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marginalregime_dependent· equity· factor· liquidity

アミフッドの非流動性プレミアム（米国S&P500）のバックテスト

Amihud Illiquidity Premium (US S&P 500)

slug: amihud-illiquidity-premium-us-sp500

米国S&P500（約503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 +0.07。p-value は 0.31。Max DD は -10.8%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.34 は代表値ではない。

判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。

成績の中央値

Sharpe（中央値）
+0.07
Max DD
-10.8%
勝率
—
Alpha（年率）
—
p-value
0.31
期間: 2022-02-01 → 2026-09-01
144通りの Sharpe:中央値 0.07最良 1.34 （代表値ではない）最悪 -1.01p25–p75 -0.40–0.63

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=0.07, best=1.34. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 1.34 (p=0.0053).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.34
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-fact-best-sharpevia r-amihud-illiquidity-premium-us-sp500-0017
Median Sharpe across 144 grid runs is 0.07.
Full grid of 144 parameter combinations.
sharpe_ratio0.07
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.86 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.86
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.40 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.40
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.67 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.67
cite ↗ /cite/amihud-illiquidity-premium-us-sp500-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-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.43-0.53-0.12-0.99
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.10+0.09+0.28-1.92
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.88+1.49+1.07-1.05
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-us-sp500-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.26-0.14-0.12-0.99
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-us-sp500-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.75-0.84-0.40-1.36
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.20+0.89+0.14-2.11
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.22+1.42-0.29-1.51
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.34+2.37+1.11-0.25
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
+1.27+2.32+1.01-0.33
lookback_days=10, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
+1.03+1.97+0.61-0.52
lookback_days=10, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0035
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.94+1.92+0.46-0.62
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-us-sp500-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.34-0.16-0.57-0.58
lookback_days=10, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-us-sp500-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.01-0.72-1.57-1.18
lookback_days=10, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0043
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.42-0.09-0.61-1.12
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0049
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.06+0.32+0.17-2.20
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0055
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.20+0.20+0.02-2.39
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0061
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.26+0.20-0.28-1.45
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0067
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.44+0.03-0.47-1.63
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0073
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.03+0.74-0.48-1.21
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0079
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.27+0.50-0.74-1.44
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0085
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.07+0.40-0.43-1.04
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-us-sp500-0091
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.40+0.11-0.77-1.52
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-us-sp500-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.47-0.44-0.59-0.26
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.15+2.11+1.06-0.69
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0104
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.07+2.03+1.00-0.76
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0110
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.69+1.28+0.90-0.43
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.60+1.18+0.79-0.49
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.60+1.31+0.55-0.65
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.47+1.18+0.40-0.75
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-us-sp500-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.55+0.79+0.51-0.01

対象ユニバース

S&P 500 constituents, ~503 stocks

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（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:21
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略