クロスセクショナル・ディスパージョン（米国S&P500）のバックテスト
Cross-Sectional Dispersion Trading (US S&P 500)
slug: dispersion-us-sp500
米国S&P500（約503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 +0.09。p-value は 0.50。Max DD は -30.1%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.58 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。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）
+0.09
Max DD
-30.1%
勝率
—
Alpha（年率）
—
p-value
0.50
期間: 2022-02-01 → 2026-09-01
384通りの Sharpe:中央値 0.09最良 0.58 （代表値ではない）最悪 -1.10p25–p75 -0.24–0.35
仮説
原文は英語。
Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. Applied to S&P 500 constituents.
採用しなかった理由
Across 384 grid combinations, median Sharpe=0.09, best=0.58. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.58 (p=0.046).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/dispersion-us-sp500-fact-best-sharpevia r-dispersion-us-sp500-0082
Median Sharpe across 384 grid runs is 0.09.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -0.07 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.38 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.40 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.48 | +0.39 | +0.58 | +0.56 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0001 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | +0.40 | +0.32 | +0.49 | +0.47 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0002 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.51 | +0.42 | +0.38 | +1.18 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0006 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | +0.09 | +0.41 | -0.56 | +0.70 |
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0008 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.53 | +0.64 | +0.12 | +1.46 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0016 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.83 | -0.55 | -1.91 | -0.26 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0022 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.65 | -0.28 | -1.12 | -1.17 |
dispersion_window=10, holding_days=10, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0039 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | -0.55 | +0.08 | -1.06 | -0.67 |
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0056 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.35 | +1.38 | -0.61 | +0.06 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0072 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.31 | +0.60 | -0.03 | -0.34 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0074 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.54 | +0.71 | +0.34 | +0.30 |
dispersion_window=10, holding_days=60, base_signal=momentum_60, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0082 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_60" | +0.58 | +0.91 | +0.44 | -0.43 |
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0092 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.25 | -0.08 | -0.44 | -0.55 |
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0109 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | +0.20 | +0.17 | -0.12 | +1.09 |
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0126 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | -0.16 | +0.60 | -0.79 | -0.41 |
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0143 | cost_bps: 10 n_stocks: 50 base_signal: "mean_reversion" | -0.22 | -0.41 | +0.21 | -0.27 |
dispersion_window=20, holding_days=20, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0160 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.06 | -0.48 | -0.44 | +1.54 |
dispersion_window=20, holding_days=60, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0177 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | +0.57 | +0.91 | +0.40 | -0.59 |
dispersion_window=40, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-us-sp500-0194 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | +0.51 | +0.42 | +0.38 | +1.18 |
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0211 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -1.07 | -0.64 | -2.22 | -0.96 |
dispersion_window=40, holding_days=10, base_signal=momentum_60, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0228 | cost_bps: 5 n_stocks: 20 base_signal: "momentum_60" | -0.07 | +0.76 | -0.79 | -0.02 |
dispersion_window=40, holding_days=20, base_signal=momentum_20, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0245 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_20" | +0.23 | +0.90 | -0.45 | +0.25 |
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-us-sp500-0262 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.26 | -0.38 | -0.20 | -0.07 |
dispersion_window=40, holding_days=60, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-us-sp500-0279 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | +0.09 | +0.26 | +0.24 | -0.63 |
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-us-sp500-0288 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | +0.48 | +0.39 | +0.58 | +0.59 |
dispersion_window=60, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-us-sp500-0297 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | +0.46 | +0.56 | +0.06 | +1.39 |
dispersion_window=60, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0307 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -1.10 | -0.64 | -2.22 | -1.12 |
dispersion_window=60, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10 r-dispersion-us-sp500-0315 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_20" | +0.24 | +0.74 | +0.07 | -0.83 |
dispersion_window=60, holding_days=10, base_signal=mean_reversion, n_stocks=20, cost_bps=5 r-dispersion-us-sp500-0332 | cost_bps: 5 n_stocks: 20 base_signal: "mean_reversion" | -0.14 | -0.12 | -0.28 | -0.04 |
dispersion_window=60, holding_days=20, base_signal=momentum_60, n_stocks=20, cost_bps=10 r-dispersion-us-sp500-0349 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_60" | +0.10 | +0.78 | -0.56 | -0.00 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:20