ダウンサイドベータ（東証全銘柄）のバックテスト
Downside Beta (JP All Stocks)
slug: downside-beta-jp-all
東証全銘柄（約3,747銘柄）でダウンサイドベータをバックテストした。320通りの中央値 Sharpe は -0.65。p-value は 0.18。Max DD は -34.0%。期間は 2022-04-01〜2026-09-01。最良 Sharpe +0.18 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）
-0.65
Max DD
-34.0%
勝率
—
Alpha（年率）
—
p-value
0.18
期間: 2022-04-01 → 2026-09-01
320通りの Sharpe:中央値 -0.65最良 0.18 （代表値ではない）最悪 -1.48p25–p75 -0.84–-0.38
仮説
原文は英語。
Ang, Chen, Xing (2006): downside beta commands a higher risk premium. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.65, best=0.18. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.18 (p=0.7).
period 2022-04-01–2026-09-01; cost=5bps
cite ↗ /cite/downside-beta-jp-all-fact-best-sharpevia r-downside-beta-jp-all-0048
Median Sharpe across 320 grid runs is -0.65.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.56 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.71 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.24 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.98 | -1.04 | -0.69 | -1.92 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.90 | -0.83 | -0.69 | -1.92 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.11 | -1.22 | -0.80 | -2.06 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.01 | -0.93 | -0.80 | -2.06 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.54 | -0.31 | -0.15 | -2.16 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.52 | +0.33 | -0.84 | -2.19 |
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.04 | +0.55 | +0.01 | -1.09 |
formation_days=40, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.31 | +0.32 | -0.59 | -1.30 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0048 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.18 | +0.94 | -0.08 | -1.58 |
formation_days=40, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.53 | -0.02 | -0.81 | -1.10 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.01 | +0.25 | -0.01 | -0.85 |
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.85 | -0.44 | -1.13 | -1.02 |
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.73 | -0.36 | -0.35 | -2.20 |
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.30 | +0.78 | -0.49 | -2.67 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.04 | -0.22 | +0.78 | -2.43 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.27 | -0.20 | -0.08 | -1.24 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.55 | -0.10 | -0.62 | -1.57 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.01 | -0.35 | +0.48 | -0.88 |
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.03 | -1.67 | +0.14 | -2.07 |
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.76 | -0.30 | -0.75 | -1.92 |
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.86 | +0.08 | -1.08 | -3.91 |
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.91 | +0.02 | -1.81 | -0.97 |
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0223 | cost_bps: 10 n_stocks: 50 regime_gate: true | -1.48 | -0.85 | -1.92 | -1.62 |
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.96 | -0.89 | -1.09 | -0.94 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.52 | -0.77 | +0.06 | -1.18 |
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.76 | -0.41 | -0.76 | -1.73 |
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.09 | +0.98 | -0.72 | -1.10 |
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.25 | +0.33 | -0.50 | -0.64 |
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.46 | +0.18 | -0.91 | -0.56 |
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.01 | -0.80 | -1.69 | +5.82 |
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