クロスセクショナル・ディスパージョン（東証全銘柄）のバックテスト
Cross-Sectional Dispersion Trading (JP All Stocks)
slug: dispersion-jp-all
東証全銘柄（約3,747銘柄）でクロスセクショナル・ディスパージョンをバックテストした。384通りの中央値 Sharpe は -0.19。p-value は 0.33。Max DD は -35.3%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +0.97 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。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）
-0.19
Max DD
-35.3%
勝率
—
Alpha（年率）
—
p-value
0.33
期間: 2022-03-01 → 2026-09-01
384通りの Sharpe:中央値 -0.19最良 0.97 （代表値ではない）最悪 -1.53p25–p75 -0.65–0.11
仮説
原文は英語。
Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. Testing on the full Japanese stock universe.
採用しなかった理由
Across 384 grid combinations, median Sharpe=-0.19, best=0.97. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 0.97 (p=0.039).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/dispersion-jp-all-fact-best-sharpevia r-dispersion-jp-all-0208
Median Sharpe across 384 grid runs is -0.19.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -1.06 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.01 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.30 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0000 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.99 | -1.18 | -0.67 | -1.70 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-jp-all-0001 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | -1.05 | -1.24 | -0.71 | -1.77 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0002 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | -0.97 | -1.22 | -0.53 | -2.83 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-jp-all-0006 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | -0.56 | -1.28 | +0.20 | -1.30 |
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0008 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | -0.15 | -1.04 | +0.68 | -1.10 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0016 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | +0.90 | +0.82 | +0.60 | +1.94 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-jp-all-0022 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.91 | -0.93 | -1.22 | +0.01 |
dispersion_window=10, holding_days=10, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-jp-all-0039 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | +0.29 | +0.07 | +0.90 | -1.54 |
dispersion_window=10, holding_days=20, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-jp-all-0049 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | -1.53 | -1.08 | -1.24 | -8.11 |
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-jp-all-0057 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | -0.29 | -0.56 | -0.04 | +0.06 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0072 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.34 | -0.37 | -0.19 | -1.08 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0075 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | -0.03 | -0.09 | +0.15 | -1.26 |
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-jp-all-0092 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | +0.29 | +0.61 | -0.03 | +0.25 |
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-jp-all-0109 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | -0.45 | -1.10 | +0.59 | -2.17 |
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-jp-all-0126 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | +0.02 | -0.02 | +0.25 | -0.93 |
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=50, cost_bps=10 r-dispersion-jp-all-0143 | cost_bps: 10 n_stocks: 50 base_signal: "mean_reversion" | -0.94 | -0.76 | -1.62 | +0.02 |
dispersion_window=20, holding_days=20, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0160 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | +0.43 | +0.47 | +0.63 | +0.06 |
dispersion_window=20, holding_days=60, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-jp-all-0177 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | -0.40 | -0.48 | -0.58 | +0.55 |
dispersion_window=40, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0194 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | -0.97 | -1.22 | -0.53 | -2.83 |
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0208 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | +0.97 | +0.82 | +0.60 | +2.88 |
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-jp-all-0212 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.02 | +0.10 | -0.08 | -0.21 |
dispersion_window=40, holding_days=10, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-jp-all-0229 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | +0.04 | -0.41 | +0.84 | -1.73 |
dispersion_window=40, holding_days=20, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-jp-all-0246 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | -0.31 | +0.05 | -0.11 | -1.83 |
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=50, cost_bps=10 r-dispersion-jp-all-0263 | cost_bps: 10 n_stocks: 50 base_signal: "mean_reversion" | -0.64 | -0.70 | -0.45 | -1.38 |
dispersion_window=40, holding_days=60, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0280 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | +0.42 | +0.25 | +0.80 | +0.41 |
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-all-0288 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.99 | -1.18 | -0.67 | -1.70 |
dispersion_window=60, holding_days=5, base_signal=momentum_60, n_stocks=10, cost_bps=5 r-dispersion-jp-all-0298 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_60" | -0.46 | -0.97 | +0.18 | -1.50 |
dispersion_window=60, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-jp-all-0315 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | -0.99 | -1.14 | -0.54 | -3.77 |
dispersion_window=60, holding_days=10, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-jp-all-0332 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.04 | +0.47 | -0.56 | -0.07 |
dispersion_window=60, holding_days=20, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-jp-all-0349 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | -0.44 | -0.71 | +0.16 | -2.96 |
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: 2026-09-26T05:59:53