ベータに賭ける戦略（BAB）（東証全銘柄）のバックテスト
Betting Against Beta (JP All Stocks)
slug: betting-against-beta-jp-all
東証全銘柄（約3,747銘柄）でベータに賭ける戦略（BAB）をバックテストした。320通りの中央値 Sharpe は -0.90。p-value は 0.04。Max DD は -49.2%。期間は 2022-04-01〜2026-09-01。最良 Sharpe -0.19 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）
-0.90
Max DD
-49.2%
勝率
—
Alpha（年率）
—
p-value
0.04
期間: 2022-04-01 → 2026-09-01
320通りの Sharpe:中央値 -0.90最良 -0.19 （代表値ではない）最悪 -1.69p25–p75 -1.09–-0.71
仮説
原文は英語。
Frazzini & Pedersen (2014): low-beta stocks outperform on a risk-adjusted basis. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.90, best=-0.19. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is -0.19 (p=0.71).
period 2022-04-01–2026-09-01; cost=5bps
cite ↗ /cite/betting-against-beta-jp-all-fact-best-sharpevia r-betting-against-beta-jp-all-0260
Median Sharpe across 320 grid runs is -0.90.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.71 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.90 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.64 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0000 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -1.07 | -0.79 | -0.47 | -5.02 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-betting-against-beta-jp-all-0001 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.79 | -0.11 | -0.47 | -5.02 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0002 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -1.20 | -0.93 | -0.58 | -5.17 |
beta_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-jp-all-0003 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.88 | -0.17 | -0.58 | -5.17 |
beta_window=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0012 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -1.05 | -1.40 | -0.32 | -2.12 |
beta_window=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0018 | cost_bps: 10 n_stocks: 5 beta_window: 40 | -0.76 | -0.31 | -0.56 | -4.86 |
beta_window=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0032 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.72 | -0.54 | -0.37 | -3.57 |
beta_window=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0046 | cost_bps: 10 n_stocks: 50 beta_window: 40 | -0.67 | -0.30 | -0.74 | -1.46 |
beta_window=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0060 | cost_bps: 5 n_stocks: 50 beta_window: 40 | -0.64 | -0.58 | -0.66 | -0.66 |
beta_window=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0064 | cost_bps: 5 n_stocks: 5 beta_window: 40 | -0.26 | +0.67 | -0.15 | -3.32 |
beta_window=40, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-betting-against-beta-jp-all-0075 | cost_bps: 10 n_stocks: 20 beta_window: 40 | -1.07 | -1.15 | -0.89 | -4.56 |
beta_window=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-betting-against-beta-jp-all-0089 | cost_bps: 5 n_stocks: 20 beta_window: 60 | -0.97 | -0.57 | -0.57 | -2.60 |
beta_window=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0090 | cost_bps: 10 n_stocks: 20 beta_window: 60 | -1.69 | -2.42 | -0.83 | -2.74 |
beta_window=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0104 | cost_bps: 5 n_stocks: 20 beta_window: 60 | -0.71 | -0.31 | -0.79 | -2.09 |
beta_window=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0118 | cost_bps: 10 n_stocks: 10 beta_window: 60 | -0.84 | -0.27 | -1.08 | -2.15 |
beta_window=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0132 | cost_bps: 5 n_stocks: 10 beta_window: 60 | -0.80 | -0.43 | -1.34 | -0.95 |
beta_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0146 | cost_bps: 10 n_stocks: 5 beta_window: 60 | -0.59 | -0.30 | -0.48 | -1.55 |
beta_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0160 | cost_bps: 5 n_stocks: 5 beta_window: 120 | -0.87 | -0.30 | -0.67 | -2.49 |
beta_window=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0174 | cost_bps: 10 n_stocks: 50 beta_window: 120 | -1.10 | -1.70 | -0.14 | -2.26 |
beta_window=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0188 | cost_bps: 5 n_stocks: 50 beta_window: 120 | -0.97 | -0.32 | -1.13 | -2.16 |
beta_window=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0202 | cost_bps: 10 n_stocks: 20 beta_window: 120 | -1.06 | -0.34 | -1.46 | -1.70 |
beta_window=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0216 | cost_bps: 5 n_stocks: 20 beta_window: 120 | -1.38 | -0.95 | -1.59 | -2.04 |
beta_window=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0230 | cost_bps: 10 n_stocks: 10 beta_window: 120 | -0.91 | -0.97 | -0.90 | -0.74 |
beta_window=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0240 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -0.95 | -0.53 | -1.17 | -1.72 |
beta_window=250, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-betting-against-beta-jp-all-0245 | cost_bps: 5 n_stocks: 10 beta_window: 250 | -0.40 | +0.27 | -0.51 | -1.29 |
beta_window=250, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-betting-against-beta-jp-all-0259 | cost_bps: 10 n_stocks: 5 beta_window: 250 | -0.34 | -0.11 | -0.83 | +0.28 |
beta_window=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0260 | cost_bps: 5 n_stocks: 10 beta_window: 250 | -0.19 | -0.08 | -0.36 | -0.01 |
beta_window=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0274 | cost_bps: 10 n_stocks: 5 beta_window: 250 | -1.08 | -1.90 | -0.97 | +0.80 |
beta_window=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-betting-against-beta-jp-all-0288 | cost_bps: 5 n_stocks: 5 beta_window: 250 | -1.29 | -2.42 | -0.98 | +9.00 |
beta_window=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-betting-against-beta-jp-all-0302 | cost_bps: 10 n_stocks: 50 beta_window: 250 | -1.09 | -0.84 | -1.95 | +6.74 |
対象ユニバース
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:57