	75,000	-25,000	54,000	104,000	1,002,000
2018/04	132,000	-6,000	78,000	204,000	1,206,000
2018/05	-32,000	-7,000	10,000	-29,000	1,177,000
2018/06	-32,000	19,000	3,000	-10,000	1,167,000
2018/07	3,000	49,000	32,000	84,000	1,251,000
2018/08	47,000	51,000	9,000	107,000	1,358,000
2018/09	14,000	48,000	4,000	66,000	1,424,000
2018/10	35,000	-44,000	50,000	41,000	1,465,000
2018/11	-16,000	11,000	-36,000	-41,000	1,424,000
2018/12	70,000	-51,000	66,000	85,000	1,509,000
2019/01	-6,000	82,000	-21,000	55,000	1,564,000
2019/02	49,000	-4,000	-49,000	-4,000	1,560,000
2019/03	19,000	25,000	12,000	56,000	1,616,000
2019/04	9,000	53,000	4,000	66,000	1,682,000
2019/05	-24,000	-3,000	3,000	-24,000	1,658,000
2019/06	-26,000	44,000	47,000	65,000	1,723,000
2019/07	2,000	1,000	9,000	12,000	1,735,000
2019/08	12,000	-45,000	15,000	-18,000	1,717,000
2019/09	20,000	9,000	-6,000	23,000	1,740,000
2019/10	22,000	22,000	31,000	75,000	1,815,000
2019/11	-16,000	37,000	-2,000	19,000	1,834,000
2019/12	-1,000	6,000	17,000	22,000	1,856,000
2020/01	4,000	-14,000	36,000	26,000	1,882,000
2020/02	29,000	-43,000	69,000	55,000	1,937,000
2020/03	147,000	-37,000	159,000	269,000	2,206,000
2020/04	56,000	42,000	-43,000	55,000	2,261,000
2020/05	84,000	67,000	-16,000	135,000	2,396,000
2020/06	-23,000	18,000	62,000	57,000	2,453,000
2020/07	32,000	27,000	23,000	82,000	2,535,000
2020/08	13,000	74,000	-69,000	18,000	2,553,000
2020/09	253,000	28,000	59,000	340,000	2,893,000
2020/10	138,000	10,000	41,000	189,000	3,082,000
2020/11	287,000	70,000	183,000	540,000	3,622,000
2020/12	49,000	8,000	-80,000	-23,000	3,599,000
2021/01	-9,000	37,000	-12,000	16,000	3,615,000
2021/02	98,000	-7,000	34,000	125,000	3,740,000
2021/03	47,000	88,000	89,000	224,000	3,964,000
2021/04	16,000	55,000	25,000	96,000	4,060,000
2021/05	-62,000	19,000	28,000	-15,000	4,045,000
2021/06	47,000	44,000	-9,000	82,000	4,127,000
2021/07	146,000	11,000	67,000	224,000	4,351,000
2021/08	-71,000	58,000	35,000	22,000	4,373,000
2021/09	75,000	-19,000	-35,000	21,000	4,394,000
2021/10	111,000	29,000	52,000	192,000	4,586,000
2021/11	62,000	11,000	40,000	113,000	4,699,000
2021/12	19,000	51,000	89,000	159,000	4,858,000
2022/01	-21,000	-70,000	98,000	7,000	4,865,000
2022/02	134,000	81,000	144,000	359,000	5,224,000
2022/03	66,000	37,000	10,000	113,000	5,337,000
2022/04	28,000	-34,000	-18,000	-24,000	5,313,000
2022/05	77,000	18,000	50,000	145,000	5,458,000
2022/06	96,000	-1,000	56,000	151,000	5,609,000
2022/07	13,000	95,000	50,000	158,000	5,767,000
2022/08	24,000	8,000	7,000	39,000	5,806,000
2022/09	16,000	-20,000	34,000	30,000	5,836,000
2022/10	54,000	26,000	11,000	91,000	5,927,000
2022/11	-13,000	-3,000	-20,000	-36,000	5,891,000
2022/12	-26,000	-51,000	-3,000	-80,000	5,811,000
2023/01	-20,000	36,000	-13,000	3,000	5,814,000
2023/02	34,000	26,000	62,000	122,000	5,936,000
2023/03	47,000	-12,000	37,000	72,000	6,008,000
2023/04	25,000	32,000	43,000	100,000	6,108,000
2023/05	6,000	7,000	25,000	38,000	6,146,000
2023/06	-12,000	39,000	1,000	28,000	6,174,000
2023/07	93,000	15,000	59,000	167,000	6,341,000
2023/08	-1,000	-62,000	-36,000	-99,000	6,242,000
2023/09	5,000	-36,000	8,000	-23,000	6,219,000
2023/10	-24,000	-38,000	31,000	-31,000	6,188,000
2023/11	-8,000	47,000	-12,000	27,000	6,215,000
2023/12	-14,000	15,000	-3,000	-2,000	6,213,000
2024/1	32,000	3,000	6,000	41,000	6,254,000
2024/2	1,000	-21,000	-47,000	-67,000	6,187,000
2024/3	36,000	-29,000	35,000	42,000	6,229,000
2024/4	26,000	-42,000	36,000	20,000	6,249,000
2024/5	-45,000	-28,000	35,000	-38,000	6,211,000
2024/6	-34,000	-35,000	-63,000	-132,000	6,079,000

