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rejectedno_edge· equity· factor· liquidity

アミフッドの非流動性プレミアム（東証グロース）のバックテスト

Amihud Illiquidity Premium (JP Growth Stocks)

slug: amihud-illiquidity-premium-jp-growth

東証グロース（約495銘柄）でアミフッドの非流動性プレミアムをバックテストした。144通りの中央値 Sharpe は -0.87。p-value は 0.06。Max DD は -27.6%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.67 は代表値ではない。

判定は rejected。中央値は promising（Sharpe > 0.5 かつ p-value < 0.05）にも marginal（Sharpe > 0.05 かつ最良 p-value < 0.10）にも届いていない。主因は no_edge。レジーム・取引回数・コストには分類されず、中央値が採用ラインに届いていない。

成績の中央値

Sharpe（中央値）
-0.87
Max DD
-27.6%
勝率
—
Alpha（年率）
—
p-value
0.06
期間: 2022-02-01 → 2026-09-01
144通りの Sharpe:中央値 -0.87最良 0.67 （代表値ではない）最悪 -1.99p25–p75 -1.20–0.11

仮説

原文は英語。

Amihud (2002): illiquid stocks (high |return| per unit of trading volume) must compensate holders with higher expected returns. Ranking on the Amihud illiquidity measure tests whether the premium survives transaction costs in this universe.

採用しなかった理由

Across 144 grid combinations, median Sharpe=-0.87, best=0.67. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.67 (p=0.15).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.67
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-best-sharpevia r-amihud-illiquidity-premium-jp-growth-0062
Median Sharpe across 144 grid runs is -0.87.
Full grid of 144 parameter combinations.
sharpe_ratio-0.87
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -2.95 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-2.95
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.45 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.45
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -1.33 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.33
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.20-2.43-0.94-0.15
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.35-2.98-0.94-4.23
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.24+0.15-0.26-3.43
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.12-1.93-0.94-0.15
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.33-2.58-1.06-0.33
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.28-2.50-1.01-4.72
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.31-2.80-0.92-2.67
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.44-2.88-1.05-2.90
lookback_days=10, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.45-0.80-0.11-3.80
lookback_days=10, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.61-0.88-0.29-4.02
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.11-1.80-0.73-2.26
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.34-0.40+0.78-2.73
lookback_days=10, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.22-0.45+0.63-3.25
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.04-0.97+0.21-0.22
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00-1.00+0.18-0.32
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0062
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.67+1.43+0.53-0.12
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.97-1.59-0.74-2.26
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.19-1.58-0.97-3.33
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.47-1.85-1.24-3.87
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.29-1.71-1.02-2.23
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.80-2.12-1.57-2.70
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.66-1.46-0.45-2.03
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.97-2.49-0.44-4.31
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.05-2.57-0.52-4.73
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0109
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.44-3.47-0.73-3.49
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.56-3.60-0.86-3.69
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0121
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.21-3.30-0.29-7.24
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0127
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.39-3.47-0.49-7.59
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0133
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.07-2.49-0.28-10.75
lookback_days=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0138
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.99-2.26-1.77-3.04

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

関連する戦略

same_strategy:アミフッドの非流動性プレミアム（東証全銘柄）same_strategy:アミフッドの非流動性プレミアム（米国S&P500）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略