モデル４　グロース先物

年次成績

月次勝率	74.7%
年次勝率	100.0%
SR(月次）	0.67
SR(年次）	1.85
MDD	-106,000

2016	243,000
2017	360,000
2018	373,000
2019	279,000
2020	658,000
2021	91,000
2022	403,000
2023	163,000
2024	226,000

月次成績　

月	損益	累計
2016/08	61,500	61,500
2016/09	5,500	67,000
2016/10	40,500	107,500
2016/11	93,500	201,000
2016/12	42,000	243,000
2017/01	53,000	296,000
2017/02	15,500	311,500
2017/03	500	312,000
2017/04	-6,000	306,000
2017/05	43,000	349,000
2017/06	58,000	407,000
2017/07	30,000	437,000
2017/08	69,000	506,000
2017/09	57,000	563,000
2017/10	-4,000	559,000
2017/11	2,000	561,000
2017/12	42,000	603,000
2018/01		603,000
2018/02	82,000	685,000
2018/03	57,000	742,000
2018/04	94,000	836,000
2018/05	-21,000	815,000
2018/06	-35,000	780,000
2018/07	65,000	845,000
2018/08	-21,000	824,000
2018/09	59,000	883,000
2018/10	88,000	971,000
2018/11	73,000	1,044,000
2018/12	-68,000	976,000
2019/01	49,000	1,025,000
2019/02	-17,000	1,008,000
2019/03	19,000	1,027,000
2019/04	101,000	1,128,000
2019/05	3,000	1,131,000
2019/06	20,000	1,151,000
2019/07	16,000	1,167,000
2019/08	8,000	1,175,000
2019/09	14,000	1,189,000
2019/10	32,000	1,221,000
2019/11	36,000	1,257,000
2019/12	-2,000	1,255,000
2020/01	2,000	1,257,000
2020/02	-5,000	1,252,000
2020/03	124,000	1,376,000
2020/04	-10,000	1,366,000
2020/05	-15,000	1,351,000
2020/06	55,000	1,406,000
2020/07	15,000	1,421,000
2020/08	116,000	1,537,000
2020/09	104,000	1,641,000
2020/10	53,000	1,694,000
2020/11	65,000	1,759,000
2020/12	154,000	1,913,000
2021/01	36,000	1,949,000
2021/02	-26,000	1,923,000
2021/03	44,000	1,967,000
2021/04	12,000	1,979,000
2021/05	58,000	2,037,000
2021/06	-3,000	2,034,000
2021/07	3,000	2,037,000
2021/08	-46,000	1,991,000
2021/09	12,000	2,003,000
2021/10	-5,000	1,998,000
2021/11	112,000	2,110,000
2021/12	-106,000	2,004,000
2022/01	41,000	2,045,000
2022/02	45,000	2,090,000
2022/03	127,000	2,217,000
2022/04	58,000	2,275,000
2022/05	19,000	2,294,000
2022/06	29,000	2,323,000
2022/07	-2,000	2,321,000
2022/08	14,000	2,335,000
2022/09	66,000	2,401,000
2022/10	-11,000	2,390,000
2022/11	30,000	2,420,000
2022/12	-13,000	2,407,000
2023/01	-33,000	2,374,000
2023/02	17,000	2,391,000
2023/03	4,000	2,395,000
2023/04	-27,000	2,368,000
2023/05	39,000	2,407,000
2023/06	28,000	2,435,000
2023/07	14,000	2,449,000
2023/08	43,000	2,492,000
2023/09	2,000	2,494,000
2023/10	-8,000	2,486,000
2023/11	43,000	2,529,000
2023/12	41,000	2,570,000
2024/01	97,000	2,667,000
2024/02	-4,000	2,663,000
2024/03	-2,000	2,661,000
2024/04	67,000	2,728,000
2024/05	33,000	2,761,000
2024/06	30,000	2,791,000
2024/07	5,000	2,796,000

モデル５　225先物ミニ

年次成績

月次勝率	68.3%
年次勝率	100.0%
SR(月次）	0.41
SR(年次）	3.48
MDD	-136,500

2014	88,500
2015	239,000
2016	118,000
2017	139,000
2018	122,000
2019	168,500
2020	192,500
2021	214,500
2022	158,000
2023	165,000
2024	470,000

月次成績

	損益	累計
2014/01	-14,000	-14,000
2014/02	-11,500	-25,500
2014/03	17,000	-8,500
2014/04	-15,500	-24,000
2014/05	5,000	-19,000
2014/06	63,000	44,000
2014/07	26,500	70,500
2014/08	-17,500	53,000
2014/09	11,000	64,000
2014/10	-21,500	42,500
2014/11	-2,000	40,500
2014/12	48,000	88,500
2015/01	68,000	156,500
2015/02	2,500	159,000
2015/03	500	159,500
2015/04	16,000	175,500
2015/05	27,500	203,000
2015/06	-2,000	201,000
2015/07	55,500	256,500
2015/08	-63,000	193,500
2015/09	59,000	252,500
2015/10	37,500	290,000
2015/11	21,500	311,500
2015/12	16,000	327,500
2016/01	-112,000	215,500
2016/02	-24,500	191,000
2016/03	11,500	202,500
2016/04	32,000	234,500
2016/05	54,000	288,500
2016/06	27,000	315,500
2016/07	-16,500	299,000
2016/08	17,000	316,000
2016/09	-13,000	303,000
2016/10	38,000	341,000
2016/11	134,500	475,500
2016/12	-30,000	445,500
2017/01	10,000	455,500
2017/02	60,500	516,000
2017/03	11,500	527,500
2017/04	8,500	536,000
2017/05	11,500	547,500
2017/06	21,500	569,000
2017/07	-14,000	555,000
2017/08	-24,000	531,000
2017/09	9,000	540,000
2017/10	51,000	591,000
2017/11	-55,500	535,500
2017/12	49,000	584,500
2018/01	44,500	629,000
2018/02	27,500	656,500
2018/03	18,500	675,000
2018/04	18,500	693,500
2018/05	30,000	723,500
2018/06	-9,500	714,000
2018/07	500	714,500
2018/08	3,500	718,000
2018/09	35,500	753,500
2018/10	-30,500	723,000
2018/11	17,500	740,500
2018/12	-34,000	706,500
2019/01	31,500	738,000
2019/02	-32,000	706,000
2019/03	-18,500	687,500
2019/04	31,500	719,000
2019/05	15,500	734,500
2019/06	25,000	759,500
2019/07	-18,000	741,500
2019/08	77,000	818,500
2019/09	-20,500	798,000
2019/10	-3,000	795,000
2019/11	39,000	834,000
2019/12	41,000	875,000
2020/01	24,500	899,500
2020/02	17,000	916,500
2020/03	29,000	945,500
2020/04	53,000	998,500
2020/05	5,000	1,003,500
2020/06	1,500	1,005,000
2020/07	-20,000	985,000
2020/08	43,500	1,028,500
2020/09	4,500	1,033,000
2020/10	27,500	1,060,500
2020/11	38,000	1,098,500
2020/12	-31,000	1,067,500
2021/01	21,500	1,089,000
2021/02	-3,500	1,085,500
2021/03	26,000	1,111,500
2021/04	71,500	1,183,000
2021/05	9,000	1,192,000
2021/06	59,500	1,251,500
2021/07	-1,500	1,250,000
2021/08	52,000	1,302,000
2021/09	4,500	1,306,500
2021/10	-45,500	1,261,000
2021/11	87,000	1,348,000
2021/12	-66,000	1,282,000
2022/01	39,000	1,321,000
2022/02	39,000	1,360,000
2022/03	-40,000	1,320,000
2022/04	84,500	1,404,500
2022/05	16,000	1,420,500
2022/06	-28,000	1,392,500
2022/07	52,000	1,444,500
2022/08	-39,500	1,405,000
2022/09	13,500	1,418,500
2022/10	-19,500	1,399,000
2022/11	31,500	1,430,500
2022/12	9,500	1,440,000
2023/01	-16,000	1,424,000
2023/02	10,500	1,434,500
2023/03	-53,500	1,381,000
2023/04	-7,000	1,374,000
2023/05	63,000	1,437,000
2023/06	7,500	1,444,500
2023/07	114,500	1,559,000
2023/08	31,000	1,590,000
2023/09	14,000	1,604,000
2023/10	-13,500	1,590,500
2023/11	-3,500	1,587,000
2023/12	18,000	1,605,000
2024/01	135,500	1,740,500
2024/02	33,500	1,774,000
2024/03	95,500	1,869,500
2024/04	73,500	1,943,000
2024/05	139,500	2,082,500
2024/06	-7,500	2,075,000

モデル６　Topix先物ミニ

年次成績

月次勝率	65.0%
年次勝率	81.8%
SR(月次）	0.30
SR(年次）	1.13
MDD	-145,000

2014	108,500
2015	129,750
2016	183,750
2017	-9,000
2018	209,750
2019	90,250
2020	98,750
2021	6,000
2022	45,750
2023	-3,000
2024	82,000

月次成績

月	損益	累計
2014/01	39,500	39,500
2014/02	-18,000	21,500
2014/03	21,750	43,250
2014/04	20,500	63,750
2014/05	7,000	70,750
2014/06	-750	70,000
2014/07	9,250	79,250
2014/08	-1,750	77,500
2014/09	-9,000	68,500
2014/10	-9,250	59,250
2014/11	42,000	101,250
2014/12	7,250	108,500
2015/01	7,500	116,000
2015/02	20,000	136,000
2015/03	3,750	139,750
2015/04	38,500	178,250
2015/05		178,250
2015/06	11,500	189,750
2015/07	3,500	193,250
2015/08	-64,750	128,500
2015/09	52,750	181,250
2015/10	-6,750	174,500
2015/11	6,250	180,750
2015/12	57,500	238,250
2016/01	-39,250	199,000
2016/02	-11,750	187,250
2016/03	-22,500	164,750
2016/04	8,750	173,500
2016/05	44,750	218,250
2016/06	70,000	288,250
2016/07	-5,750	282,500
2016/08	-2,000	280,500
2016/09	21,500	302,000
2016/10	6,750	308,750
2016/11	97,250	406,000
2016/12	16,000	422,000
2017/01	5,750	427,750
2017/02	9,000	436,750
2017/03	-2,750	434,000
2017/04	-32,000	402,000
2017/05	4,500	406,500
2017/06	1,500	408,000
2017/07	6,500	414,500
2017/08	-10,500	404,000
2017/09	-9,500	394,500
2017/10	26,750	421,250
2017/11	9,500	430,750
2017/12	-17,750	413,000
2018/01	37,000	450,000
2018/02	36,500	486,500
2018/03	34,250	520,750
2018/04	31,000	551,750
2018/05	18,500	570,250
2018/06	-6,750	563,500
2018/07	7,000	570,500
2018/08	16,750	587,250
2018/09	1,500	588,750
2018/10	36,500	625,250
2018/11	21,500	646,750
2018/12	-24,000	622,750
2019/01	17,500	640,250
2019/02	16,500	656,750
2019/03	-10,500	646,250
2019/04	21,750	668,000
2019/05	34,500	702,500
2019/06	-10,000	692,500
2019/07	-29,500	663,000
2019/08	7,500	670,500
2019/09	1,750	672,250
2019/10	2,500	674,750
2019/11	23,750	698,500
2019/12	14,500	713,000
2020/01	5,500	718,500
2020/02	-8,750	709,750
2020/03	12,750	722,500
2020/04	61,750	784,250
2020/05	-2,250	782,000
2020/06	48,250	830,250
2020/07	-37,250	793,000
2020/08	-3,000	790,000
2020/09	-20,750	769,250
2020/10	22,000	791,250
2020/11		791,250
2020/12	20,500	811,750
2021/01		811,750
2021/02	-27,000	784,750
2021/03	28,750	813,500
2021/04	-1,250	812,250
2021/05		812,250
2021/06	7,500	819,750
2021/07	-1,500	818,250
2021/08	7,250	825,500
2021/09	28,500	854,000
2021/10	27,250	881,250
2021/11	-9,750	871,500
2021/12	-53,750	817,750
2022/01	-18,250	799,500
2022/02	16,500	816,000
2022/03	-74,250	741,750
2022/04	19,500	761,250
2022/05	46,750	808,000
2022/06	18,500	826,500
2022/07	6,500	833,000
2022/08		833,000
2022/09	15,500	848,500
2022/10		848,500
2022/11		848,500
2022/12	15,000	863,500
2023/01	-43,750	819,750
2023/02		819,750
2023/03	-30,000	789,750
2023/04	-53,500	736,250
2023/05	54,750	791,000
2023/06	-26,250	764,750
2023/07		764,750
2023/08	-1,250	763,500
2023/09	24,500	788,000
2023/10	19,000	807,000
2023/11	11,000	818,000
2023/12	42,500	860,500
2024/01	18,500	879,000
2024/02	28,250	907,250
2024/03	-9,750	897,500
2024/04	26,750	924,250
2024/05	40,000	964,250
2024/06	-21,750	942,500

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